Product Partition Models for Modelling Changing Dependency Structure in Time Series
published: Jan. 19, 2010, recorded: December 2009, views: 4535
Report a problem or upload filesIf you have found a problem with this lecture or would like to send us extra material, articles, exercises, etc., please use our ticket system to describe your request and upload the data.
Enter your e-mail into the 'Cc' field, and we will keep you updated with your request's status.
We show how to apply the efficient Bayesian changepoint detection techniques of Fearnhead in the multivariate setting. We model the joint density of vector-valued observations using undirected Gaussian graphical models, whose structure we estimate. We show how we can exactly compute the MAP segmentation, as well as how to draw perfect samples from the posterior over segmentations, simultaneously accounting for uncertainty about the number and location of changepoints, as well as uncertainty about the covariance structure. We illustrate the technique by applying it to financial data and to bee tracking data.
Link this pageWould you like to put a link to this lecture on your homepage?
Go ahead! Copy the HTML snippet !