Related papers: An Observation-Driven State-Space Model for Claims…
Data assimilation in models representing spatio-temporal phenomena poses a challenge, particularly if the spatial histogram of the variable appears with multiple modes. The traditional Kalman model is based on a Gaussian initial…
Data-driven, model-free analytics are natural choices for discovery and forecasting of complex, nonlinear systems. Methods that operate in the system state-space require either an explicit multidimensional state-space, or, one approximated…
Claims reserving, also known as Incurred But Not Reported (IBNR) claims prediction, is an important issue in general insurance. State space modeling is widely recognized as a statistically robust method for addressing this problem. In state…
State-space modeling has emerged as a powerful paradigm for sequence analysis in various tasks such as natural language processing, time-series forecasting, and signal processing. In this work, we propose an \emph{Adaptive State-Space…
Classical discriminant analysis assumes identically distributed training data, yet in many applications observations are collected over time and the class-conditional distributions drift. This population drift renders stationary classifiers…
We introduce a new dynamical system for sequentially observed multivariate count data. This model is based on the gamma--Poisson construction---a natural choice for count data---and relies on a novel Bayesian nonparametric prior that ties…
State-space models (SSMs) are an important modeling framework for analyzing ecological time series. These hierarchical models are commonly used to model population dynamics, animal movement, and capture-recapture data, and are now…
This paper proposes an online learning method of Gaussian process state-space model (GP-SSM). GP-SSM is a probabilistic representation learning scheme that represents unknown state transition and/or measurement models as Gaussian processes…
In this paper, the problem of state estimation, in the context of both filtering and smoothing, for nonlinear state-space models is considered. Due to the nonlinear nature of the models, the state estimation problem is generally intractable…
Over the past few years, research on deep graph learning has shifted from static graphs to temporal graphs in response to real-world complex systems that exhibit dynamic behaviors. In practice, temporal graphs are formalized as an ordered…
State-space models are used in a wide range of time series analysis formulations. Kalman filtering and smoothing are work-horse algorithms in these settings. While classic algorithms assume Gaussian errors to simplify estimation, recent…
This paper introduces a probabilistic approach for tracking the dynamics of unweighted and directed graphs using state-space models (SSMs). Unlike conventional topology inference methods that assume static graphs and generate point-wise…
A computationally efficient method for online joint state inference and dynamical model learning is presented. The dynamical model combines an a priori known, physically derived, state-space model with a radial basis function expansion…
In many practical scenarios, the dynamical system is not available and standard data assimilation methods are not applicable. Our objective is to construct a data-driven model for state estimation without the underlying dynamics. Instead of…
In this contribution we are interested in proving that a given observation-driven model is identifiable. In the case of a GARCH(p, q) model, a simple sufficient condition has been established in [1] for showing the consistency of the…
State space modelling is an efficient and flexible method for statistical inference of a broad class of time series and other data. This paper describes an R package KFAS for state space modelling with the observations from an exponential…
State Space Models (SSMs) have emerged as a potent tool in sequence modeling tasks in recent years. These models approximate continuous systems using a set of basis functions and discretize them to handle input data, making them well-suited…
Bayesian methods are increasingly being applied to parameterize mechanistic process models used in environmental prediction and forecasting. In particular, models describing ecosystem dynamics with multiple states that are linear and…
We present a method to obtain a data-driven Koopman operator-based model that adapts itself during operation and can be straightforwardly used for the controller and observer design. The adaptive model is able to accurately describe…
Bayesian analysis of state-space models includes computing the posterior distribution of the system's parameters as well as filtering, smoothing, and predicting the system's latent states. When the latent states wander around $\mathbb{R}^n$…