## The Annals of Applied Statistics

- Ann. Appl. Stat.
- Volume 11, Number 4 (2017), 2200-2221.

### Empirical Bayesian analysis of simultaneous changepoints in multiple data sequences

#### Abstract

Copy number variations in cancer cells and volatility fluctuations in stock prices are commonly manifested as changepoints occurring at the same positions across related data sequences. We introduce a Bayesian modeling framework, BASIC, that employs a changepoint prior to capture the co-occurrence tendency in data of this type. We design efficient algorithms to sample from and maximize over the BASIC changepoint posterior and develop a Monte Carlo expectation-maximization procedure to select prior hyperparameters in an empirical Bayes fashion. We use the resulting BASIC framework to analyze DNA copy number variations in the NCI-60 cancer cell lines and to identify important events that affected the price volatility of S&P 500 stocks from 2000 to 2009.

#### Article information

**Source**

Ann. Appl. Stat. Volume 11, Number 4 (2017), 2200-2221.

**Dates**

Received: July 2016

Revised: April 2017

First available in Project Euclid: 28 December 2017

**Permanent link to this document**

https://projecteuclid.org/euclid.aoas/1514430283

**Digital Object Identifier**

doi:10.1214/17-AOAS1075

**Keywords**

Changepoint detection empirical Bayes Markov chain Monte Carlo copy number variation stock price volatility

#### Citation

Fan, Zhou; Mackey, Lester. Empirical Bayesian analysis of simultaneous changepoints in multiple data sequences. Ann. Appl. Stat. 11 (2017), no. 4, 2200--2221. doi:10.1214/17-AOAS1075. https://projecteuclid.org/euclid.aoas/1514430283

#### Supplemental materials

- Supplementary Appendices. The Supplementary Appendices [Fan and Mackey (2017)] contain the following additional materials, as referenced in the main text: Description of common likelihood models and associated priors, details of inference procedures, comparison of MCMC sampler with naïve Gibbs sampling, and additional details of copy number analysis for the NCI-60 cell lines.Digital Object Identifier: doi:10.1214/17-AOAS1075SUPP