5 citations · 5 across the 2 of their papers we have counts for
2 papers
econ.EM2024★ 5 cited
Selective linear segmentation for detecting relevant parameter changes
Arnaud Dufays, Aristide Houndetoungan, Alain Coën
Change-point processes are one flexible approach to model long time series. We propose a method to uncover which model parameter truly vary when a change-point is detected. Given a…
stat.ME2023
Linking Frequentist and Bayesian Change-Point Methods
David Ardia, Arnaud Dufays, Carlos Ordas Criado
We show that the two-stage minimum description length (MDL) criterion widely used to estimate linear change-point (CP) models corresponds to the marginal likelihood of a Bayesian m…