Non-stationary coin tosses - an introduction to the Bayesian online changepoint detection model (BOCD)

Introduction In this post, we introduce the Bayesian Online Changepoint Detection (BOCD) model and its application for estimating the probability of heads in a sequence of coin tosses where the underlying probability changes over time. Flipping coins Suppose the following sequence of coin tosses arrive in a stream: 1 2 3 4 5 1, 0, 0, 1, 1, 1, 1, 0, 1, 0, 1, 0, 0, 0, 1, 0, 0, 0, 0, 0, 0, 0, 0, 0,…