Related papers: Dual Filter: A Transformer-like Inference Architec…

The objective of this article is to study the asymptotic behavior of a new particle filtering approach in the context of hidden Markov models (HMMs). In particular, we develop an algorithm where the latent-state sequence is segmented into…

We are interested in assessing the order of a finite-state Hidden Markov Model (HMM) with the only two assumptions that the transition matrix of the latent Markov chain has full rank and that the density functions of the emission…

The detection of change-points in heterogeneous sequences is a statistical challenge with many applications in fields such as finance, signal analysis and biology. A wide variety of literature exists for finding an ideal set of…

We propose a two-step algorithm for the construction of a Hidden Markov Model (HMM) of assigned size, i.e. cardinality of the state space of the underlying Markov chain, whose $n$-dimensional distribution is closest in divergence to a given…

This study introduces an integrated framework for predictive causal inference designed to overcome limitations inherent in conventional single model approaches. Specifically, we combine a Hidden Markov Model (HMM) for spatial health state…

The standard paradigm of modeling marked point processes is by parameterizing the intensity function using an attention-based (Transformer-style) architecture. Despite the flexibility of these methods, their inference is based on the…

In this paper, we consider the filtering and smoothing recursions in nonparametric finite state space hidden Markov models (HMMs) when the parameters of the model are unknown and replaced by estimators. We provide an explicit and time…

Regime-switching models, in particular Hidden Markov Models (HMMs) where the switching is driven by an unobservable Markov chain, are widely-used in financial applications, due to their tractability and good econometric properties. In this…

We address the problem of prediction for extreme observations by proposing an extremal linear prediction method. We construct an inner product space of nonnegative random variables derived from transformed-linear combinations of independent…

Recurrent Neural Networks were, until recently, one of the best ways to capture the timely dependencies in sequences. However, with the introduction of the Transformer, it has been proven that an architecture with only attention-mechanisms…

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…

We consider the problem of sensor selection for designing observer and filter for continuous linear time invariant systems such that the sensor precisions are minimized, and the estimation errors are bounded by the prescribed…

This paper investigates adaptive model predictive control (MPC) for a class of constrained linear systems with unknown model parameters. This is also posed as the dual control problem consisting of system identification and regulation. We…

Non-homogeneous hidden Markov models (NHHMM) are a subclass of dependent mixture models used for semi-supervised learning, where both transition probabilities between the latent states and mean parameter of the probability distribution of…

Suppose that we are given a time series where consecutive samples are believed to come from a probabilistic source, that the source changes from time to time and that the total number of sources is fixed. Our objective is to estimate the…

In this article a flexible Bayesian non-parametric model is proposed for non-homogeneous hidden Markov models. The model is developed through the amalgamation of the ideas of hidden Markov models and predictor dependent stick-breaking…

De-interleaving of the mixtures of Hidden Markov Processes (HMPs) generally depends on its representation model. Existing representation models consider Markov chain mixtures rather than hidden Markov, resulting in the lack of robustness to…

Given a nonparametric Hidden Markov Model (HMM) with two states, the question of constructing efficient multiple testing procedures is considered, treating one of the states as an unknown null hypothesis. A procedure is introduced, based on…

This thesis provides methods and analysis of models which make progress on this goal. The techniques outlined are task agnostic, and should provide benefit when used with nearly any transformer LM. We introduce two new finetuning methods…

The hidden Markov model (HMM) is a generative model that treats sequential data under the assumption that each observation is conditioned on the state of a discrete hidden variable that evolves in time as a Markov chain. In this paper, we…