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Sequential Bayesian Prediction in the Presence of Changepoints and Faults

Abstract:

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 Gaussianprocess prediction that model such changes, then proceed to demonstrate how to effectively manage the hyperparameters associated ...

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Publication status:
Published

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Publisher copy:
10.1093/comjnl/bxq003

Authors


More by this author
Institution:
University of Oxford
Department:
Oxford, MPLS, Engineering Science
Role:
Author
More by this author
Institution:
University of Oxford
Department:
Oxford, MPLS, Engineering Science
Role:
Author
More by this author
Institution:
University of Oxford
Department:
Oxford, MPLS, Engineering Science
Role:
Author
Journal:
COMPUTER JOURNAL
Volume:
53
Issue:
9
Pages:
1430-1446
Publication date:
2010-01-01
DOI:
EISSN:
1460-2067
ISSN:
0010-4620
URN:
uuid:7752f498-17f5-45b4-9d48-1f745b334978
Source identifiers:
103692
Local pid:
pubs:103692

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