Bayesian Online Prediction of Change Points

12 Feb 2019Diego Agudelo-EspañaSebastian Gomez-GonzalezStefan BauerBernhard SchölkopfJan Peters

Online detection of instantaneous changes in the generative process of a data sequence generally focuses on retrospective inference of such change points without considering their future occurrences. We extend the Bayesian Online Change Point Detection algorithm to also infer the number of time steps until the next change point (i.e., the residual time)... (read more)

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