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stat.ME2011
Markov chain Monte Carlo for exact inference for diffusions
Giorgos Sermaidis, Omiros Papaspiliopoulos, Gareth O. Roberts +2
We develop exact Markov chain Monte Carlo methods for discretely-sampled, directly and indirectly observed diffusions. The qualification "exact" refers to the fact that the invaria…
stat.ME2011★ 2.7k cited
Optimal detection of changepoints with a linear computational cost
R. Killick, P. Fearnhead, I. A. Eckley
We consider the problem of detecting multiple changepoints in large data sets. Our focus is on applications where the number of changepoints will increase as we collect more data:…