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Concave-Convex PDMP-based sampling
Matthew Sutton, Paul Fearnhead
Recently non-reversible samplers based on simulating piecewise deterministic Markov processes (PDMPs) have shown potential for efficient sampling in Bayesian inference problems. Ho…
PDMP Monte Carlo methods for piecewise-smooth densities
Augustin Chevallier, Sam Power, Andi Q. Wang +1
There has been substantial interest in developing Markov chain Monte Carlo algorithms based on piecewise-deterministic Markov processes. However existing algorithms can only be use…
Fast Online Changepoint Detection via Functional Pruning CUSUM statistics
Gaetano Romano, Idris Eckley, Paul Fearnhead +1
Many modern applications of online changepoint detection require the ability to process high-frequency observations, sometimes with limited available computational resources. Onlin…
Collective anomaly detection in High-dimensional VAR Models
Hyeyoung Maeng, Idris Eckley, Paul Fearnhead
There is increasing interest in detecting collective anomalies: potentially short periods of time where the features of data change before reverting back to normal behaviour. We pr…