Bayesian Approaches for Modeling Changes in the Covariance Structure and the Dependency Graph

Music City Center 

Many dynamic and random processes in nature go through sudden changes. Changes in the mean structure and related changepoint detection problems have been studied widely in the literature. However, changes can also occur in the covariance structure and the related dependency graph structure with applications in economics, biological sciences etc. This work investigates modeling such changes and related changepoint detection problems in the Bayesian setup and establishes relevant theoretical results.