Trend and Variance Adaptive Bayesian Changepoint Analysis and Local Outlier Scoring
适应趋势与方差变化的贝叶斯变点分析及局部异常值评分
We adaptively estimate both changepoints and local outlier processes in a Bayesian dynamic linear model with global-local shrinkage priors in a novel model we call Adaptive Bayesian Changepoints with Outliers (ABCO). We use a state-space approach to identify a dynamic signal in the presence of outliers and measurement error with stochastic volatility. We find that global state equation parameters are inadequate for most real applications and we include local parameters to…