On-line Inference for Multiple Change Points Problems

@inproceedings{Fearnhead2007OnlineIF,
  title={On-line Inference for Multiple Change Points Problems},
  author={Paul Fearnhead and Zhen Liu},
  year={2007}
}
We propose an on-line algorithm for exact filtering of multiple changepoint problems. This algorithm enables simulation from the true joint posterior distribution of the number and position of the changepoints for a class of changepoint models. The computational cost of this exact algorithm is quadratic in the number of observations. We further show how resampling ideas from particle filters can be used to reduce the computational cost to linear in the number of observations, at the expense of… CONTINUE READING
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