@article{fan2017empirical,
author = {Fan, Zhou and Mackey, Lester},
title = {Empirical Bayesian Analysis of Simultaneous Changepoints in Multiple Data Sequences},
year = {2017},
month = {December},
abstract = {Copy number variations in cancer cells and volatility fluctuations in stock prices are commonly manifested as changepoints occurring at the same positions across related data sequences. We introduce a Bayesian modeling framework, BASIC, that employs a changepoint prior to capture the co-occurrence tendency in data of this type. We design efficient algorithms to sample from and maximize over the BASIC changepoint posterior and develop a Monte Carlo expectation-maximization procedure to select prior hyperparameters in an empirical Bayes fashion. We use the resulting BASIC framework to analyze DNA copy number variations in the NCI-60 cancer cell lines and to identify important events that affected the price volatility of S&P 500 stocks from 2000 to 2009.},
url = {http://approjects.co.za/?big=en-us/research/publication/empirical-bayesian-analysis-of-simultaneous-changepoints-in-multiple-data-sequences/},
journal = {Annals of Applied Statistics},
}