A Survey of Approaches to a Changepoint Problem in an Actuarial Context
By Avraham Adler
A representative data set is used to provide an example comparing classical and Bayesian approaches to making inferences about the point in a sequence of random variables at which the underlying distribution may shift. Inferences about the underlying distributions themselves are also made. Most of the underlying ‘R’ code used in the analysis is shown in the appendix.
Keywords: Changepoints, Bayesian inference, hierarchical Bayes models, Markov chain Monte Carlo,JAGS,R, sensitivity testing