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    <title>Pinboard (cshalizi)</title>
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    <description>recent bookmarks from cshalizi</description>
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  </channel><item rdf:about="https://arxiv.org/abs/2406.04089">
    <title>[2406.04089] On Limitation of Transformer for Learning HMMs</title>
    <dc:date>2025-09-17T13:23:42+00:00</dc:date>
    <link>https://arxiv.org/abs/2406.04089</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Despite the remarkable success of Transformer-based architectures in various sequential modeling tasks, such as natural language processing, computer vision, and robotics, their ability to learn basic sequential models, like Hidden Markov Models (HMMs), is still unclear. This paper investigates the performance of Transformers in learning HMMs and their variants through extensive experimentation and compares them to Recurrent Neural Networks (RNNs). We show that Transformers consistently underperform RNNs in both training speed and testing accuracy across all tested HMM models. There are even challenging HMM instances where Transformers struggle to learn, while RNNs can successfully do so. Our experiments further reveal the relation between the depth of Transformers and the longest sequence length it can effectively learn, based on the types and the complexity of HMMs. To address the limitation of transformers in modeling HMMs, we demonstrate that a variant of the Chain-of-Thought (CoT), called block CoT in the training phase, can help transformers to reduce the evaluation error and to learn longer sequences at a cost of increasing the training time. Finally, we complement our empirical findings by theoretical results proving the expressiveness of transformers in approximating HMMs with logarithmic depth."

--- I guess it's good to have what's theoretically obvious empirically confirmed.]]></description>
<dc:subject>to:NB have_skimmed neural_networks time_series automata_theory state-space_models large_language_models_(so_called) via:?</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:a9f4e9105545/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:have_skimmed"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:neural_networks"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:automata_theory"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:large_language_models_(so_called)"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:via:?"/>
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<item rdf:about="https://arxiv.org/abs/2308.09543">
    <title>[2308.09543] Latent State Models of Training Dynamics</title>
    <dc:date>2025-03-10T13:48:28+00:00</dc:date>
    <link>https://arxiv.org/abs/2308.09543</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["The impact of randomness on model training is poorly understood. How do differences in data order and initialization actually manifest in the model, such that some training runs outperform others or converge faster? Furthermore, how can we interpret the resulting training dynamics and the phase transitions that characterize different trajectories? To understand the effect of randomness on the dynamics and outcomes of neural network training, we train models multiple times with different random seeds and compute a variety of metrics throughout training, such as the L2 norm, mean, and variance of the neural network's weights. We then fit a hidden Markov model (HMM) over the resulting sequences of metrics. The HMM represents training as a stochastic process of transitions between latent states, providing an intuitive overview of significant changes during training. Using our method, we produce a low-dimensional, discrete representation of training dynamics on grokking tasks, image classification, and masked language modeling. We use the HMM representation to study phase transitions and identify latent "detour" states that slow down convergence."]]></description>
<dc:subject>to:NB neural_networks optimization state-space_models</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:9ff283321c2c/</dc:identifier>
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<item rdf:about="https://arxiv.org/abs/2502.02472">
    <title>[2502.02472] SDE Matching: Scalable and Simulation-Free Training of Latent Stochastic Differential Equations</title>
    <dc:date>2025-02-17T19:24:40+00:00</dc:date>
    <link>https://arxiv.org/abs/2502.02472</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["The Latent Stochastic Differential Equation (SDE) is a powerful tool for time series and sequence modeling. However, training Latent SDEs typically relies on adjoint sensitivity methods, which depend on simulation and backpropagation through approximate SDE solutions, which limit scalability. In this work, we propose SDE Matching, a new simulation-free method for training Latent SDEs. Inspired by modern Score- and Flow Matching algorithms for learning generative dynamics, we extend these ideas to the domain of stochastic dynamics for time series and sequence modeling, eliminating the need for costly numerical simulations. Our results demonstrate that SDE Matching achieves performance comparable to adjoint sensitivity methods while drastically reducing computational complexity."]]></description>
<dc:subject>to:NB stochastic_differential_equations state-space_models simulation-based_inference to_read</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:7c8643cc83a2/</dc:identifier>
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	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:stochastic_differential_equations"/>
