English, Article edition: BAYESIAN IDENTIFICATION OF OUTLIERS AND CHANGE-POINTS IN MEASUREMENT ERROR MODELS FERNANDO A. QUINTANA; PILAR L. IGLESIAS; HELENO BOLFARINE

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Bookmark: http://trove.nla.gov.au/version/143725
Physical Description
  • article
Language
  • English

Edition details

Title
  • BAYESIAN IDENTIFICATION OF OUTLIERS AND CHANGE-POINTS IN MEASUREMENT ERROR MODELS
Author
  • FERNANDO A. QUINTANA
  • PILAR L. IGLESIAS
  • HELENO BOLFARINE
Physical Description
  • article
Notes
  • The problem of outlier and change-point identification has received considerable attention in traditional linear regression models from both, classical and Bayesian standpoints. In contrast, for the case of regression models with measurement errors, also known as error-in-variables models, the corresponding literature is scarce and largely focused on classical solutions for the normal case. The main object of this paper is to propose clustering algorithms for outlier detection and change-point identification in scale mixture of error-in-variables models. We propose an approach based on product partition models (PPMs) which allows one to study clustering for the models under consideration. This includes the change-point problem and outlier detection as special cases. The outlier identification problem is approached by adapting the algorithms developed by Quintana and Iglesias [32] for simple linear regression models. A special algorithm is developed for the change-point problem which can be applied in a more general setup. The methods are illustrated with two applications: (i) outlier identification in a problem involving the relationship between two methods for measuring serum kanamycin in blood samples from babies, and (ii) change-point identification in the relationship between the monthly dollar volume of sales on the Boston Stock Exchange and the combined monthly dollar volumes for the New York and American Stock Exchanges.
  • Dirichlet processes, measurement error model, outlier and change-point identification, product partition models
  • RePEc:wsi:acsxxx:v:08:y:2005:i:04:p:433-449
Language
  • English
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