mlsanityData to 7 Oct 2026

Doubly Robust Bayesian Inference for Non-Stationary Streaming Data with β-Divergences

arXiv 1806.02261 ↗First posted 6 Jun 2018stat.ML cs.LGcited by 21

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Abstract (arXiv)

We present the very first robust Bayesian Online Changepoint Detection algorithm through General Bayesian Inference (GBI) with β-divergences. The resulting inference procedure is doubly robust for both the parameter and the changepoint (CP) posterior, with linear time and constant space complexity. We provide a construction for exponential models and demonstrate it on the Bayesian Linear Regression model. In so doing, we make two additional contributions: Firstly, we make GBI scalable using Structural Variational approximations that are exact as β → 0. Secondly, we give a principled way of choosing the divergence parameter β by minimizing expected predictive loss on-line. Reducing False Discovery Rates of CPs from more than 90% to 0% on real world data, this offers the state of the art.

Key facts. Cited by 21 papers in the map (data through 7 Oct 2026). First posted on arXiv 6 Jun 2018.

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Citing papers per year: 2021: 1; 2022: 4; 2023: 7; 2024: 3; 2025: 4; 2026: 2.

21 papers.

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  1. 2023A Rigorous Link between Deep Ensembles and (Variational) Bayesian Methodscited by 31
  2. 2024Outlier-robust Kalman Filtering through Generalised Bayescited by 21
  3. 2023Robust and Scalable Bayesian Online Changepoint Detectioncited by 16
  4. 2023Robust and Conjugate Gaussian Process Regressioncited by 14
  5. 2022WATCH: Wasserstein Change Point Detection for High-Dimensional Time Series Datacited by 13
  6. 2022Detecting Rumours with Latency Guarantees using Massive Streaming Datacited by 12
  7. 2023Open problems in causal structure learning: A case study of COVID-19 in the UKcited by 7
  8. 2021Active multi-fidelity Bayesian online changepoint detectioncited by 5
  9. 2022MOSPAT: AutoML based Model Selection and Parameter Tuning for Time Series Anomaly Detectioncited by 5
  10. 2024A unifying framework for generalised Bayesian online learning in non-stationary environmentscited by 5
  11. 2024Alpha-VI DeepONet: A prior-robust variational Bayesian approach for enhancing DeepONets with uncertainty quantificationcited by 4
  12. 2022Unsupervised Change Detection using DRE-CUSUMcited by 1
9 more
  1. 2025Federated Generalised Variational Inference: A Robust Probabilistic Federated Learning Frameworkcited by 1
  2. 2025Multi-Output Robust and Conjugate Gaussian Processescited by 1
  3. 2025Robust Bayesian Optimisation with Unbounded Corruptionscited by 1
  4. 2026Generalized Bayes for Causal Inferencecited by 1
  5. 2023Differentially Private Statistical Inference through β-Divergence One Posterior Samplingcited by 0
  6. 2023Greedy online change point detectioncited by 0
  7. 2023On the meaning of uncertainty for ethical AI: philosophy and practicecited by 0
  8. 2025Active Learning for Multiple Change Point Detection in Non-stationary Time Series with Deep Gaussian Processescited by 0
  9. 2026High-Dimensional Online Change Point Detection with Adaptive Thresholding and Interpretabilitycited by 0