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<item rdf:about="https://proceedings.neurips.cc/paper/2019/hash/39555391eb0624a439c5131b1bb8a2e0-Abstract.html">
    <title>Universal Approximation of Input-Output Maps by Temporal Convolutional Nets</title>
    <dc:date>2024-12-11T15:53:54+00:00</dc:date>
    <link>https://proceedings.neurips.cc/paper/2019/hash/39555391eb0624a439c5131b1bb8a2e0-Abstract.html</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["There has been a recent shift in sequence-to-sequence modeling from recurrent network architectures to convolutional network architectures due to computational advantages in training and operation while still achieving competitive performance. For systems having limited long-term temporal dependencies, the approximation capability of recurrent networks is essentially equivalent to that of temporal convolutional nets (TCNs). We prove that TCNs can approximate a large class of input-output maps having approximately finite memory to arbitrary error tolerance. Furthermore, we derive quantitative approximation rates for deep ReLU TCNs in terms of the width and depth of the network and modulus of continuity of the original input-output map, and apply these results to input-output maps of systems that admit finite-dimensional state-space realizations (i.e., recurrent models)."]]></description>
<dc:subject>to:NB neural_networks state-space_models raginsky.maxim</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:e0f980082d66/</dc:identifier>
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<item rdf:about="https://www.tandfonline.com/doi/full/10.1080/01621459.2021.1974867">
    <title>Bagged Filters for Partially Observed Interacting Systems: Journal of the American Statistical Association: Vol 0, No 0</title>
    <dc:date>2022-06-11T04:57:01+00:00</dc:date>
    <link>https://www.tandfonline.com/doi/full/10.1080/01621459.2021.1974867</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Bagging (i.e., bootstrap aggregating) involves combining an ensemble of bootstrap estimators. We consider bagging for inference from noisy or incomplete measurements on a collection of interacting stochastic dynamic systems. Each system is called a unit, and each unit is associated with a spatial location. A motivating example arises in epidemiology, where each unit is a city: the majority of transmission occurs within a city, with smaller yet epidemiologically important interactions arising from disease transmission between cities. Monte Carlo filtering methods used for inference on nonlinear non-Gaussian systems can suffer from a curse of dimensionality (COD) as the number of units increases. We introduce bagged filter (BF) methodology which combines an ensemble of Monte Carlo filters, using spatiotemporally localized weights to select successful filters at each unit and time. We obtain conditions under which likelihood evaluation using a BF algorithm can beat a COD, and we demonstrate applicability even when these conditions do not hold. BF can out-perform an ensemble Kalman filter on a coupled population dynamics model describing infectious disease transmission. A block particle filter (BPF) also performs well on this task, though the bagged filter respects smoothness and conservation laws that a BPF can violate. "]]></description>
<dc:subject>to:NB time_series state_estimation state-space_models particle_filters ensemble_methods ionides.edward</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:737c28aede3c/</dc:identifier>
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<item rdf:about="https://arxiv.org/abs/2107.11253">
    <title>[2107.11253] State, global and local parameter estimation using local ensemble Kalman filters: applications to online machine learning of chaotic dynamics</title>
    <dc:date>2021-07-26T14:56:43+00:00</dc:date>
    <link>https://arxiv.org/abs/2107.11253</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Recent studies have shown that it is possible to combine machine learning methods with data assimilation to reconstruct a dynamical system using only sparse and noisy observations of that system. The same approach can be used to correct the error of a knowledge-based model. The resulting surrogate model is hybrid, with a statistical part supplementing a physical part. In practice, the correction can be added as an integrated term (\textit{i.e.} in the model resolvent) or directly inside the tendencies of the physical model. The resolvent correction is easy to implement. The tendency correction is more technical, in particular it requires the adjoint of the physical model, but also more flexible. We use the two-scale Lorenz model to compare the two methods. The accuracy in long-range forecast experiments is somewhat similar between the surrogate models using the resolvent correction and the tendency correction. By contrast, the surrogate models using the tendency correction significantly outperform the surrogate models using the resolvent correction in data assimilation experiments. Finally, we show that the tendency correction opens the possibility to make online model error correction, \textit{i.e.} improving the model progressively as new observations become available. The resulting algorithm can be seen as a new formulation of weak-constraint 4D-Var. We compare online and offline learning using the same framework with the two-scale Lorenz system, and show that with online learning, it is possible to extract all the information from sparse and noisy observations."]]></description>
<dc:subject>state-space_models state_estimation misspecification time_series to_read statistics in_NB</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:b8af6c2cb494/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
