IEEE - Institute of Electrical and Electronics Engineers, Inc. - Computationally Efficient Off-Line Joint Change Point Detection in Multiple Time Series

Author(s): Markus Eriksson ; Tomas Olofsson
Sponsor(s): IEEE Signal Processing Society
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 January 2019
Volume: 67
Page(s): 149 - 163
ISSN (Electronic): 1941-0476
ISSN (Paper): 1053-587X
DOI: 10.1109/TSP.2018.2880669
Regular:

In this paper, a computationally efficient algorithm for Bayesian joint change point detection (CPD) in multiple time series is presented. The data generation model includes a number of change... View More

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