Poster
in
Workshop: Structured Probabilistic Inference and Generative Modeling
Robust and Scalable Bayesian Online Changepoint Detection
Matias Altamirano · Francois-Xavier Briol · Jeremias Knoblauch
Keywords: [ generalised Bayes ] [ Changepoint detection ] [ Score-matching ] [ robust Bayes ]
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.