Sequential Bayesian prediction in the presence of changepoints
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...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2009
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