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Biometrika 1975 62(2):407-416; doi:10.1093/biomet/62.2.407
© 1975 by Biometrika Trust
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A Bayesian approach to inference about a change-point in a sequence of random variables

A. F. M. SMITH *

Mathematical Institute, University of Oxford

A Bayesian approach is considered to the problem of making inferences about the point in a sequence of random variables at which the underlying distribution changes. Inferences are based on the posterior probabilities of the possible change-points. Detailed analyses are given for cases in which the distributions are binomial and normal, and numerical illustrations are provided. An informal sequential procedure is also noted.

Key Words: Bayesian inference • Change-point • Informative priors


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