Product Partition Models for Modelling Changing Dependency Structure in Time Series

author: Kevin P. Murphy, Research at Google, Google, Inc.
published: Jan. 19, 2010,   recorded: December 2009,   views: 4539

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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.

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