Bayes pre-test estimation for the change point of the changing one parameter exponential family

This paper develops Bayes pre-test estimate (BPE) of the change point of a sequence of independent random variables under asymmetric linex loss function. BPE of the change point is obtained for changing regular one-parameter exponential family model. Its sensitivity is examined to the choice of the prior probability of the hypothesis of no change in a changing Poisson distributed coal mine disaster data. Loss robustness of the Bayes pre-test estimate for a class of linex loss functions is also discussed. Copyright Sapienza Università di Roma 2012