Scalable Bayesian Multiple Changepoint Detection via Auxiliary Uniformisation
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Publication:6089881
DOI10.1111/insr.12511arXiv2006.15532MaRDI QIDQ6089881
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
collapsed Gibbs samplerauxiliary uniformisation forward-filtering backward-sampling algorithmschangepoint problem in discrete timePoisson randomisationsparse filtering recursion
Parametric inference (62Fxx) Inference from stochastic processes (62Mxx) Probabilistic methods, stochastic differential equations (65Cxx)
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