Related papers: Black-Box Autoregressive Density Estimation for St…
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…
We develop a Bayesian approach to estimate weight matrices in spatial autoregressive (or spatial lag) models. Datasets in regional economic literature are typically characterized by a limited number of time periods T relative to spatial…
Structural equation models comprise a large class of popular statistical models, including factor analysis models, certain mixed models, and extensions thereof. Model estimation is complicated by the fact that we typically have multiple…
This work explores the in-context learning capabilities of State Space Models (SSMs) and presents, to the best of our knowledge, the first theoretical explanation of a possible underlying mechanism. We introduce a novel weight construction…
This paper studies sequence modeling for prediction tasks with long range dependencies. We propose a new formulation for state space models (SSMs) based on learning linear dynamical systems with the spectral filtering algorithm (Hazan et…
State space models (SSMs) have emerged as a powerful framework for modelling long-range dependencies in sequence data. Unlike traditional recurrent neural networks (RNNs) and convolutional neural networks (CNNs), SSMs offer a structured and…
It is now practically the norm for data to be very high dimensional in areas such as genetics, machine vision, image analysis and many others. When analyzing such data, parametric models are often too inflexible while nonparametric…
A new dynamic latent space eigenmodel (LSM) is proposed for weighted temporal networks. The model accommodates integer-valued weights, excess of zeros, time-varying node positions (features), and time-varying network sparsity. The latent…
State space models (SSMs) have shown remarkable empirical performance on many long sequence modeling tasks, but a theoretical understanding of these models is still lacking. In this work, we study the learning dynamics of linear SSMs to…
Latent variable time-series models are among the most heavily used tools from machine learning and applied statistics. These models have the advantage of learning latent structure both from noisy observations and from the temporal ordering…
Semi-structured regression models enable the joint modeling of interpretable structured and complex unstructured feature effects. The structured model part is inspired by statistical models and can be used to infer the input-output…
State-space models (SSMs) have emerged as a powerful foundation for long-range sequence modeling, with the HiPPO framework showing that continuous-time projection operators can be used to derive stable, memory-efficient dynamical systems…
This paper considers the problem of computing Bayesian estimates of both states and model parameters for nonlinear state-space models. Generally, this problem does not have a tractable solution and approximations must be utilised. In this…
Deep neural network models have become ubiquitous in recent years, and have been applied to nearly all areas of science, engineering, and industry. These models are particularly useful for data that have strong dependencies in space (e.g.,…
In recent years, active subspace methods (ASMs) have become a popular means of performing subspace sensitivity analysis on black-box functions. Naively applied, however, ASMs require gradient evaluations of the target function. In the event…
Stochastic Differential Equations (SDEs) serve as a powerful modeling tool in various scientific domains, including systems science, engineering, and ecological science. While the specific form of SDEs is typically known for a given…
Dynamic inference problems in autoregressive (AR/ARMA/ARIMA), exponential smoothing, and navigation are often formulated and solved using state-space models (SSM), which allow a range of statistical distributions to inform innovations and…
This article addresses the problem of efficient Bayesian inference in dynamic systems using particle methods and makes a number of contributions. First, we develop a correlated pseudo-marginal (CPM) approach for Bayesian inference in state…
State-of-the-art neural network-based methods for learning summary statistics have delivered promising results for simulation-based likelihood-free parameter inference. Existing approaches require density estimation as a post-processing…
State Space Models (SSM) is a MATLAB 7.0 software toolbox for doing time series analysis by state space methods. The software features fully interactive construction and combination of models, with support for univariate and multivariate…