Supplementary Notes: Segment Parameter Labelling in MCMC Change Detection

Abstract: This work addresses the problem of segmentation in time series data with respect to a statistical parameter of interest in Bayesian models. It is common to assume that the parameters are distinct within each segment. As such, many Bayesian change point detection models do not exploit the segment parameter patterns, which can improve performance. This work proposes a Bayesian change point detection algorithm that makes use of repetition in segment parameters, by introducing segment class labels that utilise a Dirichlet process prior.