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Inference in continuous time changepoint point models
Florian Stimberg · Manfred Opper · Guido Sanguinetti · Andreas Ruttor

Tue Dec 13 08:45 AM -- 02:59 PM (PST) @

We consider the problem of Bayesian inference for continuous time multi-stable stochastic systems which can change both their diffusion and drift parameters at discrete times. We propose exact inference and sampling methodologies for two specific cases where the discontinuous dynamics is given by a Poisson process and a two-state Markovian switch. We test the methodology on simulated data, and apply it to two real data sets in finance and systems biology. Our experimental results show that the approach leads to valid inferences and non-trivial insights.

Author Information

Florian Stimberg (TU Berlin)
Manfred Opper (Technische Universitaet Berlin)
Guido Sanguinetti (University of Edinburgh)
Andreas Ruttor (TU Berlin)

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