Changepoint detection in non-exchangeable data

• Published in: Statistics and computing Vol. 32; no. 6
• Main Authors: Hallgren, Karl L., Heard, Nicholas A., Adams, Niall M.
• Format: Journal Article
• Language: English
• Published: New York Springer US 01.12.2022; Springer Nature B.V
• Subjects: Algorithms; Artificial Intelligence; Change detection; Computer networks; Computer Science; Markov chains; Mathematical models; Original Paper; Parameters; Probability and Statistics in Computer Science; Segments; Statistical Theory and Methods; Statistics and Computing/Statistics Programs; Changepoint detection; Reversible jump MCMC; Dependent data
• ISSN: 0960-3174; 1573-1375
• DOI: 10.1007/s11222-022-10176-1

Changepoint models typically assume the data within each segment are independent and identically distributed conditional on some parameters that change across segments. This construction may be inadequate when data are subject to local correlation patterns, often resulting in many more changepoints...