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Forward Smoothing and Online EM in changepoint systems

Presented by: 
S Yildirim [Stats Lab]
Monday 26th September 2011 - 12:40 to 12:50
INI Seminar Room 1
In this talk, I will focus on forward smoothing in changepoint systems, which are gen- erally used to model the heterogeneity in the statistical data. After showing the SMC implementation of forward smoothing, I will show how we can perform the online EM algorithm for parameter estimation in changepoint systems.
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University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons