Related papers: Theory of Parallel Particle Filters for Hidden Mar…

Hidden semi-Markov models (HSMMs) are latent variable models which allow latent state persistence and can be viewed as a generalization of the popular hidden Markov models (HMMs). In this paper, we introduce a novel spectral algorithm to…

Particle Marginal Metropolis-Hastings (PMMH) is a general approach to Bayesian inference when the likelihood is intractable, but can be estimated unbiasedly. Our article develops an efficient PMMH method that scales up better to higher…

State space models have long played an important role in signal processing. The Gaussian case can be treated algorithmically using the famous Kalman filter. Similarly since the 1970s there has been extensive application of Hidden Markov…

Hidden Markov models (HMMs) are popular models to identify a finite number of latent states from sequential data. However, fitting them to large data sets can be computationally demanding because most likelihood maximization techniques…

By making use of martingale representations, we derive the asymptotic normality of particle filters in hidden Markov models and a relatively simple formula for their asymptotic variances. Although repeated resamplings result in complicated…

In this paper, we consider the filtering and smoothing recursions in nonparametric finite state space hidden Markov models (HMMs) when the parameters of the model are unknown and replaced by estimators. We provide an explicit and time…

This paper presents a novel algorithm for efficient online estimation of the filter derivatives in general hidden Markov models. The algorithm, which has a linear computational complexity and very limited memory requirements, is furnished…

In this paper, we explore the class of the Hidden Semi-Markov Model (HSMM), a flexible extension of the popular Hidden Markov Model (HMM) that allows the underlying stochastic process to be a semi-Markov chain. HSMMs are typically used less…

Particle smoothers are widely used algorithms allowing to approximate the smoothing distribution in hidden Markov models. Existing algorithms often suffer from slow computational time or degeneracy. We propose in this paper a way to improve…

The hidden Markov model (HMM) provides a powerful framework for inference in time-varying environments, where the underlying state evolves according to a Markov chain. To address the optimal filtering problem in general dynamic settings, we…

I describe a new Markov chain method for sampling from the distribution of the state sequences in a non-linear state space model, given the observation sequence. This method updates all states in the sequence simultaneously using an…

This paper discusses particle filtering in general hidden Markov models (HMMs) and presents novel theoretical results on the long-term stability of bootstrap-type particle filters. More specifically, we establish that the asymptotic…

The hidden Markov model (HMM) is a generative model that treats sequential data under the assumption that each observation is conditioned on the state of a discrete hidden variable that evolves in time as a Markov chain. In this paper, we…

Motivated by Hubert's segmentation procedure we discuss the application of hidden Markov models (HMM) to the segmentation of hydrological and enviromental time series. We use a HMM algorithm which segments time series of several hundred…

Sampling from the conditional (or posterior) probability distribution of the latent states of a Hidden Markov Model, given the realization of the observed process, is a non-trivial problem in the context of Markov Chain Monte Carlo. To do…

The hidden Markov model (HMM) is a fundamental tool for sequence modeling that cleanly separates the hidden state from the emission structure. However, this separation makes it difficult to fit HMMs to large datasets in modern NLP, and they…

Factorial hidden Markov models (FHMMs) are powerful tools of modeling sequential data. Learning FHMMs yields a challenging simultaneous model selection issue, i.e., selecting the number of multiple Markov chains and the dimensionality of…

Using historical data to predict future events has many applications in the real world, such as stock price prediction; the robot localization. In the past decades, the Convolutional long short-term memory (LSTM) networks have achieved…

Stochastic volatility models are the backbone of financial engineering. We study both continuous time diffusions as well as discrete time models. We propose two novel approaches to estimating stochastic volatility diffusions, one using…

In this paper we address the problem of estimating the posterior distribution of the static parameters of a continuous time state space model with discrete time observations by an algorithm that combines the Kalman filter and a particle…