相关论文: Kalman Filtering of Distributed Time Series

Graph-based techniques emerged as a choice to deal with the dimensionality issues in modeling multivariate time series. However, there is yet no complete understanding of how the underlying structure could be exploited to ease this task.…

An optimal filter for Poisson observations is developed as a variant of the traditional Kalman filter. Poisson distributions are characteristic of infectious diseases, which model the number of patients recorded as presenting each day to a…

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…

Predicting the behavior of a dynamical system from noisy observations of its past outputs is a classical problem encountered across engineering and science. For linear systems with Gaussian inputs, the Kalman filter -- the best linear…

The controllability of advection-diffusion systems, subject to uncertain initial values and emission rates, is estimated, given sparse and error affected observations of prognostic state variables. In predictive geophysical model systems,…

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 the present paper we consider controllability and observability of second order linear time invariant systems in matrix form. Without reducing into first order systems we show how the classical conditions for first order linear systems…

Forecasting driving behavior or other sensor measurements is an essential component of autonomous driving systems. Often real-world multivariate time series data is hard to model because the underlying dynamics are nonlinear and the…

Matrix factorization from a small number of observed entries has recently garnered much attention as the key ingredient of successful recommendation systems. One unresolved problem in this area is how to adapt current methods to handle…

The contraction properties of the Extended Kalman Filter, viewed as a deterministic observer for nonlinear systems, are analyzed. This yields new conditions under which exponential convergence of the state error can be guaranteed. As…

The paper introduces a real-time monitoring and forecasting system for ecological phenomena. The process yields a collection of ecological parameters viewed as distributed time series, which are measured by means of wireless network of…

This paper proposes a novel consensus-based distributed filter over directed graphs under the collectively observability condition. The distributed filter is designed using an augmented leader-following information fusion strategy, and the…

In this paper we consider the problem of the limits concerning the physical information that can be extracted from the analysis of one or more time series (light curves) typical of astrophysical objects. On the basis of theoretical…

Reliable prediction of large chaotic sytems in the short to middle time range is of interest in a number of fields, including climate, ecology, seismology, and economics. In this paper, results from chaos theory, and statistical theory are…

A Bayesian data assimilation scheme is formulated for advection-dominated or hyperbolic evolutionary problems, and observations. The method is referred to as the dynamic likelihood filter because it exploits the model physics to dynamically…

Both constrained and unconstrained optimization problems regularly appear in recursive tracking problems engineers currently address -- however, constraints are rarely exploited for these applications. We define the Kalman Filter and…

Optimal decision-making under partial observability requires reasoning about the uncertainty of the environment's hidden state. However, most reinforcement learning architectures handle partial observability with sequence models that have…

The Kalman filter (KF) and its variants are among the most celebrated algorithms in signal processing. These methods are used for state estimation of dynamic systems by relying on mathematical representations in the form of simple…

We consider the problem of learning two families of time-evolving random measures from indirect observations. In the first model, the signal is a Fleming--Viot diffusion, which is reversible with respect to the law of a Dirichlet process,…

Count time series are widely encountered in practice. As with continuous valued data, many count series have seasonal properties. This paper uses a recent advance in stationary count time series to develop a general seasonal count time…