相关论文: Singularity in CM Sequences

We consider the Markov chain approximations for singular stable-like processes. First we obtain properties of some Markov chains. Then we construct the approximating Markov chains and give a necessary condition for weak convergence of these…

In this paper we consider several continuous-time multivariate non-Gaussian models applied to finance and proposed in the literature in the last years. We study the models focusing on the parsimony of the number of parameters, the…

In order to better model high-dimensional sequential data, we propose a collaborative multi-output Gaussian process dynamical system (CGPDS), which is a novel variant of GPDSs. The proposed model assumes that the output on each dimension is…

Gaussian process models are flexible, Bayesian non-parametric approaches to regression. Properties of multivariate Gaussians mean that they can be combined linearly in the manner of additive models and via a link function (like in…

When dealing with time series data, causal inference methods often employ structural vector autoregressive (SVAR) processes to model time-evolving random systems. In this work, we rephrase recursive SVAR processes with possible latent…

Multi-output Gaussian Processes provide principled uncertainty-aware learning of vector-valued fields but are difficult to deploy in large-scale, distributed, and streaming settings due to their computational and centralized nature. This…

We study the Parallel Replica Dynamics in a general setting. We introduce a trajectory fragment framework that can be used to design and prove consistency of Parallel Replica algorithms for generic Markov processes. We use our framework to…

This work develops a duality theory for partially observed linear Gaussian models in discrete time. The state process evolves according to a causal but non-Markovian (or higher-order Gauss-Markov) structure, captured by a lower-triangular…

In this work, we want to learn to model the dynamics of similar yet distinct groups of interacting objects. These groups follow some common physical laws that exhibit specificities that are captured through some vectorial description. We…

In this article, an overview of Bayesian methods for sequential simulation from posterior distributions of nonlinear and non-Gaussian dynamic systems is presented. The focus is mainly laid on sequential Monte Carlo methods, which are based…

Gaussian process (GP) models provide a powerful tool for prediction but are computationally prohibitive using large data sets. In such scenarios, one has to resort to approximate methods. We derive an approximation based on a composite…

Robotic tasks which involve uncertainty--due to variation in goal, environment configuration, or confidence in task model--may require human input to instruct or adapt the robot. In tasks with physical contact, several existing methods for…

The nonincreasing feature of temporal quantum steering under a completely positive trace-preserving (CPTP) map, as proposed by Chen, et al. in Phys. Rev. Lett. 116, 020503 (2016), has been considered as a practical measure of…

Standard GPs offer a flexible modelling tool for well-behaved processes. However, deviations from Gaussianity are expected to appear in real world datasets, with structural outliers and shocks routinely observed. In these cases GPs can fail…

In this work we consider time series with a finite number of discrete point changes. We assume that the data in each segment follows a different probability density functions (pdf). We focus on the case where the data in all segments are…

Discovering causal relations among observed variables in a given data set is a major objective in studies of statistics and artificial intelligence. Recently, some techniques to discover a unique causal model have been explored based on…

Gaussian processes retain the linear model either as a special case, or in the limit. We show how this relationship can be exploited when the data are at least partially linear. However from the perspective of the Bayesian posterior, the…

This paper considers differential problems with random switching, with specific applications to the motion of cells and centrally coordinated motion. Starting with a differential-equation model of cell motion that was proposed previously,…

Parameter estimation for discretely observed Markov processes is a challenging problem. However, simulation of Markov processes is straightforward using the Gillespie algorithm. We exploit this ease of simulation to develop an effective…

Many real-world problems encountered in several disciplines deal with the modeling of time-series containing different underlying dynamical regimes, for which probabilistic approaches are very often employed. In this paper we describe…