Jack E Jewson

Doubly Robust Bayesian Inference for Non-Stationary Streaming Data with $\beta$-Divergences

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 predictive and the changepoint (CP) posterior, with linear time and constant space compl…