• Corpus ID: 235490088

Scalable Bayesian change point detection with spike and slab priors

@article{Cappello2021ScalableBC,
  title={Scalable Bayesian change point detection with spike and slab priors},
  author={Lorenzo Cappello and Oscar Hernan Madrid Padilla and Julia A. Palacios},
  journal={arXiv: Methodology},
  year={2021}
}
We study the use of spike and slab priors for consistent estimation of the number of change points and their locations. Leveraging recent results in the variable selection literature, we show that an estimator based on spike and slab priors achieves optimal localization rate in the multiple offline change point detection problem. Based on this estimator, we propose a Bayesian change point detection method, which is one of the fastest Bayesian methodologies, and it is more robust to… 

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