SEGMENTASI BAYESIAN HIRARKI UNTUK MODEL MA KONSTAN SEPOTONG DEMI SEPOTONG BERBASIS ALGORITMA REVERSIBLE JUMP MCMC

摘要

This paper addresses the problem of the signal segmentation within a hierarchical Bayesian framework by using reversible jump MCMC sampling. The signal is modelled by piecewise constant MA processes where the numbers of segments, the position of abrupt, the order and the coefficients of the MA processes for each segment are unknown. The reversible jump MCMC algorithm is then used to generate samples distributed according to the joint posterior distribution of the unknown parameters. These samples allow to compute some interesting features of the a posterior distribution. Main advantage of the algorithm reversible jump MCMC algorithm is produce the joint estimatiors for the parameter and hyperparameter in hierarchical Bayesian The performance of the this methodology is illustrated via several simulation results.