Related papers: Marginal Likelihood Computation for Hidden Markov …

The problem of reducing a Hidden Markov Model (HMM) to one of smaller dimension that exactly reproduces the same marginals is tackled by using a system-theoretic approach. Realization theory tools are extended to HMMs by leveraging suitable…

We propose Subsampling MCMC, a Markov Chain Monte Carlo (MCMC) framework where the likelihood function for $n$ observations is estimated from a random subset of $m$ observations. We introduce a highly efficient unbiased estimator of the…

In this paper, we introduce a new semi-discrete modulus of smoothness, which generalizes the definition given by Kolomoitsev and Lomako (KL) in 2023 (in the paper published in the J. Approx. Theory), and we establish very general one- and…

Inference for high-dimensional hidden Markov models is challenging due to the exponential-in-dimension computational cost of calculating the likelihood. To address this issue, we introduce an innovative composite likelihood approach called…

Bayesian modelling and computational inference by Markov chain Monte Carlo (MCMC) is a principled framework for large-scale uncertainty quantification, though is limited in practice by computational cost when implemented in the simplest…

Gerber and Chopin (2015) recently introduced Sequential quasi-Monte Carlo (SQMC) algorithms as an efficient way to perform filtering in state-space models. The basic idea is to replace random variables with low-discrepancy point sets, so as…

The approximation of fixed-interval smoothing distributions is a key issue in inference for general state-space hidden Markov models (HMM). This contribution establishes non-asymptotic bounds for the Forward Filtering Backward Smoothing…

We consider a semiparametric mixture of two univariate density functions where one of them is known while the weight and the other function are unknown. Such mixtures have a history of application to the problem of detecting differentially…

Hidden Markov Chains (HMCs) are commonly used mathematical models of probabilistic systems. They are employed in various fields such as speech recognition, signal processing, and biological sequence analysis. We consider the problem of…

We introduce Projected Latent Markov Chain Monte Carlo (PL-MCMC), a technique for sampling from the high-dimensional conditional distributions learned by a normalizing flow. We prove that a Metropolis-Hastings implementation of PL-MCMC…

In this paper, we present a method for computing the marginal likelihood, also known as the model likelihood or Bayesian evidence, from Markov Chain Monte Carlo (MCMC), or other sampled posterior distributions. In order to do this, one…

Maximum likelihood (ML) estimation using Newton's method in nonlinear state space models (SSMs) is a challenging problem due to the analytical intractability of the log-likelihood and its gradient and Hessian. We estimate the gradient and…

Hidden semi-Markov Models (HSMM's) - while broadly in use - are restricted to a discrete and uniform time grid. They are thus not well suited to explain often irregularly spaced discrete event data from continuous-time phenomena. We show…

Hamiltonian Monte Carlo (HMC) has been progressively incorporated within the statistician's toolbox as an alternative sampling method in settings when standard Metropolis-Hastings is inefficient. HMC generates a Markov chain on an augmented…

We aim at the construction of a Hidden Markov Model (HMM) of assigned complexity (number of states of the underlying Markov chain) which best approximates, in Kullback-Leibler divergence rate, a given stationary process. We establish, under…

A Hidden Markov Model (HMM) is a common statistical model which is widely used for analysis of biological sequence data and other sequential phenomena. In the present paper we show how HMMs can be extended with side-constraints and present…

We propose a new framework for how to use sequential Monte Carlo (SMC) algorithms for inference in probabilistic graphical models (PGM). Via a sequential decomposition of the PGM we find a sequence of auxiliary distributions defined on a…

We propose DenseHMM - a modification of Hidden Markov Models (HMMs) that allows to learn dense representations of both the hidden states and the observables. Compared to the standard HMM, transition probabilities are not atomic but composed…

Traditional gradient-based sampling methods, like standard Hamiltonian Monte Carlo, require that the desired target distribution is continuous and differentiable. This limits the types of models one can define, although the presented models…

Langevin Monte Carlo (LMC) is an iterative algorithm used to generate samples from a distribution that is known only up to a normalizing constant. The nonasymptotic dependence of its mixing time on the dimension and target accuracy is…