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hildensia / bayesian_changepoint_detection

Methods to get the probability of a changepoint in a time series.

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R matrix in online_changepoint_detection function

cubesnyc opened this issue · comments

commented

Please correct me if I am wrong.

It seems like the R matrix is conflating the joint probability and the conditional probability. The last step in the iteration turns it into a conditional probability. When you then calculate the growth/changepoint probabilities, you are using the conditional probabilities instead of the joint probabilities as depicted in the paper.