pra1981 / bayesian-changepoint

Bayesian modeling of a changepoint problem with R implementation

Bayesian modeling of a changepoint problem with R implementation

Bayesian Course Project: Bayesian modeling for a changepoint problem

Yaohui Zeng ([email protected]), May 13, 2015

R implementation for the OpenBUGS example: Stagnant - a changepoint problem and an illustration of how NOT to do MCMC! http://mathstat.helsinki.fi/openbugs/Examples/Stagnant.html

• M1_DiscretePrior.R:
• Model 1: discrete prior for the index of the changepoint, k.
• M2_ContinuousPrior.R:
• Model 2: continuous prior for the changepoint value, x_k.
• Stan_analysis.R
• RStan implementation

The implementations reproduce results from OpenBUGS.