PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Adaptive Sequential Bayesian Change Point Detection
Ryan Turner, Yunus Saatci and Carl Edward Rasmussen
In: Temporal Segmentation Workshop at NIPS 2009, 12 Dec 2009, Whistler, BC.


Real-world time series are often nonstationary with respect to the parameters of some underlying prediction model (UPM). Furthermore, it is often desirable to adapt the UPM to incoming regime changes as soon as possible, necessitating sequential inference about change point locations. A Bayesian algorithm for online change point detection (BOCPD) has been introduced recently by Adams and MacKay (2007). In this algorithm, uncertainty about the last change point location is updated sequentially, and is integrated out to make online predictions robust to parameter changes. BOCPD requires a set of fixed hyper-parameters which allow the user to fully specify the hazard function for change points and the prior distribution over the parameters of the UPM. In practice, finding the ``right'' hyper-parameters can be quite difficult. We therefore extend BOCPD by introducing hyper-parameter learning, without sacrificing the online nature of the algorithm. Hyper-parameter learning is performed by optimizing the marginal likelihood of the BOCPD model, a closed-form quantity which can be computed sequentially. We illustrate performance on three real-world datasets.

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EPrint Type:Conference or Workshop Item (Talk)
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Learning/Statistics & Optimisation
ID Code:6628
Deposited By:Ryan Turner
Deposited On:08 March 2010