Multiple Change Point Analysis for the Regular Exponential Family using the Product Partition Model

As an extension to previous research efforts, the PPM is applied to the identification of multiple change points in the parameter that indexes the regular exponential family. We define the PPM for Yao's prior cohesions and contiguous blocks. Because the exponential family provides a rich set of models, we also present the PPM for some particular members of this family in both continuous and discrete cases and the PPM is applied to identify multiple change points in real data. Firstly, multiple changes are identified in the rates of crimes in one of the biggest cities in Brazil. In order to illustrate the continuous case, multiple changes are identified in the volatility (variance) and in the expected return (mean) of some Latin America emerging markets return series.