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	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:misspecification"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
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</item>
<item rdf:about="https://arxiv.org/abs/2106.15948">
    <title>Maximum likelihood estimation of hidden Markov models for continuous longitudinal data with missing responses and dropout</title>
    <dc:date>2021-07-01T13:30:50+00:00</dc:date>
    <link>https://arxiv.org/abs/2106.15948</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["We propose an inferential approach for maximum likelihood estimation of the hidden Markov models for continuous responses. We extend to the case of longitudinal observations the finite mixture model of multivariate Gaussian distributions with Missing At Random (MAR) outcomes, also accounting for possible dropout. The resulting hidden Markov model accounts for different types of missing pattern: (i) partially missing outcomes at a given time occasion; (ii) completely missing outcomes at a given time occasion (intermittent pattern); (iii) dropout before the end of the period of observation (monotone pattern). The MAR assumption is formulated to deal with the first two types of missingness, while to account for informative dropout we assume an extra absorbing state. Maximum likelihood estimation of the model parameters is based on an extended Expectation-Maximization algorithm relying on suitable recursions. The proposal is illustrated by a Monte Carlo simulation study and an application based on historical data on primary biliary cholangitis."]]></description>
<dc:subject>to:NB time_series state-space_models missing_data statistics</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:ed7cf93460a6/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
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<item rdf:about="https://arxiv.org/abs/2002.05211">
    <title>[2002.05211] Bagged filters for partially observed interacting systems</title>
    <dc:date>2021-06-28T03:45:08+00:00</dc:date>
    <link>https://arxiv.org/abs/2002.05211</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Bagging (i.e., bootstrap aggregating) involves combining an ensemble of bootstrap estimators. We consider bagging for inference from noisy or incomplete measurements on a collection of interacting stochastic dynamic systems. Each system is called a unit, and each unit is associated with a spatial location. A motivating example arises in epidemiology, where each unit is a city: the majority of transmission occurs within a city, with smaller yet epidemiologically important interactions arising from disease transmission between cities. Monte~Carlo filtering methods used for inference on nonlinear non-Gaussian systems can suffer from a curse of dimensionality as the number of units increases. We introduce bagged filter (BF) methodology which combines an ensemble of Monte Carlo filters, using spatiotemporally localized weights to select successful filters at each unit and time. We obtain conditions under which likelihood evaluation using a BF algorithm can beat a curse of dimensionality, and we demonstrate applicability even when these conditions do not hold. BF can out-perform an ensemble Kalman filter on a coupled population dynamics model describing infectious disease transmission. A block particle filter also performs well on this task, though the bagged filter respects smoothness and conservation laws that a block particle filter can violate."]]></description>
<dc:subject>to:NB state-space_models ensemble_methods particle_filters spatio-temporal_statistics statistics</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:0b4c5b2a7b88/</dc:identifier>
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<item rdf:about="https://arxiv.org/abs/2101.01157">
    <title>[2101.01157] Partially observed Markov processes with spatial structure via the R package spatPomp</title>
    <dc:date>2021-06-28T03:44:01+00:00</dc:date>
    <link>https://arxiv.org/abs/2101.01157</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["We address inference for a partially observed nonlinear non-Gaussian latent stochastic system comprised of interacting units. Each unit has a state, which may be discrete or continuous, scalar or vector valued. In biological applications, the state may represent a structured population or the abundances of a collection of species at a single location. Units can have spatial locations, allowing the description of spatially distributed interacting populations arising in ecology, epidemiology and elsewhere. We consider models where the collection of states is a latent Markov process, and a time series of noisy or incomplete measurements is made on each unit. A model of this form is called a spatiotemporal partially observed Markov process (SpatPOMP). The R package spatPomp provides an environment for implementing SpatPOMP models, analyzing data, and developing new inference approaches. We describe the spatPomp implementations of some methods with scaling properties suited to SpatPOMP models. We demonstrate the package on a simple Gaussian system and on a nontrivial epidemiological model for measles transmission within and between cities. We show how to construct user-specified SpatPOMP models within spatPomp."]]></description>
<dc:subject>to:NB state-space_models spatio-temporal_statistics statistics</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:3157a05da40b/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:spatio-temporal_statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://arxiv.org/abs/2106.12936">
    <title>[2106.12936] Fundamental limits for learning hidden Markov model parameters</title>
