Total Quality Science
Online ISSN : 2189-3195
ISSN-L : 2189-3195
Detection of change points in panel data based on Bayesian MT method
Takumi EnomotoYasushi Nagata
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2016 Volume 2 Issue 1 Pages 36-47


Panel data are a sort of multi-dimensional time-series data that consist of several sets of the observation unit as an identical community over time. Panel data include more information than time-series data or cross-section data. Using panel data, we are able to estimate more accurately, increase degrees of freedom, and avoid multi-collinearity.

In this paper, we consider a change point problem in panel data. Detection methods for change points in panel data have not been extensively proposed. This paper proposes a detection method for change points in panel data using the Mahalanobis–Taguchi (MT) method (Taguchi (2002)). As the MT method does not assume panel data or time-series data, we must extend the theory of the MT method. Furthermore, when the sample size is small, it is difficult to estimate the covariance matrix precisely (Miyakawa et al. (2007)). In this paper, the MT method is extended using Bayesian inference to resolve the above-mentioned difficulties. Conducting Monte Carlo simulations and a real data analysis, we show that our proposed method is useful.

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© 2016 The Japanese Society for Quality Control
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