Related papers: The projected dynamic linear model for time series…
The contribution of this work is the introduction of a multivariate circular-linear (or poly- cylindrical) distribution obtained by combining the projected and the skew-normal. We show the flexibility of our proposal, its property of…
In Smyl et al. [Local and global trend Bayesian exponential smoothing models. International Journal of Forecasting, 2024.], a generalised exponential smoothing model was proposed that is able to capture strong trends and volatility in time…
Wind power prediction is of vital importance in wind power utilization. There have been a lot of researches based on the time series of the wind power or speed, but In fact, these time series cannot express the temporal and spatial changes…
Filtering is concerned with the sequential estimation of the state, and uncertainties, of a Markovian system, given noisy observations. It is particularly difficult to achieve accurate filtering in complex dynamical systems, such as those…
Statistical models with constrained probability distributions are abundant in machine learning. Some examples include regression models with norm constraints (e.g., Lasso), probit, many copula models, and latent Dirichlet allocation (LDA).…
A flexible model is developed for multivariate generalized spherical distributions, i.e. ones with level sets that are star shaped. To work in dimension above 2 requires tools from computational geometry and multivariate numerical…
We discuss model and forecast combination in time series forecasting. A foundational Bayesian perspective based on agent opinion analysis theory defines a new framework for density forecast combination, and encompasses several existing…
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…
Diffusion models are the mainstream approach for time series generation tasks. However, existing diffusion models for time series generation require retraining the entire framework to introduce specific conditional guidance. There also…
Bayes' rule naturally allows for inference refinement in a streaming fashion, without the need to recompute posteriors from scratch whenever new data arrives. In principle, Bayesian streaming is straightforward: we update our prior with the…
While time series prediction is an important, actively studied problem, the predictive accuracy of time series models is complicated by non-stationarity. We develop a fast and effective approach to allow for non-stationarity in the…
We develop a flexible spline-based Bayesian hidden Markov model stochastic weather generator to statistically model daily precipitation over time by season at individual locations. The model naturally accounts for missing data (considered…
We consider the challenge of estimating the model parameters and latent states of general state-space models within a Bayesian framework. We extend the commonly applied particle Gibbs framework by proposing an efficient particle generation…
Motivated by the dynamic modeling of relative abundance data in ecology, we introduce a general approach to model stationary Markovian or non Markovian time series on (relatively) compact spaces such as a hypercube, the simplex or a sphere…
Many modern data analysis problems involve inferences from streaming data. However, streaming data is not easily amenable to the standard probabilistic modeling approaches, which assume that we condition on finite data. We develop…
This manuscript develops computationally efficient online learning for multivariate spatiotemporal models. The method relies on matrix-variate Gaussian distributions, dynamic linear models, and Bayesian predictive stacking to efficiently…
State-space systems encompass a broad class of algorithms used for modeling and forecasting time series. For such systems to be effective, two objectives must be met: (i) accurate point forecasts of the time series must be produced, and…
Tree-based models have been successfully applied to a wide variety of tasks, including time series forecasting. They are increasingly in demand and widely accepted because of their comparatively high level of interpretability. However, many…
Many problems in the geophysical sciences demand the ability to calibrate the parameters and predict the time evolution of complex dynamical models using sequentially-collected data. Here we introduce a general methodology for the joint…
We consider the problem of performing parameter and state inference in a state-space model (SSM) parametrized by a static parameter $\theta$. A popular idea to address this problem consists of incorporating $\theta$ in the state of the…