相关论文: A Classification of Observation-Driven State-Space…

We present a broad literature survey of parameter and state estimation for queueing systems. Our approach is based on various inference activities, queueing models, observations schemes, and statistical methods. We categorize these into…

This paper develops an inferential theory for state-varying factor models of large dimensions. Unlike constant factor models, loadings are general functions of some recurrent state process. We develop an estimator for the latent factors and…

Probabilistic approaches for handling count-valued time sequences have attracted amounts of research attentions because their ability to infer explainable latent structures and to estimate uncertainties, and thus are especially suitable for…

We present a hybrid scheme for the parameter and state estimation of nonlinear continuous-time systems, which is inspired by the supervisory setup used for control. State observers are synthesized for some nominal parameter values and a…

State-space models are ubiquitous in the statistical literature since they provide a flexible and interpretable framework for analyzing many time series. In most practical applications, the state-space model is specified through a…

A stationary spatial model is an idealization and we expect that the true dependence structures of physical phenomena are spatially varying, but how should we handle this non-stationarity in practice? We study the challenges involved in…

State-space models have been widely used to model the dynamics of communicable diseases in populations of interest by fitting to time-series data. Particle filters have enabled these models to incorporate stochasticity and so can better…

While queueing network models are powerful tools for analyzing service systems, they traditionally require substantial human effort and domain expertise to construct. To make this modeling approach more scalable and accessible, we propose a…

We introduce a general theory on stationary approximations for locally stationary continuous-time processes. Based on the stationary approximation, we use $\theta$-weak dependence to establish laws of large numbers and central limit type…

This paper introduces a novel approach to investigate the dynamics of state distributions, which accommodate both cross-sectional distributions of repeated panels and intra-period distributions of a time series observed at high frequency.…

We introduce a new version of deep state-space models (DSSMs) that combines a recurrent neural network with a state-space framework to forecast time series data. The model estimates the observed series as functions of latent variables that…

In this contribution we investigate how to describe the results and usage of evolutionary synthesis models. In particular, we look for an explicit and quantitative description of the parameter space of synthesis models and the evaluation of…

The appropriateness of the Poisson model is frequently challenged when examining spatial count data marked by unbalanced distributions, over-dispersion, or under-dispersion. Moreover, traditional parametric models may inadequately capture…

This is an annotated bibliography on estimation and inference results for queues and related stochastic models. The purpose of this document is to collect and categorise works in the field, allowing for researchers and practitioners to…

State-space models are a popular statistical framework for analysing sequential data. Within this framework, particle filters are often used to perform inference on non-linear state-space models. We introduce a new method, StateMixNN, that…

State-space models (SSMs) have emerged as a powerful foundation for long-range sequence modeling, with the HiPPO framework showing that continuous-time projection operators can be used to derive stable, memory-efficient dynamical systems…

Numerous processes across both the physical and biological sciences are driven by diffusion. Partial differential equations (PDEs) are a popular tool for modelling such phenomena deterministically, but it is often necessary to use…

Mathematical models of cognition are often memoryless and ignore potential fluctuations of their parameters. However, human cognition is inherently dynamic. Thus, we propose to augment mechanistic cognitive models with a temporal dimension…

The growing complexity of the power grid, driven by increasing share of distributed energy resources and by massive deployment of intelligent internet-connected devices, requires new modelling tools for planning and operation. Physics-based…

In recent years, computational power and data availability breakthroughs have revolutionized our ability to analyze complex physical systems through the inverse problem approach. Data-driven techniques like system identification and machine…