In this Supplemental Material we present, in addition to the figure with the measurements used, some other figures showing the plots of the accumulated observed and estimated means for the versions of the Poisson model that were not selected, an example of how the values generated by the MCMC algorithm behave, and the estimated posterior density functions of the change-points present in the selected models.We have also included one section where a discussion regarding the choices of the hyperparameters of the prior distributions are given. Additionally, for completeness, we give the tables with the estimated parameters in the cases of no, one and two changepoints that do not correspond to the chosen models, but were also estimated. We also include a section to present a simple simulation study to verify the adequacy of the model considered here, and another to present the corresponding maximum likelihood results. Additional figuresIn this section, the several figures mentioned in the main text, and not presented there, are given. We have the plots of the data used, some of the accumulated observed and estimated means, the trace-plots of some of the parameters, and the estimated posterior density functions of the change-points of the selected models. Bogota and Mexico City measurementsyears PM2.5_Bog_micg/m3

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