Related papers: pTSE: A Multi-model Ensemble Method for Probabilis…

We introduce a novel ensemble approach for feature selection based on hierarchical stacking for non-stationarity and/or a limited number of samples with a large number of features. Our approach exploits the co-dependency between features…

To address the uncertainty in outputs of numerical weather prediction (NWP) models, ensembles of forecasts are used. To obtain such an ensemble of forecasts the NWP model is run multiple times, each time with different formulations and/or…

Working on the daily closing prices and logreturns, in this paper we deal with the use of Hidden Markov Models (HMMs) to forecast the price of the EUR/USD Futures. The aim of our work is to understand how the HMMs describe different…

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 importance of accurately quantifying forecast uncertainty has motivated much recent research on probabilistic forecasting. In particular, a variety of deep learning approaches has been proposed, with forecast distributions obtained as…

This paper presents a model predictive control (MPC) framework leveraging an ensemble of data-based models to optimally control complex systems under multiple operating conditions. A novel combination rule for ensemble models is proposed,…

The Hierarchical Mixture of Experts (HME) is a well-known tree-based model for regression and classification, based on soft probabilistic splits. In its original formulation it was trained by maximum likelihood, and is therefore prone to…

Although by now the ensemble-based probabilistic forecasting is the most advanced approach to weather prediction, ensemble forecasts still might suffer from lack of calibration and/or display systematic bias, thus require some…

Parallel tempering (PT) methods are a popular class of Markov chain Monte Carlo schemes used to sample complex high-dimensional probability distributions. They rely on a collection of $N$ interacting auxiliary chains targeting tempered…

Hidden Markov Models (HMMs) are powerful tools for modeling sequential data, where the underlying states evolve in a stochastic manner and are only indirectly observable. Traditional HMM approaches are well-established for linear sequences,…

The hidden Markov model (HMM) is a widely-used generative model that copes with sequential data, assuming that each observation is conditioned on the state of a hidden Markov chain. In this paper, we derive a novel algorithm to cluster HMMs…

The Hierarchical Dirichlet Process Hidden Markov Model (HDP-HMM) is a natural Bayesian nonparametric extension of the classical Hidden Markov Model for learning from (spatio-)temporal data. A sticky HDP-HMM has been proposed to strengthen…

In the context of an increasing popularity of data-driven models to represent dynamical systems, many machine learning-based implementations of the Koopman operator have recently been proposed. However, the vast majority of those works are…

Deep ensembles (DE) have been successful in improving model performance by learning diverse members via the stochasticity of random initialization. While recent works have attempted to promote further diversity in DE via hyperparameters or…

The hidden Markov model (HMM) provides a powerful framework for inference in time-varying environments, where the underlying state evolves according to a Markov chain. To address the optimal filtering problem in general dynamic settings, we…

Hierarchical forecasting problems arise when time series have a natural group structure, and predictions at multiple levels of aggregation and disaggregation across the groups are needed. In such problems, it is often desired to satisfy the…

Analysis of multivariate healthcare time series data is inherently challenging: irregular sampling, noisy and missing values, and heterogeneous patient groups with different dynamics violating exchangeability. In addition, interpretability…

We consider probabilistic systems with hidden state and unobservable transitions, an extension of Hidden Markov Models (HMMs) that in particular admits unobservable {\epsilon}-transitions (also called null transitions), allowing state…

Multistate Markov models are a canonical parametric approach for data modeling of observed or latent stochastic processes supported on a finite state space. Continuous-time Markov processes describe data that are observed irregularly over…

Non-linear state space models are a widely-used class of models for biological, economic, and physical processes. Fitting these models to observed data is a difficult inference problem that has no straightforward solution. We take a…