mlsanityData to 7 Oct 2026

Robust and Scalable Bayesian Online Changepoint Detection

arXiv 2302.04759 ↗First posted 9 Feb 2023stat.ML cs.LGcited by 16

Not on the map. Why?

Abstract (arXiv)

This paper proposes an online, provably robust, and scalable Bayesian approach for changepoint detection. The resulting algorithm has key advantages over previous work: it provides provable robustness by leveraging the generalised Bayesian perspective, and also addresses the scalability issues of previous attempts. Specifically, the proposed generalised Bayesian formalism leads to conjugate posteriors whose parameters are available in closed form by leveraging diffusion score matching. The resulting algorithm is exact, can be updated through simple algebra, and is more than 10 times faster than its closest competitor.

Key facts. Cited by 16 papers in the map (data through 7 Oct 2026). Builds on 35 of its 81 references that are in the map. First posted on arXiv 9 Feb 2023.

Builds on

35 of 81 references.

References · 35

  1. 2019Generative Modeling by Estimating Gradients of the Data Distributioncited by 4,067
  2. 2013A General Framework for Updating Belief Distributionscited by 172
  3. 2016Deep Structured Energy Based Models for Anomaly Detectioncited by 113
  4. 2019Minimum Stein Discrepancy Estimatorscited by 57
  5. 2021Robust Generalised Bayesian Inference for Intractable Likelihoodscited by 53
  6. 2017Assigning a value to a power likelihood in a general Bayesian modelcited by 46
  7. 2021Martingale posterior distributionscited by 43
  8. 2013Density Estimation in Infinite Dimensional Exponential Familiescited by 41
  9. 2022Robust Bayesian Inference for Simulator-based Models via the MMD Posterior Bootstrapcited by 41
  10. 2019MMD-Bayes: Robust Bayesian Estimation via Maximum Mean Discrepancycited by 35
  11. 2017General Bayesian Updating and the Loss-Likelihood Bootstrapcited by 34
  12. 2021Stein's Method Meets Computational Statistics: A Review of Some Recent Developmentscited by 32
23 more
  1. 2015Calibrating general posterior credible regionscited by 26
  2. 2020A comparison of learning rate selection methods in generalized Bayesian inferencecited by 23
  3. 2018Doubly Robust Bayesian Inference for Non-Stationary Streaming Data with β-Divergencescited by 21
  4. 2019Estimating Density Models with Truncation Boundaries using Score Matchingcited by 20
  5. 2020Generalized Posteriors in Approximate Bayesian Computationcited by 19
  6. 2017Variational Inference based on Robust Divergencescited by 15
  7. 2021General Bayesian Loss Function Selection and the use of Improper Modelscited by 14
  8. 2022Generalised Bayesian Inference for Discrete Intractable Likelihoodcited by 14
  9. 2018Spatio-temporal Bayesian On-line Changepoint Detection with Model Selectioncited by 13
  10. 2020Generalized Score Matching for General Domainscited by 13
  11. 2022Towards Healing the Blindness of Score Matchingcited by 13
  12. 2017Objective Bayesian inference with proper scoring rulescited by 12
  13. 2017Bayesian model comparison with the Hyv"arinen score: computation and consistencycited by 10
  14. 2022Direct Gibbs posterior inference on risk minimizers: construction, concentration, and calibrationcited by 7
  15. 2023An MCMC Approach to Classical Estimationcited by 7
  16. 2018Graphical Models for Non-Negative Data Using Generalized Score Matchingcited by 6
  17. 2023Quickest Change Detection for Unnormalized Statistical Modelscited by 6
  18. 2020Score matching for compositional distributionscited by 5
  19. 2021Active multi-fidelity Bayesian online changepoint detectioncited by 5
  20. 2022Generalized Score Matching for Regressioncited by 5
  21. 2019Robust Deep Gaussian Processescited by 3
  22. 2021Changepoint detection in non-exchangeable datacited by 3
  23. 2022Doubly-online changepoint detection for monitoring health status during sports activitiescited by 2

Built on by

Cited by year (2026 to 7 Oct)

Citing papers per year: 2023: 3; 2024: 2; 2025: 6; 2026: 5.

16 papers.

Sort:

By area:

  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 Conjugate Gaussian Process Regressioncited by 14
  4. 2025Robust and Conjugate Spatio-Temporal Gaussian Processescited by 9
  5. 2024On the Robustness of Kernel Goodness-of-Fit Testscited by 7
  6. 2025Decision Making under Model Misspecification: DRO with Robust Bayesian Ambiguity Setscited by 2
  7. 2025Diffusion-Based Hypothesis Testing and Change-Point Detectioncited by 2
  8. 2025Federated Generalised Variational Inference: A Robust Probabilistic Federated Learning Frameworkcited by 1
  9. 2025Multi-Output Robust and Conjugate Gaussian Processescited by 1
  10. 2026Outlier-robust Diffusion Posterior Sampling for Bayesian Inverse Problemscited by 1
  11. 2026A Predictive View on Streaming Hidden Markov Modelscited by 1
  12. 2023Differentially Private Statistical Inference through β-Divergence One Posterior Samplingcited by 0
4 more
  1. 2025A theoretical framework for M-posteriors: frequentist guarantees and robustness propertiescited by 0
  2. 2026Online Regime-aware Calibration for Black-box Social Simulators via Posterior-assisted Evolutionary Dynamic Optimizationcited by 0
  3. 2026Mixed neural posterior estimation for simulators with discrete and continuous parameterscited by 0
  4. 2026Robust Bayesian Inference for Unnormalized Models with Mixed-Domain Datacited by 0