    <dc:date>2021-06-25T15:09:23+00:00</dc:date>
    <link>https://arxiv.org/abs/2106.12936</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["We study the frontier between learnable and unlearnable hidden Markov models (HMMs). HMMs are flexible tools for clustering dependent data coming from unknown populations. The model parameters are known to be identifiable as soon as the clusters are distinct and the hidden chain is ergodic with a full rank transition matrix. In the limit as any one of these conditions fails, it becomes impossible to identify parameters. For a chain with two hidden states we prove nonasymptotic minimax upper and lower bounds, matching up to constants, which exhibit thresholds at which the parameters become learnable."]]></description>
<dc:subject>to:NB state-space_models minimax statistical_inference_for_stochastic_processes statistics</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:8c037ff7a877/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:minimax"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistical_inference_for_stochastic_processes"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://arxiv.org/abs/2106.09327">
    <title>[2106.09327] Minimax Estimation of Partially-Observed Vector AutoRegressions</title>
    <dc:date>2021-06-24T20:38:58+00:00</dc:date>
    <link>https://arxiv.org/abs/2106.09327</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["To understand the behavior of large dynamical systems like transportation networks, one must often rely on measurements transmitted by a set of sensors, for instance individual vehicles. Such measurements are likely to be incomplete and imprecise, which makes it hard to recover the underlying signal of interest.Hoping to quantify this phenomenon, we study the properties of a partially-observed state-space model. In our setting, the latent state X follows a high-dimensional Vector AutoRegressive process Xt=θXt−1+εt. Meanwhile, the observations Y are given by a noise-corrupted random sample from the state Yt=ΠtXt+ηt. Several random sampling mechanisms are studied, allowing us to investigate the effect of spatial and temporal correlations in the distribution of the sampling matrices Πt.We first prove a lower bound on the minimax estimation error for the transition matrix θ. We then describe a sparse estimator based on the Dantzig selector and upper bound its non-asymptotic error, showing that it achieves the optimal convergence rate for most of our sampling mechanisms. Numerical experiments on simulated time series validate our theoretical findings, while an application to open railway data highlights the relevance of this model for public transport traffic analysis."

--- So the modification over the usual linear state-space model is time-varying observation matrices?]]></description>
<dc:subject>to:NB time_series state-space_models statistics</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:ed155f37eb03/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://arxiv.org/abs/2106.01645">
    <title>[2106.01645] Rényi Divergence in General Hidden Markov Models</title>
    <dc:date>2021-06-07T03:55:45+00:00</dc:date>
    <link>https://arxiv.org/abs/2106.01645</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["In this paper, we examine the existence of the Rényi divergence between two time invariant general hidden Markov models with arbitrary positive initial distributions. By making use of a Markov chain representation of the probability distribution for the general hidden Markov model and eigenvalue for the associated Markovian operator, we obtain, under some regularity conditions, convergence of the Rényi divergence. By using this device, we also characterize the Rényi divergence, and obtain the Kullback-Leibler divergence as {\alpha} \rightarrow 1 of the Rényi divergence. Several examples, including the classical finite state hidden Markov models, Markov switching models, and recurrent neural networks, are given for illustration. Moreover, we develop a non-Monte Carlo method that computes the Rényi divergence of two-state Markov switching models via the underlying invariant probability measure, which is characterized by the Fredholm integral equation."]]></description>
<dc:subject>to:NB stochastic_processes markov_models state-space_models information_theory</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:acea15a6abd1/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:stochastic_processes"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:information_theory"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://arxiv.org/abs/2105.14394">
    <title>[2105.14394] Asymptotic Normality of the Posterior Distributions in a Class of Hidden Markov Models</title>
    <dc:date>2021-06-01T13:33:50+00:00</dc:date>
    <link>https://arxiv.org/abs/2105.14394</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["We show that the posterior distribution of parameters in a hidden Markov model with parametric emission distributions and discrete and known state space is asymptotically normal. The main novelty of our proof is that it is based on a testing condition and the sequence of test functions is obtained using an optimal transportation inequality."]]></description>
<dc:subject>to:NB bayesian_consistency state-space_models statistical_inference_for_stochastic_processes statistics</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:63324b05df3f/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:bayesian_consistency"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistical_inference_for_stochastic_processes"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://arxiv.org/abs/2105.11490">
