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We consider heteroscedastic nonparametric regression models, when both the mean function and variance function are unknown and to be estimated with nonparametric approaches. We derive convergence rate...
Exact Bayesian Regression of Piecewise Constant Functions
Bayesian regression exact polynomial algorithm non-parametric inference piecewise constant function dynamic programming
2009/9/22
We derive an exact and efficient Bayesian regression algorithm for piece-
wise constant functions of unknown segment number, boundary locations, and lev-
els. The derivation works for any noise and ...
