Robust and Scalable Bayesian Online Changepoint Detection
Abstract
This paper proposes an online, provably robust, and scalable Bayesian approach for changepoint detection. The resulting algorithm has key advantages over previous work: it provides provable robustness by leveraging the generalised Bayesian perspective and also addresses the scalability issues of previous attempts. Specifically, the proposed generalised Bayesian formalism leads to conjugate posteriors whose parameters are available in closed form by leveraging diffusion score matching. The resulting algorithm is exact and can be updated through simple algebra.
Cite
Text
Altamirano et al. "Robust and Scalable Bayesian Online Changepoint Detection." ICML 2023 Workshops: SPIGM, 2023.Markdown
[Altamirano et al. "Robust and Scalable Bayesian Online Changepoint Detection." ICML 2023 Workshops: SPIGM, 2023.](https://mlanthology.org/icmlw/2023/altamirano2023icmlw-robust/)BibTeX
@inproceedings{altamirano2023icmlw-robust,
title = {{Robust and Scalable Bayesian Online Changepoint Detection}},
author = {Altamirano, Matias and Briol, Francois-Xavier and Knoblauch, Jeremias},
booktitle = {ICML 2023 Workshops: SPIGM},
year = {2023},
url = {https://mlanthology.org/icmlw/2023/altamirano2023icmlw-robust/}
}