2023
Bayesian online change point detection with Hilbert space approximate Student-t process
ICML 2023poster
In this paper, we introduce a variant of Bayesian online change point detection with a reducedrank Student-t process (TP) and dependent Student-t noise, as a nonparametric time series model. Our method builds and improves upon the state-of-the-art Gaussian process (GP) change point model benchmark o…