hildensia / bayesian_changepoint_detection

Methods to get the probability of a changepoint in a time series.
MIT License
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Zero run length probability error #27

Closed dlabraca closed 3 years ago

dlabraca commented 3 years ago

When we find the p(r0 | x{1:t}) you have

R[0, t+1] = np.sum( R[0:t+1, t] * predprobs * H)

but shouldn't it be

R[0, t+1] = np.sum( R[0:t+1, t] * predprobs[0] * H)

as we calculate the predictive probability assuming no data.