Latent Neural Stochastic Differential Equations for Change Point Detection.
Artem RyzhikovMikhail HushchynDenis DerkachPublished in: CoRR (2022)
Keyphrases
- change point detection
- stochastic differential equations
- non stationary
- change point
- fractional brownian motion
- maximum a posteriori estimation
- sequential data
- outlier detection
- network architecture
- brownian motion
- normalized maximum likelihood
- latent variables
- additive gaussian noise
- knowledge discovery
- markov chain
- regression model