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Exact Bayesian curve fitting and signal segmentation.

Fearnhead, Paul (2005) Exact Bayesian curve fitting and signal segmentation. IEEE Transactions on Signal Processing, 53 (6). pp. 2160-2166. ISSN 1053-587X

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    Abstract

    We consider regression models where the underlying functional relationship between the response and the explanatory variable is modeled as independent linear regressions on disjoint segments. We present an algorithm for perfect simulation from the posterior distribution of such a model, even allowing for an unknown number of segments and an unknown model order for the linear regressions within each segment. The algorithm is simple, can scale well to large data sets, and avoids the problem of diagnosing convergence that is present with Monte Carlo Markov Chain (MCMC) approaches to this problem. We demonstrate our algorithm on standard denoising problems, on a piecewise constant AR model, and on a speech segmentation problem.

    Item Type: Article
    Journal or Publication Title: IEEE Transactions on Signal Processing
    Additional Information: "©2005 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE." "This material is presented to ensure timely dissemination of scholarly and technical work. Copyright and all rights therein are retained by authors or by other copyright holders. All persons copying this information are expected to adhere to the terms and constraints invoked by each author's copyright. In most cases, these works may not be reposted without the explicit permission of the copyright holder."
    Subjects: Q Science > QA Mathematics
    Departments: Faculty of Science and Technology > Mathematics and Statistics
    ID Code: 8195
    Deposited By: Prof Paul Fearnhead
    Deposited On: 15 Apr 2008 10:27
    Refereed?: Yes
    Published?: Published
    Last Modified: 09 Oct 2013 15:43
    Identification Number:
    URI: http://eprints.lancs.ac.uk/id/eprint/8195

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