Normal Dağılımlı Raslantı Değişkenleri Dizisinde Değişme Noktasının Bayesci Tahmini Üzerinde Önsel Dağılımların Performanslarının Karşılaştırılması

Öz

Bu çalışmada, Normal dağılımlı raslantı değişkenlerinin ortalaması ve varyansında değişme noktasının gözlenmesi problemi ele alınmıştır. Değişme noktasının yerinin tahmini için Bayesci yöntem kullanılmış ve parametrelerin bilgi içermeyen ve bilgi içeren önsel dağılımlı olması varsayımı altında değişme noktasının marjinal sonsal dağılımı elde edilmiştir. Değişme noktasının tahmini üzerinde önsel dağılımların performansları geniş benzetim çalışması ile farklı örneklem büyükleri için araştırılmıştır.

Anahtar Kelimeler

• Değişme noktası,Bayesci yaklaşım,bilgi içeremeyen ve bilgi içeren önseller.

Comparing the performances of the priors on the Bayesian estimation of change point location in a sequence of normal random variables

Öz

In this paper, the problem of one change point occurring simultaneously in both the mean and variance of a sequence of normal random variables is considered. The Bayesian method is used for the estimation of change point location; and the marginal posterior distributions of the change point location are obtained under the assumptions of noninformative and informative prior distributions for the parameters. The performances of the prior distributions on the estimation of the change point location, with different sample sizes, are investigated via extensive simulation studies.

Anahtar Kelimeler

• change point,Bayesian approach,noninformative and informative priors

Kaynakça

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