[Math] Understanding Bayesian Online Change Point Detection (BOCPD)

Question

This in reference to the paper by Ryan Adams and David Mackay linked here

I am having problems understanding the paper fully. Are there any good sources to search for and understand the paper as well as involved models like conjugate exponential models. I have currently tried googling and reading from the following links, but much of the paper remains unclear.

1. Gaussian process for time series modelling
2. Reading Documents for Bayesian Online Change Point Detection

Answer 1

I wrote some personal notes on this paper. Perhaps you will find them useful.