Citing

If you use this library in your research, please cite it (GitHub's "Cite this repository" button reads CITATION.cff):

@software{bayesian_changepoint_detection,
  title   = {Bayesian Changepoint Detection: A PyTorch Implementation},
  author  = {Kulick, Johannes and Carisimo, Esteban},
  url     = {https://github.com/hildensia/bayesian_changepoint_detection},
  year    = {2026},
  version = {1.2.1}
}

The algorithms are due to Adams & MacKay (2007) and Fearnhead (2006); please cite those papers as well.

References

• Ryan P. Adams and David J. C. MacKay (2007). Bayesian Online Changepoint Detection. arXiv:0710.3742. https://arxiv.org/abs/0710.3742 — the online algorithm.
• Paul Fearnhead (2006). Exact and Efficient Bayesian Inference for Multiple Changepoint Problems. Statistics and Computing 16(2), 203–213. https://doi.org/10.1007/s11222-006-8450-8 — the offline algorithm.
• Xiang Xuan and Kevin Murphy (2007). Modeling Changing Dependency Structure in Multivariate Time Series. ICML 2007, 1055–1062. https://doi.org/10.1145/1273496.1273629 — the multivariate likelihoods.
• Kevin P. Murphy (2007). Conjugate Bayesian analysis of the Gaussian distribution. Technical note. https://www.cs.ubc.ca/~murphyk/Papers/bayesGauss.pdf — the Normal-Gamma and Normal-Wishart closed forms used in the likelihoods.