| Name : R-beast
| |
| Version : 1.1
| Vendor : obs://build_opensuse_org/devel:languages:R
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| Release : lp153.2.13
| Date : 2024-06-14 11:18:28
|
| Group : Development/Libraries/Other
| Source RPM : R-beast-1.1-lp153.2.13.src.rpm
|
| Size : 0.30 MB
| |
| Packager : (none)
| |
| Summary : Bayesian Estimation of Change-Points in the Slope of Multivariate Time-Series
|
Description :
Assume that a temporal process is composed of contiguous segments with
differing slopes and replicated noise-corrupted time series
measurements are observed. The unknown mean of the data generating
process is modelled as a piecewise linear function of time with an
unknown number of change-points. The package infers the joint posterior
distribution of the number and position of change-points as well as the
unknown mean parameters per time-series by MCMC sampling. A-priori, the
proposed model uses an overfitting number of mean parameters but,
conditionally on a set of change-points, only a subset of them
influences the likelihood. An exponentially decreasing prior
distribution on the number of change-points gives rise to a posterior
distribution concentrating on sparse representations of the underlying
sequence, but also available is the Poisson distribution. See
Papastamoulis et al (2017) < arXiv:1709.06111> for a detailed
presentation of the method.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Leap_15.3/x86_64 |
