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تسجيل مستخدم جديدScalable Gaussian Processes for Characterizing Multidimensional Change Surfaces
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We present a scalable Gaussian process model for identifying and characterizing smooth multidimensional changepoints, and automatically learning changes in expressive covariance structure. We use Random Kitchen Sink features to flexibly define a change surface in combination with expressive spectral mixture kernels to capture the complex statistical structure. Finally, through the use of novel methods for additive non-separable kernels, we can scale the model to large datasets. We demonstrate the model on numerical and real world data, including a large spatio-temporal disease dataset where we identify previously unknown heterogeneous changes in space and time.
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Identifying changes in model parameters is fundamental in machine learning and statistics. However, standard changepoint models are limited in expressiveness, often addressing unidimensional problems and assuming instantaneous changes. We introduce c
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