Related papers: Recency-weighted Markovian inference
Given a sequence of observations from a discrete-time, finite-state hidden Markov model, we would like to estimate the sampling distribution of a statistic. The bootstrap method is employed to approximate the confidence regions of a…
Latent space models are powerful statistical tools for modeling and understanding network data. While the importance of accounting for uncertainty in network analysis has been well recognized, the current literature predominantly focuses on…
We consider the inverse reinforcement learning problem, that is, the problem of learning from, and then predicting or mimicking a controller based on state/action data. We propose a statistical model for such data, derived from the…
State-space models (SSMs) are commonly used to model time series data where the observations depend on an unobserved latent process. However, inference on the model parameters of an SSM can be challenging, especially when the likelihood of…
Multilayer networks have become increasingly ubiquitous across diverse scientific fields, ranging from social sciences and biology to economics and international relations. Despite their broad applications, the inferential theory for…
A Maximum Likelihood recursive state estimator is derived for non-linear and non-Gaussian state-space models. The estimator combines a particle filter to generate the conditional density and the Expectation Maximization algorithm to compute…
This paper proposes a sparse regression strategy for discovery of ordinary differential equations from incomplete and noisy data. Inference is performed over both equation parameters and state variables using a statistically motivated…
This paper presents a method for calculating the smoothed state distribution for Jump Markov Linear Systems. More specifically, the paper details a novel two-filter smoother that provides closed-form expressions for the smoothed hybrid…
State-space models (SSM) with Markov switching offer a powerful framework for detecting multiple regimes in time series, analyzing mutual dependence and dynamics within regimes, and asserting transitions between regimes. These models…
Markov state models (MSMs)---or discrete-time master equation models---are a powerful way of modeling the structure and function of molecular systems like proteins. Unfortunately, MSMs with sufficiently many states to make a quantitative…
Latent space models (LSMs) are often used to analyze dynamic (time-varying) networks that evolve in continuous time. Existing approaches to Bayesian inference for these models rely on Markov chain Monte Carlo algorithms, which cannot handle…
We introduce the Reduced-Rank Hidden Markov Model (RR-HMM), a generalization of HMMs that can model smooth state evolution as in Linear Dynamical Systems (LDSs) as well as non-log-concave predictive distributions as in…
We generalize the 'bits back with ANS' method to time-series models with a latent Markov structure. This family of models includes hidden Markov models (HMMs), linear Gaussian state space models (LGSSMs) and many more. We provide…
We propose a practical finite volume method on cut cells using state redistribution. Our algorithm is provably monotone, total variation diminishing, and GKS stable in many situations, and shuts off continuously as the cut cell size…
Motivated by disease progression-related studies, we propose an estimation method for fitting general non-homogeneous multi-state Markov models. The proposal can handle many types of multi-state processes, with several states and various…
Link et al. (2010) define a general framework for analyzing capture-recapture data with potential misidentifications. In this framework, the observed vector of counts, $y$, is considered as a linear function of a vector of latent counts,…
Recently, there has been interest in multiplicative recurrent neural networks for language modeling. Indeed, simple Recurrent Neural Networks (RNNs) encounter difficulties recovering from past mistakes when generating sequences due to high…
We consider finite state space stationary hidden Markov models (HMMs) in the situation where the number of hidden states is unknown. We provide a frequentist asymptotic evaluation of Bayesian analysis methods. Our main result gives…
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…
The problem of state estimation has a long history with many successful algorithms that allow analytical derivation or approximation of posterior filtering distribution given the noisy observations. This report tries to conclude previous…