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ANÁLISIS BAYESIANO PARA MODELOS CON ERRORES EN LAS VARIABLES CON PUNTO DE CAMBIO
BAYESIAN ANALYSIS FOR ERRORS IN VARIABLES WITH CHANGEPOINT MODELS
Keywords:
análisis bayesiano, modelos con errores en las variables, modelos con punto de cambio (es)Bayesian analysis, Changepoint models, Errors in variables models (en)
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1Universidad de Antioquia, Facultad de Ingeniería, Departamento de Ingeniería Industrial, Medellín, Colombia. Universidad de São Paulo, Instituto de Matemáticas y Estadística, Departamento de Estadística, São Paulo, Brasil. Assistant professor. Email: ousuga@udea.edu.co
2Universidad de São Paulo, Instituto de Matemáticas y Estadística, Departamento de Estadística, São Paulo, Brasil. Ph.D. Student in Statistic. Email: fhernanb@ime.usp.br
Changepoint regression models have originally been developed in connection with applications in quality control, where a change from the in-control to the out-of-control state has to be detected based on the available random observations. Up to now various changepoint models have been suggested for differents applications like reliability, econometrics or medicine. In many practical situations the covariate cannot be measured precisely and an alternative model are the errors in variable regression models. In this paper we study the regression model with errors in variables with changepoint from a Bayesian approach. From the simulation study we found that the proposed procedure produces estimates suitable for the changepoint and all other model parameters.
Key words: Bayesian analysis, Changepoint models, Errors in variables models.
Los modelos de regresión con punto de cambio han sido originalmente desarrollados en el ámbito de control de calidad, donde, basados en un conjunto de observaciones aleatorias, es detectado un cambio de estado en un proceso que se encuentra controlado para un proceso fuera de control. Hasta ahora varios modelos de punto de cambio han sido sugeridos para diferentes aplicaciones en confiabilidad, econometría y medicina. En muchas situaciones prácticas la covariable no puede ser medida de manera precisa, y un modelo alternativo es el de regresión con errores en las variables. En este trabajo estudiamos el modelo de regresión con errores en las variables con punto de cambio desde un enfoque bayesiano. Del estudio de simulación se encontró que el procedimiento propuesto genera estimaciones adecuadas para el punto de cambio y todos los demás parámetros del modelo.
Palabras clave: análisis bayesiano, modelos con errores en las variables, modelos con punto de cambio.
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Este artículo se puede citar en LaTeX utilizando la siguiente referencia bibliográfica de BibTeX:
@ARTICLE{RCEv35n1a02,AUTHOR = {Usuga, Olga Cecilia and Hernández, Freddy},
TITLE = {{Bayesian Analysis for Errors in Variables with Changepoint Models}},
JOURNAL = {Revista Colombiana de Estadística},
YEAR = {2012},
volume = {35},
number = {1},
pages = {15-38}
}
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