Bayesian Online Changepoint Detection

Changepoints are abrupt variations in the generative parameters of a data sequence. Online detection of changepoints is useful in modelling and prediction of time series in application areas such as finance, biometrics, and robotics. While frequentist methods have yielded online filtering and prediction techniques, most Bayesian papers have focused on the retrospective segmentation problem. Here we examine the case where the model parameters before and after the changepoint are independent and we derive an online algorithm for exact inference of the most recent changepoint. We compute the probability distribution of the length of the current ``run,'' or time since the last changepoint, using a simple message-passing algorithm. Our implementation is highly modular so that the algorithm may be applied to a variety of types of data. We illustrate this modularity by demonstrating the algorithm on three different real-world data sets.

Nonparametric Bayesian Density Modeling with Gaussian Processes

We present the Gaussian process density sampler (GPDS), an exchangeable generative model for use in nonparametric Bayesian density estimation. Samples drawn from the GPDS are consistent with exact, independent samples from a distribution defined by a density that is a transformation of a function drawn from a Gaussian process prior. Our formulation allows us to infer an unknown density from data using Markov chain Monte Carlo, which gives samples from the posterior distribution over density functions and from the predictive distribution on data space. We describe two such MCMC methods. Both methods also allow inference of the hyperparameters of the Gaussian process.

A Bayesian wavelet-based multidimensional deconvolution with sub-band emphasis

This paper proposes a new algorithm for waveletbased multidimensional image deconvolution which employs subband-dependent minimization and the dual-tree complex wavelet transform in an iterative Bayesian framework. In addition, this algorithm employs a new prior instead of the popular ℓ1 norm, and is thus able to embed a learning scheme during the iteration which helps it to achieve better deconvolution results and faster convergence. © 2008 IEEE.

A Bayesian Approach to the Restoration of Degraded Audio Signals

In this paper we derive the a posteriori probability for the location of bursts of noise additively superimposed on a Gaussian AR process. The theory is developed to give a sequentially based restoration algorithm suitable for real-time applications. The algorithm is particularly appropriate for digital audio restoration, where clicks and scratches may be modelled as additive bursts of noise. Experiments are carried out on both real audio data and synthetic AR processes and Significant improvements are demonstrated over existing restoration techniques. © 1995 IEEE