Journal of the Royal Statistical Society. Series B (Statistical Methodology), Vol. 71, No. 3 (Jun., 2009), pp. 593-613 (21 pages) We propose a generic on-line (also sometimes called adaptive or ...

Changepoint models are widely used to model the heterogeneity of sequential data. We present a novel sequential Monte Carlo (SMC) online expectation-maximization (EM) algorithm for estimating the ...

The least absolute shrinkage and selection operator (Lasso) estimation of regression coefficients can be expressed as Bayesian posterior mode estimation of the regression coefficients under various ...