Related papers: Bayesian Higher Order Hidden Markov Models

We consider the problem of estimating the number of hidden states (the order) of a nonparametric hidden Markov model (HMM). We propose two different methods and prove their almost sure consistency without any prior assumption, be it on the…

When working with multimodal Bayesian posterior distributions, Markov chain Monte Carlo (MCMC) algorithms have difficulty moving between modes, and default variational or mode-based approximate inferences will understate posterior…

This paper presents new theory and methodology for the Bayesian estimation of overfitted hidden Markov models, with finite state space. The goal is then to achieve posterior emptying of extra states. A prior configuration is constructed…

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.,…

We consider continuous-time diffusion models driven by fractional Brownian motion. Observations are assumed to possess a non-trivial likelihood given the latent path. Due to the non-Markovianity and high-dimensionality of the latent paths,…

We develop Bayesian predictive stacking for geostatistical models, where the primary inferential objective is to provide inference on the latent spatial random field and conduct spatial predictions at arbitrary locations. We exploit…

Optimal designs minimize the number of experimental runs (samples) needed to accurately estimate model parameters, resulting in algorithms that, for instance, efficiently minimize parameter estimate variance. Governed by knowledge of past…

The study of animal behavioural states inferred through hidden Markov models and similar state switching models has seen a significant increase in popularity in recent years. The ability to account for varying levels of behavioural scale…

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…

The proposal and study of dependent prior processes has been a major research focus in the recent Bayesian nonparametric literature. In this paper, we introduce a flexible class of dependent nonparametric priors, investigate their…

Standard linear modeling approaches make potentially simplistic assumptions regarding the structure of categorical effects that may obfuscate more complex relationships governing data. For example, recent work focused on the two-way…

Tensor decomposition is an important technique for capturing the high-order interactions among multiway data. Multi-linear tensor composition methods, such as the Tucker decomposition and the CANDECOMP/PARAFAC (CP), assume that the complex…

While learning the maximum likelihood value of parameters of an undirected graphical model is hard, modelling the posterior distribution over parameters given data is harder. Yet, undirected models are ubiquitous in computer vision and text…

We consider the problem of Bayesian inference for changepoints where the number and position of the changepoints are both unknown. In particular, we consider product partition models where it is possible to integrate out model parameters…

We introduce a Bayesian framework for inference with a supervised version of the Gaussian process latent variable model. The framework overcomes the high correlations between latent variables and hyperparameters by using an unbiased pseudo…

The availability of data sets with large numbers of variables is rapidly increasing. The effective application of Bayesian variable selection methods for regression with these data sets has proved difficult since available Markov chain…

Latent factor GARCH models are difficult to estimate using Bayesian methods because standard Markov chain Monte Carlo samplers produce slowly mixing and inefficient draws from the posterior distributions of the model parameters. This paper…

Bayesian analysis often concerns an evaluation of models with different dimensionality as is necessary in, for example, model selection or mixture models. To facilitate this evaluation, transdimensional Markov chain Monte Carlo (MCMC)…

State-space models have been successfully used for more than fifty years in different areas of science and engineering. We present a procedure for efficient variational Bayesian learning of nonlinear state-space models based on sparse…

Latent space models are popular for analyzing dynamic network data. We propose a variational approach to estimate the model parameters as well as the latent positions of the nodes in the network. The variational approach is much faster than…