Related papers: A closed-form filter for binary time series
Diffusion models enable the synthesis of highly accurate samples from complex distributions and have become foundational in generative modeling. Recently, they have demonstrated significant potential for solving Bayesian inverse problems by…
The Gaussian mixture model is a classic technique for clustering and data modeling that is used in numerous applications. With the rise of big data, there is a need for parameter estimation techniques that can handle streaming data and…
The class of $\alpha$-stable distributions enjoys multiple practical applications in signal processing, finance, biology and other areas because it allows to describe interesting and complex data patterns, such as asymmetry or heavy tails,…
Sparsity-promoting priors have become increasingly popular over recent years due to an increased number of regression and classification applications involving a large number of predictors. In time series applications where observations are…
Recent paper by Balenzuela et al. presented an exact algorithm for computing the posterior distribution of current and future observations given the current state, $p(x_n|y_n,\ldots ,y_N)$, which is required when computing fixed-interval…
The purpose of this paper is to provide a discussion, with illustrating examples, on Bayesian forecasting for dynamic generalized linear models (DGLMs). Adopting approximate Bayesian analysis, based on conjugate forms and on Bayes linear…
The need to calibrate increasingly complex statistical models requires a persistent effort for further advances on available, computationally intensive Monte Carlo methods. We study here an advanced version of familiar Markov Chain Monte…
Count time series are widely encountered in practice. As with continuous valued data, many count series have seasonal properties. This paper uses a recent advance in stationary count time series to develop a general seasonal count time…
We establish the potential of continuous-variable Gaussian states of linear dynamical systems for machine learning tasks. Specifically, we consider reservoir computing, an efficient framework for online time series processing. As a…
In this article we consider a Monte Carlo-based method to filter partially observed diffusions observed at regular and discrete times. Given access only to Euler discretizations of the diffusion process, we present a new procedure which can…
One of the key challenges in identifying nonlinear and possibly non-Gaussian state space models (SSMs) is the intractability of estimating the system state. Sequential Monte Carlo (SMC) methods, such as the particle filter (introduced more…
Bayesian nonparametric methods are a popular choice for analysing survival data due to their ability to flexibly model the distribution of survival times. These methods typically employ a nonparametric prior on the survival function that is…
A series of novel filters for probabilistic inference that propose an alternative way of performing Bayesian updates, called particle flow filters, have been attracting recent interest. These filters provide approximate solutions to…
The state estimation problem for nonlinear systems with stochastic uncertainties can be formulated in the Bayesian framework, where the objective is to replace the state completely by its probability density function. Without the…
This work introduces the Gaussian integration to address a smoothing problem of a nonlinear stochastic state space model. The probability densities of states at each time instant are assumed to be Gaussian, and their means and covariances…
We introduce an extension of finite mixture models by incorporating skew-normal distributions within a Hidden Markov Model framework. By assuming a constant transition probability matrix and allowing emission distributions to vary according…
State-space smoothing has found many applications in science and engineering. Under linear and Gaussian assumptions, smoothed estimates can be obtained using efficient recursions, for example Rauch-Tung-Striebel and Mayne-Fraser algorithms.…
Gaussian processes are a natural way of defining prior distributions over functions of one or more input variables. In a simple nonparametric regression problem, where such a function gives the mean of a Gaussian distribution for an…
We develop a factor analysis for mixed continuous and binary observed variables. To this end, we utilized a recently developed multivariate probability distribution for mixed-type random variables, the Gaussian-Grassmann distribution. In…
ICT systems provide detailed information on computer network traffic. However, due to storage limitations, some of the information on past traffic is often only retained in an aggregated form. In this paper we show that Linear Gaussian…