将频数法和贝叶斯变化点法联系起来

David Ardia, A. Dufays, C. O. Criado
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摘要

我们证明,广泛用于估计线性变化点(CP)模型的两阶段最小描述长度(MDL)准则对应于具有特定先验分布类别的贝叶斯模型的边际似然。这使得频数主义和贝叶斯范式的结果可以衔接起来。有了这种联系,我们就可以依靠估计 CP 的数量和位置的一致性以及频繁主义方法的计算效率,获得在给定时间观测到 CP 的概率,计算模型后验概率,并通过贝叶斯后验选择或组合 CP 方法。此外,我们还调整了几种 CP 方法,以利用 MDL 概率表示法的优势。基于模拟数据,我们表明,与最先进的方法相比,经过调整的 CP 方法可以改进结构断裂检测。最后,我们通过经验说明了在处理长时间序列和预测时结合 CP 检测方法的实用性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Linking Frequentist and Bayesian Change-Point Methods
We show that the two-stage minimum description length (MDL) criterion widely used to estimate linear change-point (CP) models corresponds to the marginal likelihood of a Bayesian model with a specific class of prior distributions. This allows results from the frequentist and Bayesian paradigms to be bridged together. Thanks to this link, one can rely on the consistency of the number and locations of the estimated CPs and the computational efficiency of frequentist methods, and obtain a probability of observing a CP at a given time, compute model posterior probabilities, and select or combine CP methods via Bayesian posteriors. Furthermore, we adapt several CP methods to take advantage of the MDL probabilistic representation. Based on simulated data, we show that the adapted CP methods can improve structural break detection compared to state-of-the-art approaches. Finally, we empirically illustrate the usefulness of combining CP detection methods when dealing with long time series and forecasting.
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