Scalable Bayesian Multiple Changepoint Detection via Auxiliary Uniformisation

DOI10.1111/insr.12511arXiv2006.15532MaRDI QIDQ6089881

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Publication date: 15 December 2023

Published in: International Statistical Review (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.15532

zbMATH Keywords

collapsed Gibbs samplerauxiliary uniformisation forward-filtering backward-sampling algorithmschangepoint problem in discrete timePoisson randomisationsparse filtering recursion

Mathematics Subject Classification ID

Parametric inference (62Fxx) Inference from stochastic processes (62Mxx) Probabilistic methods, stochastic differential equations (65Cxx)

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