On Bayesian Nonparametric Continuous Time Series Models
Karabatsos, George · Walker, Stephen G.
Original · EN
This paper is a note on the use of Bayesian nonparametric mixture models for continuous time series. We identify a key requirement for such models, and then establish that there is a single type of model which meets this requirement. As it turns out, the model is well known in multiple change-point problems.
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