Bayesian analysis of linear models exhibiting changes in mean and precisionat an unknown time point

Abstract

This paper analyses a linear model in which both the mean and the precision change exactly once at an unknown point in time. Posterior distributions are found for the unknown time point at which the changes occurred and for the ratio of the precisions. The Bayesian predictive distribution of k future observations is also derived. It is shown that the unconditional posterior distribution of the ratio of precisions is a mixture of F-type distributions and the predictive distribution is a mixture of multivariate t distributions.

Keywords:

• changing linear model
• changes in mean and preeision
• switch Foint
• ratio of precisions
• Bayesian predictive distribution