Differentiable Algorithm for Marginalising Changepoints

22 Nov 2019Hyoungjin LimGwonsoo CheWonyeol LeeHongseok Yang

We present an algorithm for marginalising changepoints in time-series models that assume a fixed number of unknown changepoints. Our algorithm is differentiable with respect to its inputs, which are the values of latent random variables other than changepoints... (read more)

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