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PyMC is a Python library for performing Bayesian inference using MCMC. It is a Python equivalent to JAGS and BUGS.

4 votes

How to build a PyMC model to detect multiple 'switch points'?

It's been three years, but I believe this might be the approach mentioned in the comments by @twiecki. It uses a truncated Dirichlet Process Mixture Model to detect multiple change points without any …
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