Sequential Bayesian prediction in the presence of changepoints

@inproceedings{Garnett2009SequentialBP,
  title={Sequential Bayesian prediction in the presence of changepoints},
  author={Roman Garnett and Michael A. Osborne and Stephen J. Roberts},
  booktitle={ICML},
  year={2009}
}
We introduce a new sequential algorithm for making robust predictions in the presence of changepoints. Unlike previous approaches, which focus on the problem of detecting and locating changepoints, our algorithm focuses on the problem of making predictions even when such changes might be present. We introduce nonstationary covariance functions to be used in Gaussian process prediction that model such changes, then proceed to demonstrate how to effectively manage the hyperparameters associated… CONTINUE READING
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Hierarchical Bayesian analysis of changepoint problems

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