Implementation of the Bayesian Online Change-point Detector of Ryan Prescott Adams and David McKay (2007). (https://arxiv.org/abs/0710.3742)
This folder contains:
--- the matlab codes of four versions of the Bayesian Online Change-point detector
============================ Matlab codes ========================================
-1- Original version of the Bayesian Online Change-point detector (BOCD.m) -2- Original version of the detector with a restart criterion (BOCD_restart.m)
-3- Modified version of the detector with a simpler prior (BOCDm.m) -4- Modified version of the detector with a restart criterion (BOCDm_restart.m)
-5- demo.m is a demonstration of the four algorithms (BOCD, BOCDm, BOCD_restart, BOCDm_restart) in a piece-wise Bernoulli environment
----> For a demo please launch the following script: demo.m