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03- Journal of Statistics Applications & Probability
An International Journal
               
 
 
 
 
 
 
 
 
 
 
 
 

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Volumes > Vol. 6 > No. 3

 
   

A New Approach to Bayesian Change Point Detection Using Lifting Wavelet Transform

PP: 445-457
doi:10.18576/jsap/060301
Author(s)
Arunendu Chatterjee,
Abstract
In this paper, we use wavelets in a Bayesian context to identify changes in the pattern of data collected over time in the presence of noise and missing observations in the data. A Bayesian analysis based on the wavelet coefficients applying lifting is discussed to identify change points. Based on a simulation study, recommendations are made on the choice of lifting wavelet coefficients in the presence of noise and missing observations using an adaptive lifting technique. We apply our algorithm to a real data problem where change points are already known to illustrate our recommendations

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