Document Type : Research Paper

Author

• Reza Habibi

Iran Banking Institute

Abstract

The Kalman-Bucy filter is studied under different scenarios for observation and state equations, however, an important question is, how this filter may be applied to detect the change points. In this paper, using the Bayesian approach, a modified version of this filter is studied which has good and justifiable properties and is applied in change point analysis.
 

Keywords

• Bayesian theorem
• Change point
• Kalman-Bucy filter