Related papers: A Linear-Time Particle Gibbs Sampler for Infinite …
Inferring the sequence of states from observations is one of the most fundamental problems in Hidden Markov Models. In statistical physics language, this problem is equivalent to computing the marginals of a one-dimensional model with a…
This paper addresses the issue of model selection for hidden Markov models (HMMs). We generalize factorized asymptotic Bayesian inference (FAB), which has been recently developed for model selection on independent hidden variables (i.e.,…
Particle Markov chain Monte Carlo (PMCMC) is a systematic way of combining the two main tools used for Monte Carlo statistical inference: sequential Monte Carlo (SMC) and Markov chain Monte Carlo (MCMC). We present a novel PMCMC algorithm…
Motivated by an increasing demand for models that can effectively describe features of complex multivariate time series, e.g. from sensor data in biomechanics, motion analysis, and sports science, we introduce a novel state-space modeling…
Modeling count-valued time series has been receiving increasing attention since count time series naturally arise in physical and social domains. Poisson gamma dynamical systems (PGDSs) are newly-developed methods, which can well capture…
This paper introduces the hhsmm R package, which involves functions for initializing, fitting, and predication of hidden hybrid Markov/semi-Markov models. These models are flexible models with both Markovian and semi-Markovian states, which…
The Gibbs sampler (GS) is a crucial algorithm for approximating complex calculations, and it is justified by Markov chain theory, the alternating projection theorem, and $I$-projection, separately. We explore the equivalence between these…
We consider estimating the transition probability matrix of a finite-state finite-observation alphabet hidden Markov model with known observation probabilities. The main contribution is a two-step algorithm; a method of moments estimator…
We develop a rigorous and implementable framework for Gibbs sampling of infinite-dimensional quantum systems governed by unbounded Hamiltonians. Extending dissipative Gibbs samplers beyond finite dimensions raises fundamental obstacles,…
This tutorial provides a gentle introduction to the particle Metropolis-Hastings (PMH) algorithm for parameter inference in nonlinear state-space models together with a software implementation in the statistical programming language R. We…
Products of Hidden Markov Models(PoHMMs) are an interesting class of generative models which have received little attention since their introduction. This maybe in part due to their more computationally expensive gradient-based learning…
We are interested in assessing the order of a finite-state Hidden Markov Model (HMM) with the only two assumptions that the transition matrix of the latent Markov chain has full rank and that the density functions of the emission…
Consider the problem of predicting the next symbol given a sample path of length n, whose joint distribution belongs to a distribution class that may have long-term memory. The goal is to compete with the conditional predictor that knows…
Detection and modeling of change-points in time-series can be considerably challenging. In this paper we approach this problem by incorporating the class of Dynamic Generalized Linear Models (DGLM) into the well know class of Product…
Quantum graphical models (QGMs) extend the classical framework for reasoning about uncertainty by incorporating the quantum mechanical view of probability. Prior work on QGMs has focused on hidden quantum Markov models (HQMMs), which can be…
1. Hidden Markov models (HMMs) are powerful tools for modelling time-series data with underlying state structure. However, selecting appropriate parametric forms for the state-dependent distributions is often challenging and can lead to…
In this paper, we propose a probabilistic optimization method, named probabilistic incremental proximal gradient (PIPG) method, by developing a probabilistic interpretation of the incremental proximal gradient algorithm. We explicitly model…
Given a nonparametric Hidden Markov Model (HMM) with two states, the question of constructing efficient multiple testing procedures is considered, treating one of the states as an unknown null hypothesis. A procedure is introduced, based on…
Many problems of practical interest rely on Continuous-time Markov chains~(CTMCs) defined over combinatorial state spaces, rendering the computation of transition probabilities, and hence probabilistic inference, difficult or impossible…
Searches for persistent gravitational radiation from nonpulsating neutron stars in young supernova remnants (SNRs) are computationally challenging because of rapid stellar braking. We describe a practical, efficient, semi-coherent search…