相关论文: State-switching continuous-time correlated random …
A framework for tightly integrated motion mode classification and state estimation in motion-constrained inertial navigation systems is presented. The framework uses a jump Markov model to describe the navigation system's motion mode and…
When analyzing animal movement, it is important to account for interactions between individuals. However, statistical models for incorporating interaction behavior in movement models are limited. We propose an approach that models dependent…
HYGARCH model is basically used to model long-range dependence in volatility. We propose Markov switch smooth-transition HYGARCH model, where the volatility in each state is a time-dependent convex combination of GARCH and FIGARCH. This…
Tau leaping is a popular method for performing fast approximate simulation of certain continuous time Markov chain models typically found in chemistry and biochemistry. This method is known to perform well when the transition rates satisfy…
B-spline-based hidden Markov models employ B-splines to specify the emission distributions, offering a more flexible modelling approach to data than conventional parametric HMMs. We introduce a Bayesian framework for inference, enabling the…
Regime switching processes have proved to be indispensable in the modeling of various phenomena, allowing model parameters that traditionally were considered to be constant to fluctuate in a Markovian manner in line with empirical findings.…
Data collected by wearable devices in sports provide valuable information about an athlete's behavior such as their activity, performance, and ability. These time series data can be studied with approaches such as hidden Markov and…
A random walk on a $N$-dimensional hypercube is a discrete time stochastic process whose state space is the set $\{-1,+1\}^{N}$, which has uniform probability of reaching any neighbour state, and probability zero of reaching a non-neighbour…
Markov jump processes and continuous time Bayesian networks are important classes of continuous time dynamical systems. In this paper, we tackle the problem of inferring unobserved paths in these models by introducing a fast auxiliary…
As herd size on dairy farms continues to increase, automatic health monitoring of cows is gaining in interest. Lameness, a prevalent health disorder in dairy cows, is commonly detected by analyzing the gait of cows. A cow's gait can be…
We introduce a new graphical model for tracking radio-tagged animals and learning their movement patterns. The model provides a principled way to combine radio telemetry data with an arbitrary set of userdefined, spatial features. We…
What can one say on convergence to stationarity of a finite state Markov chain that behaves "locally" like a nearest neighbor random walk on ${\mathbb Z}$ ? The model we consider is a version of nearest neighbor lazy random walk on the…
An irreversible Markov-chain Monte Carlo (MCMC) algorithm with skew detailed balance conditions originally proposed by Turitsyn et al. is extended to general discrete systems on the basis of the Metropolis-Hastings scheme. To evaluate the…
This paper introduces a linear state-space model with time-varying dynamics. The time dependency is obtained by forming the state dynamics matrix as a time-varying linear combination of a set of matrices. The time dependency of the weights…
Data collected from wearable devices and smartphones can shed light on an individual's pattern of behavioral and circadian routine. Phone use can be modeled as alternating event process, between the state of active use and the state of…
Modeling event dynamics is central to many disciplines. Patterns in observed event arrival times are commonly modeled using point processes. Such event arrival data often exhibits self-exciting, heterogeneous and sporadic trends, which is…
Clinical measurements, such as body temperature, are often collected over time to monitor an individual's underlying health condition. These measurements exhibit complex temporal dynamics, necessitating sophisticated statistical models to…
We introduce state-space models where the functionals of the observational and the evolutionary equations are unknown, and treated as random functions evolving with time. Thus, our model is nonparametric and generalizes the traditional…
In most sampling algorithms, including Hamiltonian Monte Carlo, transition rates between states correspond to the probability of making a transition in a single time step, and are constrained to be less than or equal to 1. We derive a…
Particle Markov Chain Monte Carlo (PMCMC) is a general computational approach to Bayesian inference for general state space models. Our article scales up PMCMC in terms of the number of observations and parameters by generating the…