相关论文: Nonparametric estimation of a mixing distribution …

We develop a general framework for state estimation in systems modeled with noise-polluted continuous time dynamics and discrete time noisy measurements. Our approach is based on maximum likelihood estimation and employs the calculus of…

Nonparametric identification and maximum likelihood estimation for finite-state hidden Markov models are investigated. We obtain identification of the parameters as well as the order of the Markov chain if the transition probability…

Mixed linear regression (MLR) model is among the most exemplary statistical tools for modeling non-linear distributions using a mixture of linear models. When the additive noise in MLR model is Gaussian, Expectation-Maximization (EM)…

Likelihood-based inference in stochastic non-linear dynamical systems, such as those found in chemical reaction networks and biological clock systems, is inherently complex and has largely been limited to small and unrealistically simple…

We propose a Bayesian nonparametric mixture model for the reconstruction and prediction from observed time series data, of discretized stochastic dynamical systems, based on Markov Chain Monte Carlo methods (MCMC). Our results can be used…

Comparison of two univariate distributions based on independent samples from them is a fundamental problem in statistics, with applications in a wide variety of scientific disciplines. In many situations, we might hypothesize that the two…

In this paper, we consider discrete-time non-linear stochastic dynamical systems with additive process noise in which both the initial state and noise distributions are uncertain. Our goal is to quantify how the uncertainty in these…

System identification is of special interest in science and engineering. This article is concerned with a system identification problem arising in stochastic dynamic systems, where the aim is to estimate the parameters of a system along…

Many dynamical systems are subjected to stochastic influences, such as random excitations, noise, and unmodeled behavior. Tracking the system's state and parameters based on a physical model is a common task for which filtering algorithms,…

Motivated by the maneuvering target tracking with sensors such as radar and sonar, this paper considers the joint and recursive estimation of the dynamic state and the time-varying process noise covariance in nonlinear state space models.…

Population pharmacokinetic (PK) modeling methods can be statistically classified as either parametric or nonparametric (NP). Each classification can be divided into maximum likelihood (ML) or Bayesian (B) approaches. In this paper we…

We analyze the statistical performance of identification of stochastic dynamical systems with non-linear measurement sensors. This includes stochastic Wiener systems, with linear dynamics, process noise and measured by a non-linear sensor…

We study mixture of linear regression (random coefficient) models, which capture population heterogeneity by allowing the regression coefficients to follow an unknown distribution $G^*$. In contrast to common parametric methods that fix the…

Estimating parameters of a diffusion process given continuous-time observations of the process via maximum likelihood approaches or, online, via stochastic gradient descent or Kalman filter formulations constitutes a well-established…

We discuss the possibility of applying some standard statistical methods (the least square method, the maximum likelihood method, the method of statistical moments for estimation of parameters) to deterministically chaotic low-dimensional…

Uncertainty propagation in non-linear dynamical systems has become a key problem in various fields including control theory and machine learning. In this work we focus on discrete-time non-linear stochastic dynamical systems. We present a…

Nonlinear mixed effects models represent a powerful tool to simultaneously analyze data from several individuals. In this study a compartmental model of leucine kinetics is examined and extended with a stochastic differential equation to…

In this paper, we derive a novel procedure for set-membership estimation of dynamical systems affected by stochastic noise with unbounded support. Employing a bound on the sample covariance matrix, we are able to provide a finite- sample…

We use statistical learning methods to construct an adaptive state estimator for nonlinear stochastic systems. Optimal state estimation, in the form of a Kalman filter, requires knowledge of the system's process and measurement uncertainty.…

Mixture models are regularly used in density estimation applications, but the problem of estimating the mixing distribution remains a challenge. Nonparametric maximum likelihood produce estimates of the mixing distribution that are…