论文标题

贝叶斯差异变化点检测具有可靠的集合

Bayesian variance change point detection with credible sets

论文作者

Cappello, Lorenzo, Padilla, Oscar Hernan Madrid

论文摘要

本文介绍了一种新型的贝叶斯方法,以检测高斯序列模型的方差变化,重点是量化变化点位置中的不确定性,并为推理提供可伸缩的算法。当将变更点方法部署在敏感应用程序中时,必须进行这种不确定性的量度,例如,当人们有兴趣确定器官是否可行移植时。我们提案的关键是将问题构建为比例参数多个单个变化的产物。我们通过类似于添加剂模型的迭代过程拟合模型。新颖的是,每次迭代都会返回时间实例的概率分布,从而捕获了变更点位置的不确定性。利用文献中的最新结果,我们可以证明我们的建议是确切模型后验分布的变异近似。我们研究该算法的收敛性和变化点定位率。模拟研究中的广泛实验说明了我们方法的性能以及将其推广到更复杂的数据生成机制的可能性。我们将新模型应用于涉及一种新技术的实验,以评估肝脏和海洋学数据的生存能力。

This paper introduces a novel Bayesian approach to detect changes in the variance of a Gaussian sequence model, focusing on quantifying the uncertainty in the change point locations and providing a scalable algorithm for inference. Such a measure of uncertainty is necessary when change point methods are deployed in sensitive applications, for example, when one is interested in determining whether an organ is viable for transplant. The key of our proposal is framing the problem as a product of multiple single changes in the scale parameter. We fit the model through an iterative procedure similar to what is done for additive models. The novelty is that each iteration returns a probability distribution on time instances, which captures the uncertainty in the change point location. Leveraging a recent result in the literature, we can show that our proposal is a variational approximation of the exact model posterior distribution. We study the algorithm's convergence and the change point localization rate. Extensive experiments in simulation studies illustrate the performance of our method and the possibility of generalizing it to more complex data-generating mechanisms. We apply the new model to an experiment involving a novel technique to assess the viability of a liver and oceanographic data.

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