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Add Bayesian method #14

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bardwell opened this issue Mar 8, 2015 · 0 comments
Open

Add Bayesian method #14

bardwell opened this issue Mar 8, 2015 · 0 comments
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@bardwell
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bardwell commented Mar 8, 2015

allow a Bayesian analysis to be done.

Uses Particle filtering so quite quick tho slower than PELT

For the user requires
a) Specification of the distribution for the time between chpts (could be Poisson etc)
b) A Marginal likelihood for segments (analogous to cost functions) instead of maximising -2*log likelihood you integratethe likelihood wih respect to prior for parameter. For speed use conjugate priors.

Was thinking of using a macro like the other methods and then returning a new type ChptPosterior then can overload rand() to sample from it.

@bardwell bardwell self-assigned this Mar 8, 2015
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