• Corpus ID: 60441440

Bayesian Online Detection and Prediction of Change Points

  title={Bayesian Online Detection and Prediction of Change Points},
  author={Diego Agudelo-Espa{\~n}a and Sebasti{\'a}n G{\'o}mez-Gonz{\'a}lez and Stefan Bauer and Bernhard Sch{\"o}lkopf and Jan 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). This enables us to handle observation models which depend on the total segment duration, which is useful to model data sequences with temporal… 

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