A toy matlab code to implement the robust sequentimal Monte Carlo method developed under the framework of Bayesian Dynamic Ensemble of Multiple Models (BDEMM). The main function is "demo.m".
See the full paper on BDEMM at: https://arxiv.org/pdf/2112.02374.pdf
If you find this code helpful, please cite our work:
@article{liu2021robust,
title={Robust Sequential Online Prediction with Dynamic Ensemble of Multiple Models: A Concise Introduction},
author={Liu, Bin},
journal={arXiv preprint arXiv:2112.02374},
year={2021}
}