On Bayesian Nonparametric Continuous Time Series Models
George Karabatsos, Stephen Graham Walker · arXiv (Cornell University) · 2013
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.