Joint segmentation of multivariate astronomical time series: Bayesian sampling with a hierarchical model

Astronomy and other sciences often face the problem of detecting and characterizing structure in two. or more related time series. This paper approaches such problems using Bayesian priors to represent relationships between signals with various degrees of certainty, and not just rigid constraints. The segmentation is conducted by using a hierarchical Bayesian approach to a piece- wise constant Poisson rate model. A Gibbs sampling strategy allows joint estimation of the unknown parameters and hyperparameters. Results obtained with synthetic and real photon counting data illustrate the performance of the proposed algorithm.