Hi there, Over the last days I implemented Bayesian Changepoint Detection (online & offline versions). The code is not polished yet, but I wondered if there is interest in me getting the code to a state s.t. it could be included to scikit learn?
For the online version I basically translated a matlab version of the paper author [1], so I would have to clear licence stuff with him. The offline version is based on [2] and [3] but fully my own implementation. I first put it on github: http://github.com/hildensia/bayesian_changepoint_detection Best, Johannes [1] Ryan P. Adams, David J.C. MacKay, Bayesian Online Changepoint Detection, arXiv 0710.3742 (2007) [2] Paul Fearnhead, Exact and Efficient Bayesian Inference for Multiple Changepoint problems, Statistics and computing 16.2 (2006), pp. 203--213 [3] Xuan Xiang, Kevin Murphy, Modeling Changing Dependency Structure in Multivariate Time Series, ICML (2007), pp. 1055--1062 -- Question: What is the weird attachment to all my emails? Answer: http://en.wikipedia.org/wiki/Digital_signature
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