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26 October 1999 Wavelets in the Bayesian change-point analysis
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Abstract
A Bayesian analysis based on the empirical wavelet coefficients is developed for the standard change-point problem. This analysis is considered first for the piecewise constant Haar wavelet basis, then extended to using smooth and orthogonal boundary wavelets. The analysis, though developed for use in the standard change-point model, can be applied to estimating a discontinuity in an otherwise smooth function by using only higher level coefficients in the computation of the posterior distribution, thereby effectively removing a `smooth' of the function. The procedure is illustrated with simulated data examples.
© (1999) COPYRIGHT Society of Photo-Optical Instrumentation Engineers (SPIE). Downloading of the abstract is permitted for personal use only.
R. Todd Ogden "Wavelets in the Bayesian change-point analysis", Proc. SPIE 3813, Wavelet Applications in Signal and Image Processing VII, (26 October 1999); https://doi.org/10.1117/12.366784
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