Robust and Scalable Bayesian Online Changepoint Detection

This paper proposes an online, provably robust, and scalable Bayesian approach for changepoint detection. The resulting algorithm has key advantages over previous work: it provides provable robustness by leveraging the generalised Bayesian perspective, and also addresses the scalability issues of pr...

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Veröffentlicht in:	arXiv.org 2023-05
Hauptverfasser:	Altamirano, Matias, François-Xavier Briol, Knoblauch, Jeremias
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Bayesian analysis Mathematical analysis Robustness
Online-Zugang:	Volltext
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