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A Bayesian Analysis of a Change in the Precision of a Sequence of Independent Normal Random Variables at an Unknown Time Point
Author(s) -
Menzefricke Ulrich
Publication year - 1981
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.2307/2346383
Subject(s) - sequence (biology) , mathematics , random variable , statistics , bayesian probability , point (geometry) , econometrics , geometry , genetics , biology
S ummary This paper analyses a sequence of independent normal random variables in which the precision (inverse of the variance) may have been subjected to one change at an unknown point in time. Posterior distributions are found both for the unknown point in time at which the change occurred and for the magnitude of the change. Two examples are given.