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Time-partitioning Gaussian Process Mixture Model

arXiv:2610.20860v1 Announce Type: new Abstract: We propose the Time-partitioning Gaussian Process Mixture Model (TPGPMM), a Bayesian nonparametric framework for identifying persistent regimes and modelling nonstationary dependence in time series. The model combines an adaptive Pitman--Yor prior on…

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  1. 2026-10-16 04:00 · arXiv stat.ML
    Time-partitioning Gaussian Process Mixture Model

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