相关论文: pTSE: A Multi-model Ensemble Method for Probabilis…

We show how Markov mixed membership models (MMMM) can be used to predict the degradation of assets. We model the degradation path of individual assets, to predict overall failure rates. Instead of a separate distribution for each hidden…

Forecasting on sparse multivariate time series (MTS) aims to model the predictors of future values of time series given their incomplete past, which is important for many emerging applications. However, most existing methods process MTS's…

We explore the use of traditional and contemporary hidden Markov models (HMMs) for sequential physiological data analysis and sepsis prediction in preterm infants. We investigate the use of classical Gaussian mixture model based HMM, and a…

Loss reserving generally focuses on identifying a single model that can generate superior predictive performance. However, different loss reserving models specialise in capturing different aspects of loss data. This is recognised in…

Hamiltonian Monte Carlo (HMC) is an efficient and effective means of sampling posterior distributions on Euclidean space, which has been extended to manifolds with boundary. However, some applications require an extension to more general…

A Hidden Markov Model (HMM) is a common statistical model which is widely used for analysis of biological sequence data and other sequential phenomena. In the present paper we show how HMMs can be extended with side-constraints and present…

Probabilistic programming uses programs to express generative models whose posterior probability is then computed by built-in inference engines. A challenging goal is to develop general purpose inference algorithms that work out-of-the-box…

Weather prediction today is performed with numerical weather prediction (NWP) models. These are deterministic simulation models describing the dynamics of the atmosphere, and evolving the current conditions forward in time to obtain a…

The P\'olya tree (PT) process is a general-purpose Bayesian nonparametric model that has found wide application in a range of inference problems. It has a simple analytic form and the posterior computation boils down to beta-binomial…

Short-term probabilistic wind power forecasting can provide critical quantified uncertainty information of wind generation for power system operation and control. As the complicated characteristics of wind power prediction error, it would…

Hidden Markov models (HMMs) and partially observable Markov decision processes (POMDPs) form a useful tool for modeling dynamical systems. They are particularly useful for representing environments such as road networks and office…

Hidden Markov models have successfully been applied as models of discrete time series in many fields. Often, when applied in practice, the parameters of these models have to be estimated. The currently predominating identification methods,…

Time series forecasting has seen considerable improvement during the last years, with transformer models and large language models driving advancements of the state of the art. Modern forecasting models are generally opaque and do not…

Accurate demand forecasting is critical for supply chain optimization, yet remains difficult in practice due to hierarchical complexity, domain shifts, and evolving external factors. While recent foundation models offer strong potential for…

This paper develops an approach for multi-step forecasting of dynamical systems by integrating probabilistic input forecasting with physics-informed output prediction. Accurate multi-step forecasting of time series systems is important for…

Thermalisation and information scrambling in out-of-equilibrium quantum many-body systems are deeply intertwined: local subsystems dynamically approach thermal density matrices while their entropies track information spreading. Projected…

There is an increase in interest to model driving maneuver patterns via the automatic unsupervised clustering of naturalistic sequential kinematic driving data. The patterns learned are often used in transportation research areas such as…

Time series subject to change in regime have attracted much interest in domains such as econometry, finance or meteorology. For discrete-valued regimes, some models such as the popular Hidden Markov Chain (HMC) describe time series whose…

Many supervised machine learning tasks, such as future state prediction in dynamical systems, require precise modeling of a forecast's uncertainty. The Multiple Hypotheses Prediction (MHP) approach addresses this problem by providing…

An algorithm used to extract HMM parameters is revisited. Most parts of the extraction process are taken from implemented Hidden Markov Toolkit (HTK) program under name HInit. The algorithm itself shows a few variations compared to another…