Document Detail

Bayesian online learning of the hazard rate in change-point problems.
MedLine Citation:
PMID:  20569174     Owner:  NLM     Status:  MEDLINE    
Change-point models are generative models of time-varying data in which the underlying generative parameters undergo discontinuous changes at different points in time known as change points. Change-points often represent important events in the underlying processes, like a change in brain state reflected in EEG data or a change in the value of a company reflected in its stock price. However, change-points can be difficult to identify in noisy data streams. Previous attempts to identify change-points online using Bayesian inference relied on specifying in advance the rate at which they occur, called the hazard rate (h). This approach leads to predictions that can depend strongly on the choice of h and is unable to deal optimally with systems in which h is not constant in time. In this letter, we overcome these limitations by developing a hierarchical extension to earlier models. This approach allows h itself to be inferred from the data, which in turn helps to identify when change-points occur. We show that our approach can effectively identify change-points in both toy and real data sets with complex hazard rates and how it can be used as an ideal-observer model for human and animal behavior when faced with rapidly changing inputs.
Robert C Wilson; Matthew R Nassar; Joshua I Gold
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Publication Detail:
Type:  Journal Article    
Journal Detail:
Title:  Neural computation     Volume:  22     ISSN:  1530-888X     ISO Abbreviation:  Neural Comput     Publication Date:  2010 Sep 
Date Detail:
Created Date:  2010-08-03     Completed Date:  2010-11-22     Revised Date:  2014-09-24    
Medline Journal Info:
Nlm Unique ID:  9426182     Medline TA:  Neural Comput     Country:  United States    
Other Details:
Languages:  eng     Pagination:  2452-76     Citation Subset:  IM    
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MeSH Terms
Bayes Theorem*
Models, Statistical*
Grant Support
T90 DA022763/DA/NIDA NIH HHS; T90 DA022763-03/DA/NIDA NIH HHS

From MEDLINE®/PubMed®, a database of the U.S. National Library of Medicine

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