BriefGPT.xyz
Jun, 2018
双重稳健贝叶斯推断在具有 $β$-散度的非平稳数据流中的应用
Doubly Robust Bayesian Inference for Non-Stationary Streaming Data with $β$-Divergences
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Jeremias Knoblauch, Jack Jewson, Theodoros Damoulas
TL;DR
该论文首次提出了具备线性时间和常数空间复杂度的鲁棒性贝叶斯在线变点检测算法,通过结构变分近似使GBI可扩展,并提供了一种选择差异参数β的原则方法,从而降低变点的误发现率。
Abstract
We present the very first robust Bayesian Online
changepoint detection
algorithm through General
bayesian inference
(GBI) with $\beta$-divergences. The resulting inference procedure is doubly robust for both the
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