How to find changepoint locations using gpflow.kernels.changepoint. Post fitting a GPR model with this kernel, how to trace it back to actual changepoints in data? Code snippet/pseudo code or any sort of inputs will be much appreciated. PS: I am trying to work this through on a financial time series data using Python
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The
gpflow.kernels.ChangePointskernel has akernelsattribute and alocationsattribute. Lets say you are fitting a model of a ChangePoint between two kernels[k1, k2]. In that case, thelocationsattribute will contain the value of your predictorxat which the sigmoid function that is smoothly interpolating between the kernelsk1andk2is centered. In addition, it may be of interest to look at thesteepnessparameter as well, which will tell you how steep the sigmoid is in addition to its location.