On-line inference for multiple changepoint problems
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 quadr...
Main Authors: | Fearnhead, P, Liu, Z |
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Format: | Journal article |
Language: | English |
Published: |
2007
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