Related papers: An Observation-Driven State-Space Model for Claims…
Circular time series has received relatively little attention in statistics and modeling complex circular time series using the state space approach is non-existent in the literature. In this article we introduce a flexible Bayesian…
Geometry of the state space is known to play a crucial role in many applications of Kalman filters, especially robotics and motion tracking. The Lie group-centric approach is currently very common, although a Riemannian approach has also…
State-space models are dynamical systems defined by a latent and an observed process. In ecology, stochastic state-space models in discrete time are most often used to describe the imperfectly observed dynamics of population sizes or animal…
State-space models effectively model multivariate time series by updating over time a representation of the system state from which predictions are made. The state representation is usually a vector without any explicit structure.…
Nonlinear non-Gaussian state-space models are ubiquitous in statistics, econometrics, information engineering and signal processing. Particle methods, also known as Sequential Monte Carlo (SMC) methods, provide reliable numerical…
Dynamic inference problems in autoregressive (AR/ARMA/ARIMA), exponential smoothing, and navigation are often formulated and solved using state-space models (SSM), which allow a range of statistical distributions to inform innovations and…
We present a scalable and robust Bayesian inference method for linear state space models. The method is applied to demand forecasting in the context of a large e-commerce platform, paying special attention to intermittent and bursty target…
The state space (SS) representation of Gaussian processes (GP) has recently gained a lot of interest. The main reason is that it allows to compute GPs based inferences in O(n), where $n$ is the number of observations. This implementation…
The problem of state tracking with active observation control is considered for a system modeled by a discrete-time, finite-state Markov chain observed through conditionally Gaussian measurement vectors. The measurement model statistics are…
Generalized autoregressive moving average (GARMA) models are a class of models that was developed for extending the univariate Gaussian ARMA time series model to a flexible observation-driven model for non-Gaussian time series data. This…
State-space models (SSM) are central to describe time-varying complex systems in countless signal processing applications such as remote sensing, networks, biomedicine, and finance to name a few. Inference and prediction in SSMs are…
Recurrent State-space models (RSSMs) are highly expressive models for learning patterns in time series data and system identification. However, these models assume that the dynamics are fixed and unchanging, which is rarely the case in…
A space-time model for wind fields is proposed. It aims at simulating realistic wind conditions with a focus on reproducing the space-time motions of the meteorological systems. A Gaussian linear state-space model is used where the latent…
The Poisson-gamma state space (PGSS) models have been utilized in the analysis of non-negative integer-valued time series to sequentially obtain closed form filtering and predictive densities. In this study, we show the underlying mechanics…
State-space models (SSMs) are increasingly used in ecology to model time-series such as animal movement paths and population dynamics. This type of hierarchical model is often structured to account for two levels of variability: biological…
This paper presents a generic motion model to capture mobile robots' dynamic behaviors (translation and rotation). The model is based on statistical models driven by white random processes and is formulated into a full state estimation…
State-space models (SSMs) are a powerful statistical tool for modelling time-varying systems via a latent state. In these models, the latent state is never directly observed. Instead, a sequence of data points related to the state are…
State space models have long played an important role in signal processing. The Gaussian case can be treated algorithmically using the famous Kalman filter. Similarly since the 1970s there has been extensive application of Hidden Markov…
Gaussian-process state-space models (GP-SSMs) provide a flexible nonparametric alternative for modeling time-series dynamics that are nonlinear or difficult to specify parametrically. While the Kalman filter is effective for linear-Gaussian…
In this paper, a new framework, named as graphical state space model, is proposed for the real time optimal estimation of a class of nonlinear state space model. By discretizing this kind of system model as an equation which can not be…