On Bayesian Nonparametric Continuous Time Series Models

George Karabatsos; Stephen G. Walker

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arXiv · 1303.0439

On Bayesian Nonparametric Continuous Time Series Models

George Karabatsos·Stephen G. Walker

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Abstract

This paper is a note on the use of Bayesian nonparametric mixture models for continuous time series. We identify a key requirement for such models, and then establish that there is a single type of model which meets this requirement. As it turns out, the model is well known in multiple change-point problems.

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BibTeX RIS

George Karabatsos, Stephen G. Walker. 2013-03-03. On Bayesian Nonparametric Continuous Time Series Models. https://arxiv.org/abs/1303.0439

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