Bayesian Time Series Analysis of Structural Changes in Level and Trend

In this article we consider the problem of detecting changes in level and trend in time series model in which the number of change-points is unknown. The approach of Bayesian stochastic search model selection is introduced to detect the configuration of changes in a time series. The number and positions of change-points are determined by a sequence of change-dependent parameters. The sequence is estimated by its posterior distribution via the maximum a posteriori (MAP) estimation. Markov chain Monte Carlo (MCMC) method is used to estimate posterior distributions of parameters. Some actual data examples including a time series of traffic accidents and two hydrological time series are analyzed.