Research output: Contribution to Journal/Magazine › Journal article › peer-review
Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Online Inference for Multiple Changepoint Problems.
AU - Fearnhead, P
AU - Liu, Z
PY - 2007
Y1 - 2007
N2 - We propose an on-line algorithm for exact filtering of multiple changepoint problems. This algorithm enables simulation from the true joint posterior distribution of the number and position of the changepoints for a class of changepoint models. The computational cost of this exact algorithm is quadratic in the number of observations. We further show how resampling ideas from particle filters can be used to reduce the computational cost to linear in the number of observations, at the expense of introducing small errors; and propose two new, optimum resampling algorithms for this problem. One, a version of rejection control, allows the particle filter to automatically choose the number of particles required at each time-step. The new resampling algorithms substantially out-perform standard resampling algorithms on examples we consider; and we demonstrate how the resulting particle filter is practicable for segmentation of human GC content.
AB - We propose an on-line algorithm for exact filtering of multiple changepoint problems. This algorithm enables simulation from the true joint posterior distribution of the number and position of the changepoints for a class of changepoint models. The computational cost of this exact algorithm is quadratic in the number of observations. We further show how resampling ideas from particle filters can be used to reduce the computational cost to linear in the number of observations, at the expense of introducing small errors; and propose two new, optimum resampling algorithms for this problem. One, a version of rejection control, allows the particle filter to automatically choose the number of particles required at each time-step. The new resampling algorithms substantially out-perform standard resampling algorithms on examples we consider; and we demonstrate how the resulting particle filter is practicable for segmentation of human GC content.
KW - Direct simulation
KW - Isochores
KW - Rejection control
KW - Sequential Monte Carlo
KW - Stratified sampling
KW - Particle Filtering
U2 - 10.1111/j.1467-9868.2007.00601.x
DO - 10.1111/j.1467-9868.2007.00601.x
M3 - Journal article
VL - 69
SP - 589
EP - 605
JO - Journal of the Royal Statistical Society: Series B (Statistical Methodology)
JF - Journal of the Royal Statistical Society: Series B (Statistical Methodology)
SN - 1369-7412
IS - 4
ER -