Using hidden Markov chains and empirical Bayes change-point estimation for transect data
Consider a lattice of locations in one dimension at which data are observed. We model the data as a random hierarchical process. The hidden process is assumed to have a (prior) distribution that is derived from a two-state Markov chain. The states correspond to the mean values (high and low) of the observed data. Conditional on the states, the observations are modelled, for example, as independent Gaussian random variables with identical variances. In this model, there are four free parameters: the Gaussian variance, the high and low mean values, and the transition probability in the Markov chain. A parametric empirical Bayes approach requires estimation of these four parameters from the marginal (unconditional) distribution of the data and we use the EM-algorithm to do this. From the posterior of the hidden process, we use simulated annealing to find the maximum a posteriori (MAP) estimate. Using a Gibbs sampler, we also obtain the maximum marginal posterior probability (MMPP) estimate of the hidden process. We use these methods to determine where change-points occur in spatial transects through grassland vegetation, a problem of considerable interest to plant ecologists.
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