Bayesian Binary Segmentation Procedure for a Poisson Process With Multiple Changepoints

We observe n events occurring in (0, T] taken from a Poisson process. The intensity function of the process is assumed to be a step function with multiple changepoints. This article proposes a Bayesian binary segmentation procedure for locating the changepoints and the associated heights of the intensity function. We conduct a sequence of nested hypothesis tests using the Bayes factor or the BIC approximation to the Bayes factor. At each comparison in the binary segmentation steps, we need only to compare a singlechangepoint model to a no-changepoint model. Therefore, this method circumvents the computational complexity we would normally face in problems with an unknown (large) number of dimensions. A simulation study and an analysis on a real dataset are given to illustrate our methods.