Related papers: Estimation of large approximate dynamic matrix fac…

Dramatic increases in the size and dimensionality of many recent data sets make crucial the need for sophisticated methods that can exploit inherent structure and handle missing values. In this article we derive an expectation-maximization…

The Expectation--Maximization (EM) algorithm is a simple meta-algorithm that has been used for many years as a methodology for statistical inference when there are missing measurements in the observed data or when the data is composed of…

This paper considers a non-stationary dynamic factor model for large datasets to disentangle long-run from short-run co-movements. We first propose a new Quasi Maximum Likelihood estimator of the model based on the Kalman Smoother and the…

The expectation-maximization (EM) algorithm is an iterative computational method to calculate the maximum likelihood estimators (MLEs) from the sample data. It converts a complicated one-time calculation for the MLE of the incomplete data…

We propose a dynamic factor model (DFM) where the latent factors are linked to observed variables with unknown and potentially nonlinear functions. The key novelty and source of flexibility of our approach is a nonparametric observation…

In this paper we address the problem of estimating the posterior distribution of the static parameters of a continuous time state space model with discrete time observations by an algorithm that combines the Kalman filter and a particle…

Estimation of parameters is a crucial part of model development. When models are deterministic, one can minimise the fitting error; for stochastic systems one must be more careful. Broadly parameterisation methods for stochastic dynamical…

The Expectation-Maximization (EM) algorithm is a fundamental tool in unsupervised machine learning. It is often used as an efficient way to solve Maximum Likelihood (ML) estimation problems, especially for models with latent variables. It…

We combine high-dimensional factor models with fractional integration methods and derive models where nonstationary, potentially cointegrated data of different persistence is modelled as a function of common fractionally integrated factors.…

We provide a general theory of the expectation-maximization (EM) algorithm for inferring high dimensional latent variable models. In particular, we make two contributions: (i) For parameter estimation, we propose a novel high dimensional EM…

The Expectation Maximization (EM) algorithm is of key importance for inference in latent variable models including mixture of regressors and experts, missing observations. This paper introduces a novel EM algorithm, called…

Inferring dynamics from time series is an important objective in data analysis. In particular, it is challenging to infer stochastic dynamics given incomplete data. We propose an expectation maximization (EM) algorithm that iterates between…

The Expectation-Maximization (EM) algorithm is an iterative method to maximize the log-likelihood function for parameter estimation. Previous works on the convergence analysis of the EM algorithm have established results on the asymptotic…

Data assimilation methods aim at estimating the state of a system by combining observations with a physical model. When sequential data assimilation is considered, the joint distribution of the latent state and the observations is described…

The concepts of sparsity, and regularised estimation, have proven useful in many high-dimensional statistical applications. Dynamic factor models (DFMs) provide a parsimonious approach to modelling high-dimensional time series, however, it…

Dynamic factor models are often estimated by point-estimation methods, disregarding parameter uncertainty. We propose a method accounting for parameter uncertainty by means of posterior approximation, using variational inference. Our…

In this article, we propose a new filtering algorithm based in the Koopman operator, showing that a nonlinear filtering problem can be seen as an equivalent problem where the dynamics is infinite dimensional, but linear. Using Extended…

Matrix-variate data of high dimensions are frequently observed in finance and economics, spanning extended time periods, such as the long-term data on international trade flows among numerous countries. To address potential structural…

Filtering is concerned with online estimation of the state of a dynamical system from partial and noisy observations. In applications where the state is high dimensional, ensemble Kalman filters are often the method of choice. This paper…

We show that a large class of Estimation of Distribution Algorithms, including, but not limited to, Covariance Matrix Adaption, can be written as a Monte Carlo Expectation-Maximization algorithm, and as exact EM in the limit of infinite…