Bayesian variable selection in Poisson change-point regression analysis

S. Min, T. Park

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)


In this article, we develop a Bayesian variable selection method that concerns selection of covariates in the Poisson change-point regression model with both discrete and continuous candidate covariates. Ranging from a null model with no selected covariates to a full model including all covariates, the Bayesian variable selection method searches the entire model space, estimates posterior inclusion probabilities of covariates, and obtains model averaged estimates on coefficients to covariates, while simultaneously estimating a time-varying baseline rate due to change-points. For posterior computation, the Metropolis-Hastings within partially collapsed Gibbs sampler is developed to efficiently fit the Poisson change-point regression model with variable selection. We illustrate the proposed method using simulated and real datasets.

Original languageEnglish
Pages (from-to)2267-2282
Number of pages16
JournalCommunications in Statistics: Simulation and Computation
Issue number3
Publication statusPublished - 2017 Mar 16

Bibliographical note

Publisher Copyright:
© 2017 Taylor & Francis Group, LLC.

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Modelling and Simulation


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