Modèle polynomial par morceaux muni de transitions régulières - Application à la modélisation de signaux transitoires électriques

Abstract

National audienceA smooth transition model is introduced and studied. Such a model extend piecewise regression ones by introducing smooth transition functions achieving transition from a segment to another in the neighborhood of each rupture. The joint estimation of the parameters and of the number of segment is an ill-posed problem. A regularization is performed through a hierarchical Bayesian framework. As standard Bayesian estimates can not be computed analytically, a reversible-jump MCMC algorithm is derived to sample the parameters according to their posterior distribution. This method is applied to the modeling of real-world electrical transient