相关论文: A closed-form filter for binary time series

An incremental/online state dynamic learning method is proposed for identification of the nonlinear Gaussian state space models. The method embeds the stochastic variational sparse Gaussian process as the probabilistic state dynamic model…

A class of discrete distributions can be derived from stationary renewal processes. They have the useful property that the mean is a simple function of the model parameters. Thus regressions of the distribution mean on covariates can be…

State space models are well-known for their versatility in modeling dynamic systems that arise in various scientific disciplines. Although parametric state space models are well studied, nonparametric approaches are much less explored in…

Doubly intractable distributions arise in many settings, for example in Markov models for point processes and exponential random graph models for networks. Bayesian inference for these models is challenging because they involve intractable…

Bayesian computation for filtering and forecasting analysis is developed for a broad class of dynamic models. The ability to scale-up such analyses in non-Gaussian, nonlinear multivariate time series models is advanced through the…

State-space models can be used to incorporate subject knowledge on the underlying dynamics of a time series by the introduction of a latent Markov state-process. A user can specify the dynamics of this process together with how the state…

P-splines provide a flexible setting for modeling nonlinear model components based on a discretized penalty structure with a relatively simple computational backbone. Under a Bayesian inferential framework based on Markov chain Monte Carlo,…

The number of resident space objects is rising at an alarming rate. Mega-constellations and breakup events are proliferating in most orbital regimes, and safe navigation is becoming increasingly problematic. It is important to be able to…

Even in low dimensions, sampling from multi-modal distributions is challenging. We provide the first sampling algorithm for a broad class of distributions -- including all Gaussian mixtures -- with a query complexity that is polynomial in…

We propose two new Bayesian smoothing methods for general state-space models with unknown parameters. The first approach is based on the particle learning and smoothing algorithm, but with an adjustment in the backward resampling weights.…

Discrete state spaces represent a major computational challenge to statistical inference, since the computation of normalisation constants requires summation over large or possibly infinite sets, which can be impractical. This paper…

Nonlinear/non-Gaussian filtering has broad applications in many areas of life sciences where either the dynamic is nonlinear and/or the probability density function of uncertain state is non-Gaussian. In such problems, the accuracy of the…

Sampling from the full posterior distribution of high-dimensional non-linear, non-Gaussian latent dynamical models presents significant computational challenges. While Particle Gibbs (also known as conditional sequential Monte Carlo) is…

Most solved dynamic structural macrofinance models are non-linear and/or non-Gaussian state-space models with high-dimensional and complex structures. We propose an annealed controlled sequential Monte Carlo method that delivers numerically…

Multi-state models are frequently applied for representing processes evolving through a discrete set of state. Important classes of multi-state models arise when transitions between states may depend on the time since entry into the current…

Many probabilistic models introduce strong dependencies between variables using a latent multivariate Gaussian distribution or a Gaussian process. We present a new Markov chain Monte Carlo algorithm for performing inference in models with…

Nonstationary non-Gaussian spatial data are common in many disciplines, including climate science, ecology, epidemiology, and social sciences. Examples include count data on disease incidence and binary satellite data on cloud mask…

Chance-constrained motion planning requires uncertainty in dynamics to be propagated into uncertainty in state. When nonlinear models are used, Gaussian assumptions on the state distribution do not necessarily apply since almost all random…

Conditional diffusion models provide a natural framework for probabilistic prediction of dynamical systems and have been successfully applied to fluid dynamics and weather prediction. However, in many settings, the available information at…

Many epidemic models are naturally defined as individual-based models: where we track the state of each individual within a susceptible population. Inference for individual-based models is challenging due to the high-dimensional state-space…