Afrika Statistika

A Bayesian analysis of a change in the mean of independent normal sequence with contaminated observation

Abdeldjalil Slama and Hocine Fellag

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Abstract

In this paper, we consider a Bayesian analysis of a change in the mean of independent gaussian samples in the presence of a single outlier. An unconditional Bayesian significance test for testing change versus no change is performed under consideration of non informative prior distribution of the parameters. From a numerical study using the Gibbs sampler algorithm, the effect of a contaminated observation on the performance of the Bayesian significance test of change is studied.

Résumé

Dans ce papier, nous considérons une analyse Bayésienne d'un changement dans la moyenne des échantillons gaussiens indépendants en présence d'une seule valeur aberrante. Tous les paramètres sont supposés inconnus. En considérant une distribution a priori non informative pour les paramètres, un test de signification bayésien inconditionnel pour tester le changement est proposé. En utilisant l'algorithme de l'échantillonneur de Gibbs, une étude numérique est réalisée pour examiner l'effet de la présence d'une observation contaminée sur la performance du test de signification bayésien.

Article information

Source
Afr. Stat., Volume 13, Number 3 (2018), 1779-1794.

Dates
First available in Project Euclid: 12 December 2018

Permanent link to this document
https://projecteuclid.org/euclid.as/1544583715

Digital Object Identifier
doi:10.16929/as/1779.133

Mathematical Reviews number (MathSciNet)
MR3887183

Zentralblatt MATH identifier
07003216

Subjects
Primary: 91B84: Economic time series analysis [See also 62M10] 62F15: Bayesian inference 62F03: Hypothesis testing

Keywords
Gaussian models Change-point HPD region sets p-value Outliers

Citation

Slama, Abdeldjalil; Fellag, Hocine. A Bayesian analysis of a change in the mean of independent normal sequence with contaminated observation. Afr. Stat. 13 (2018), no. 3, 1779--1794. doi:10.16929/as/1779.133. https://projecteuclid.org/euclid.as/1544583715


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