infrequent difference
Bayesian Detection of Infrequent Differences in Sets of Time Series with Shared Structure
We present a hierarchical Bayesian model for sets of related, but different, classes of time series data. Our model performs alignment simultaneously across all classes, while detecting and characterizing class-specific differences. During inference the model produces, for each class, a distribution over a canonical representation of the class. These class-specific canonical representations are automatically aligned to one another -- preserving common sub-structures, and highlighting differences. Many practical problems over a wide range of domains require synthesizing information from several noisy examples of one or more categories in order to build a model which captures common structure and also learns the patterns of variability between categories.