2021
DOI: 10.1007/s11265-021-01705-8
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Multinomial Sampling of Latent Variables for Hierarchical Change-Point Detection

Abstract: Bayesian change-point detection, with latent variable models, allows to perform segmentation of high-dimensional time-series with heterogeneous statistical nature. We assume that change-points lie on a lower-dimensional manifold where we aim to infer a discrete representation via subsets of latent variables. For this particular model, full inference is computationally unfeasible and pseudo-observations based on point-estimates of latent variables are used instead. However, if their estimation is not certain en… Show more

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Cited by 3 publications
(6 citation statements)
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“…Missing data are handled differently by the model when observations are partially missing (one or some features are totally or partially missing within a day) or totally missing (every feature is missing that day). The first case is handled in the daily profiling step through the Heterogeneous Mixture Model, following the approach detailed in [36,37]. The second situation is tackled in the second stage, when the change-point detection model is applied through the sequence of daily profile representations.…”
Section: Discussionmentioning
confidence: 99%
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“…Missing data are handled differently by the model when observations are partially missing (one or some features are totally or partially missing within a day) or totally missing (every feature is missing that day). The first case is handled in the daily profiling step through the Heterogeneous Mixture Model, following the approach detailed in [36,37]. The second situation is tackled in the second stage, when the change-point detection model is applied through the sequence of daily profile representations.…”
Section: Discussionmentioning
confidence: 99%
“…The second situation is tackled in the second stage, when the change-point detection model is applied through the sequence of daily profile representations. In this case, we consider a Bayesian approach that is based on marginalization of missing observations, as also detailed in [36,37]. Treating missing data through algorithms instead of heuristic approaches provides robustness and allows to reduce the false alarm rate.…”
Section: Discussionmentioning
confidence: 99%
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“…• Behavior indicator: This variable is 1 if a new behavior has started this day and 0 otherwise. • Stability indicator: This variable is 1 if the user is stable this day and 0 otherwise (26).…”
Section: Behavioral Indicatorsmentioning
confidence: 99%