Recursive Bayesian location of a discontinuity in time series

Author

Ruanaidh, J. J Ó ; Fitzgerald, W.J. ; Pope, K.J.

Author_Institution

Dept. of Eng., Cambridge Univ., UK

Volume

iv

fYear

1994

fDate

19-22 Apr 1994

Abstract

This paper presents a Bayesian approach to the location of a discontinuity in linearly modelled data. A matrix formulation is introduced which allows the modelling of changepoints in general linear models. Linear models investigated include abrupt changes in the mean of a Gaussian random variable, and piecewise polynomials such as splines, as well as autoregressive models. The approach facilitates the removal of nuisance parameters by integration. A general recursive technique for updating Bayesian posterior densities, which can result in large savings in computation, is also described

Keywords

Bayes methods; Gaussian processes; autoregressive processes; matrix algebra; parameter estimation; piecewise-linear techniques; recursive estimation; signal detection; splines (mathematics); time series; Bayesian posterior densities; Gaussian random variable; autoregressive models; changepoints detection; discontinuity location; integration; linear models; linearly modelled data; matrix; mean; piecewise linear model; piecewise polynomials; recursive Bayesian method; splines; time series; Bayesian methods; Data engineering; Gaussian noise; Helium; Matrices; Noise measurement; Nonlinear equations; Piecewise linear techniques; Polynomials; Vectors;

fLanguage

English

Publisher

ieee

Conference_Titel

Acoustics, Speech, and Signal Processing, 1994. ICASSP-94., 1994 IEEE International Conference on

Conference_Location

Adelaide, SA

ISSN

1520-6149

Print_ISBN

0-7803-1775-0

Type

conf

DOI

10.1109/ICASSP.1994.389767

Filename

389767