Journal article
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
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Authors
Bibliographic Details
- Journal:
- COMPUTER JOURNAL
- Volume:
- 53
- Issue:
- 9
- Pages:
- 1430-1446
- Publication date:
- 2010-01-01
- DOI:
- EISSN:
-
1460-2067
- ISSN:
-
0010-4620
- Source identifiers:
-
103692
Item Description
- Language:
- English
- Keywords:
- Pubs id:
-
pubs:103692
- UUID:
-
uuid:7752f498-17f5-45b4-9d48-1f745b334978
- Local pid:
- pubs:103692
- Deposit date:
- 2012-12-19
Terms of use
- Copyright date:
- 2010
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