bayesWatch
CRANbayesWatchMaRDI QIDQ5977389FDOQ5977389
Bayesian Change-Point Detection for Process Monitoring with Fault Detection
Last update: 27 January 2024
Copyright license: GNU General Public License, version 3.0
Software version identifier: 0.1.0, 0.1.1, 0.1.2, 0.1.3
Bayes Watch fits an array of Gaussian Graphical Mixture Models to groupings of homogeneous data in time, called regimes, which are modeled as the observed states of a Markov process with unknown transition probabilities. In doing so, Bayes Watch defines a posterior distribution on a vector of regime assignments, which gives meaningful expressions on the probability of every possible change-point. Bayes Watch also allows for an effective and efficient fault detection system that assesses what features in the data where the most responsible for a given change-point. For further details, see: Alexander C. Murph et al. (2023) <arXiv:2310.02940>.
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