Bayesian Change Point Detection with Spike-and-Slab Priors.
Lorenzo CappelloOscar Hernan Madrid PadillaJulia A. PalaciosPublished in: J. Comput. Graph. Stat. (2023)
Keyphrases
- change point detection
- change point
- non stationary
- singular spectrum analysis
- outlier detection
- prior distribution
- sequential data
- prior probabilities
- normalized maximum likelihood
- high dimensional time series
- bayesian framework
- minimum description length
- prior information
- prior knowledge
- posterior distribution
- neural network
- bayesian inference