Related papers: Explicit-Duration Markov Switching Models

In this paper we present elementary computations for some Markov modulated counting processes, also called counting processes with regime switching. Regime switching has become an increasingly popular concept in many branches of science. In…

Many real-world dynamical systems can be described as State-Space Models (SSMs). In this formulation, each observation is emitted by a latent state, which follows first-order Markovian dynamics. A Probabilistic Deep SSM (ProDSSM)…

Many real-valued stochastic time-series are locally linear (Gassian), but globally non-linear. For example, the trajectory of a human hand gesture can be viewed as a linear dynamic system driven by a nonlinear dynamic system that represents…

The conformational kinetics of enzymes can be reliably revealed when they are governed by Markovian dynamics. Hidden Markov Models (HMMs) are appropriate especially in the case of conformational states that are hardly distinguishable.…

Progressive diseases worsen over time and are characterised by monotonic change in features that track disease progression. Here we connect ideas from two formerly separate methodologies -- event-based and hidden Markov modelling -- to…

Markov Decision Processes (MDPs) are a popular class of models suitable for solving control decision problems in probabilistic reactive systems. We consider parametric MDPs (pMDPs) that include parameters in some of the transition…

This paper presents a technique for reduced-order Markov modeling for compact representation of time-series data. In this work, symbolic dynamics-based tools have been used to infer an approximate generative Markov model. The time-series…

Switching ARMA models greatly enhance the standard linear models to the extent that different ARMA model is allowed in a different regime, and the regime switching is typically assumed a Markov chain on the finite states of potential…

We develop the first exact Bayesian methodology for the problem of inference in discretely observed regime switching diffusions. Switching diffusion models extend ordinary diffusions by allowing for jumps in instantaneous drift and…

There is much interest in the Hierarchical Dirichlet Process Hidden Markov Model (HDP-HMM) as a natural Bayesian nonparametric extension of the traditional HMM. However, in many settings the HDP-HMM's strict Markovian constraints are…

An important problem in time-series analysis is modeling systems with time-varying dynamics. Probabilistic models with joint continuous and discrete latent states offer interpretable, efficient, and experimentally useful descriptions of…

Multi-state models are frequently applied for representing processes evolving through a discrete set of state. Important classes of multi-state models arise when transitions between states may depend on the time since entry into the current…

Hidden Markov Models, HMM's, are mathematical models of Markov processes with state that is hidden, but from which information can leak. They are typically represented as 3-way joint-probability distributions. We use HMM's as denotations of…

This paper focuses on modeling the dynamic attributes of a dynamic network with a fixed number of vertices. These attributes are considered as time series which dependency structure is influenced by the underlying network. They are modeled…

Recommender systems are widely used for suggesting books, education materials, and products to users by exploring their behaviors. In reality, users' preferences often change over time, leading to studies on time-dependent recommender…

We introduce the BMRMM package implementing Bayesian inference for a class of Markov renewal mixed models which can characterize the stochastic dynamics of a collection of sequences, each comprising alternative instances of categorical…

Max-min-plus-scaling (MMPS) systems generalize max-plus, min-plus and max-min-plus models with more flexibility in modelling discrete-event dynamics. Especially, implicit MMPS models capture a wide range of real world discrete-event…

Regime switching processes have proved to be indispensable in the modeling of various phenomena, allowing model parameters that traditionally were considered to be constant to fluctuate in a Markovian manner in line with empirical findings.…

Robust Markov decision processes (RMDPs) extend standard Markov decision processes (MDPs) to account for uncertainty in the transition probabilities. RMDPs have an uncertainty set that defines a set of possible transition functions, each of…

This work aims at providing a new model for time series classification based on learning from just one example. We assume that time series can be well characterized as a parametric random process, a sort of Hidden semi-Markov Model…