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Structured additive distributional regression models offer a versatile framework for estimating complete conditional distributions by relating all parameters of a parametric distribution to covariates. Although these models efficiently…

In this paper, we develop methods of nonlinear filtering and prediction of an unobservable Markov chain with a finite set of states. This Markov chain controls coefficients of AR(p) model. Using observations generated by AR(p) model we have…

This work proposes a general framework for capturing noise-driven transitions in spatially extended non-equilibrium systems and explains the emergence of coherent patterns beyond the instability onset. The framework relies on stochastic…

Developing mathematical models of dynamic systems is central to many disciplines of engineering and science. Models facilitate simulations, analysis of the system's behavior, decision making and design of automatic control algorithms. Even…

We introduce a variational manifold of simple tensor network states for the study of a family of constrained models that describe spin-1/2 systems as realized by Rydberg atom arrays. Our manifold permits analytical calculation via…

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)…

We show that nonequilibrium dynamics can play a constructive role in unsupervised machine learning by inducing the spontaneous emergence of latent-state cycles. We introduce a model in which visible and hidden variables interact through two…

In this paper, different strands of literature are combined in order to obtain algorithms for semi-parametric estimation of discrete choice models that include the modelling of unobserved heterogeneity by using mixing distributions for the…

Markov parameters play a key role in system identification. There exists many algorithms where these parameters are estimated using least-squares in a first, pre-processing, step, including subspace identification and multi-step…

We study a class of multi-stage stochastic programs, which incorporate modeling features from Markov decision processes (MDPs). This class includes structured MDPs with continuous action and state spaces. We extend policy graphs to include…

This paper explores the estimation of a panel data model with cross-sectional interaction that is flexible both in its approach to specifying the network of connections between cross-sectional units, and in controlling for unobserved…

This paper considers maximum likelihood (ML) estimation in a large class of models with hidden Markov regimes. We investigate consistency of the ML estimator and local asymptotic normality for the models under general conditions which allow…

In this paper, we consider the stability analysis of large-scale distributed networked control systems with random communication delays between linearly interconnected subsystems. The stability analysis is performed in the Markov jump…

Markov-switching models are powerful tools that allow capturing complex patterns from time series data driven by latent states. Recent work has highlighted the benefits of estimating components of these models nonparametrically, enhancing…

We develop and apply an approach for analyzing multi-curve data where each curve is driven by a latent state process. The state at any particular point determines a smooth function, forcing the individual curve to switch from one function…

Many inference problems involve inferring the number $N$ of components in some region, along with their properties $\{\mathbf{x}_i\}_{i=1}^N$, from a dataset $\mathcal{D}$. A common statistical example is finite mixture modelling. In the…

Learning a Markov Decision Process (MDP) from a fixed batch of trajectories is a non-trivial task whose outcome's quality depends on both the amount and the diversity of the sampled regions of the state-action space. Yet, many MDPs are…

This paper suggests parametrically transformed nested error regression models (TNERM), which transform the data flexibly to follow the normal linear mixed regression. We provide a procedure for estimating consistently the parameters of the…

In many applications, data are observed as matrices with temporal dependence. Matrix-variate time series modeling is a new branch of econometrics. Although stylized facts in several fields, the existing models do not account for regime…

Multi-scale problems, where variables of interest evolve in different time-scales and live in different state-spaces, can be found in many fields of science. Here, we introduce a new recursive methodology for Bayesian inference that aims at…