Related papers: A copula-based multivariate hidden Markov model fo…

Price movements of stock market are not totally random. In fact, what drives the financial market and what pattern financial time series follows have long been the interest that attracts economists, mathematicians and most recently computer…

This work proposes a multi-agent filtering algorithm over graphs for finite-state hidden Markov models (HMMs), which can be used for sequential state estimation or for tracking opinion formation over dynamic social networks. We show that…

Hidden Markov models (HMMs) have been used increasingly to understand how movement patterns of animals arise from behavioural states. An animal is assumed to transition between behavioural states through time, as described by transition…

The main focus of this work is on developing models for the activity profile of a terrorist group, detecting sudden spurts and downfalls in this profile, and, in general, tracking it over a period of time. Toward this goal, a $d$-state…

We propose a bottom-up approach to the study of possession and its outcomes for association football, based on probabilistic finite state automata with transition probabilities described by a Markov process. We show how even a very simple…

The impact of randomness on model training is poorly understood. How do differences in data order and initialization actually manifest in the model, such that some training runs outperform others or converge faster? Furthermore, how can we…

This paper investigates the Tennis Momentum Model (TMM), which aims to enhance the understanding of match dynamics by integrating key factors such as efficiency, historical scoring probabilities, and real-time scoring data. The model is…

In recent years, data-driven approaches have become a popular tool in a variety of sports to gain an advantage by, e.g., analysing potential strategies of opponents. Whereas the availability of play-by-play or player tracking data in sports…

A quest for uncovering influence of behaviour on team performance involves understanding individual behaviour, interactions with others and environment, variations across groups, and effects of interventions. Although insights into each of…

The hidden Markov model (HMM) has been a workhorse of single molecule data analysis and is now commonly used as a standalone tool in time series analysis or in conjunction with other analyses methods such as tracking. Here we provide a…

Stochastic volatility models are the backbone of financial engineering. We study both continuous time diffusions as well as discrete time models. We propose two novel approaches to estimating stochastic volatility diffusions, one using…

Hidden Markov models (HMMs) offer a robust and efficient framework for analyzing time series data, modelling both the underlying latent state progression over time and the observation process, conditional on the latent state. However, a…

In this paper, we study collective interaction dynamics emerging in the game of football-soccer. To do so, we surveyed a database containing body-sensors traces measured during three professional football matches, where we observed…

We address the problem of analyzing sets of noisy time-varying signals that all report on the same process but confound straightforward analyses due to complex inter-signal heterogeneities and measurement artifacts. In particular we…

Hidden Markov Models (HMMs) comprise a powerful generative approach for modeling sequential data and time-series in general. However, the commonly employed assumption of the dependence of the current time frame to a single or multiple…

The hidden Markov model (HMM) is a generative model that treats sequential data under the assumption that each observation is conditioned on the state of a discrete hidden variable that evolves in time as a Markov chain. In this paper, we…

We consider penalized estimation in hidden Markov models (HMMs) with multivariate Normal observations. In the moderate-to-large dimensional setting, estimation for HMMs remains challenging in practice, due to several concerns arising from…

We introduce multiple hidden Markov models (MHMMs) where an observed multivariate categorical time series depends on an unobservable multivariate Mar- kov chain. MHMMs provide an elegant framework for specifying various independence…

Hidden Markov models (HMMs) are probabilistic methods in which observations are seen as realizations of a latent Markov process with discrete states that switch over time. Moving beyond standard statistical tests, HMMs offer a statistical…

In this paper we describe an approach to resolve strategic games in which players can assume different types along the game. Our goal is to infer which type the opponent is adopting at each moment so that we can increase the player's odds.…