    <title>[2105.11490] Hidden Markov and semi-Markov models: When and why are these models useful to classify states in time series data?</title>
    <dc:date>2021-05-26T18:30:10+00:00</dc:date>
    <link>https://arxiv.org/abs/2105.11490</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Hidden Markov models (HMMs) and their extensions have proven to be powerful tools for classification of observations that stem from systems with temporal dependence as they take into account that observations close in time to one another are likely generated from the same state (i.e. class). In this paper, we provide details for the implementation of four models for classification in a supervised learning context: HMMs, hidden semi-Markov models (HSMMs), autoregressive-HMMs and autoregressive-HSMMs. Using simulations, we study the classification performance under various degrees of model misspecification to characterize when it would be important to extend a basic HMM to an HSMM. As an application of these techniques we use the models to classify accelerometer data from Merino sheep to distinguish between four different behaviors of interest. In particular in the field of movement ecology, collection of fine-scale animal movement data over time to identify behavioral states has become ubiquitous, necessitating models that can account for the dependence structure in the data. We demonstrate that when the aim is to conduct classification, various degrees of model misspecification of the proposed model may not impede good classification performance unless there is high overlap between the state-dependent distributions."]]></description>
<dc:subject>to:NB state-space_models time_series classifiers state_estimation misspecification to_teach:data_over_space_and_time statistics</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:14bc8be5c08a/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:classifiers"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state_estimation"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:misspecification"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to_teach:data_over_space_and_time"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://arxiv.org/abs/2105.04912">
    <title>[2105.04912] On Unbiased Score Estimation for Partially Observed Diffusions</title>
    <dc:date>2021-05-12T18:31:32+00:00</dc:date>
    <link>https://arxiv.org/abs/2105.04912</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["We consider the problem of statistical inference for a class of partially-observed diffusion processes, with discretely-observed data and finite-dimensional parameters. We construct unbiased estimators of the score function, i.e. the gradient of the log-likelihood function with respect to parameters, with no time-discretization bias. These estimators can be straightforwardly employed within stochastic gradient methods to perform maximum likelihood estimation or Bayesian inference. As our proposed methodology only requires access to a time-discretization scheme such as the Euler-Maruyama method, it is applicable to a wide class of diffusion processes and observation models. Our approach is based on a representation of the score as a smoothing expectation using Girsanov theorem, and a novel adaptation of the randomization schemes developed in Mcleish [2011], Rhee and Glynn [2015], Jacob et al. [2020a]. This allows one to remove the time-discretization bias and burn-in bias when computing smoothing expectations using the conditional particle filter of Andrieu et al. [2010]. Central to our approach is the development of new couplings of multiple conditional particle filters. We prove under assumptions that our estimators are unbiased and have finite variance. The methodology is illustrated on several challenging applications from population ecology and neuroscience."]]></description>
<dc:subject>to:NB statistical_inference_for_stochastic_processes state-space_models stochastic_differential_equations filtering</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:b23596cf3c5c/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistical_inference_for_stochastic_processes"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:stochastic_differential_equations"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:filtering"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://arxiv.org/abs/2103.08055">
    <title>[2103.08055] Modeling Longitudinal Dynamics of Comorbidities</title>
    <dc:date>2021-04-08T14:27:41+00:00</dc:date>
    <link>https://arxiv.org/abs/2103.08055</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["In medicine, comorbidities refer to the presence of multiple, co-occurring diseases. Due to their co-occurring nature, the course of one comorbidity is often highly dependent on the course of the other disease and, hence, treatments can have significant spill-over effects. Despite the prevalence of comorbidities among patients, a comprehensive statistical framework for modeling the longitudinal dynamics of comorbidities is missing. In this paper, we propose a probabilistic model for analyzing comorbidity dynamics over time in patients. Specifically, we develop a coupled hidden Markov model with a personalized, non-homogeneous transition mechanism, named Comorbidity-HMM. The specification of our Comorbidity-HMM is informed by clinical research: (1) It accounts for different disease states (i. e., acute, stable) in the disease progression by introducing latent states that are of clinical meaning. (2) It models a coupling among the trajectories from comorbidities to capture co-evolution dynamics. (3) It considers between-patient heterogeneity (e. g., risk factors, treatments) in the transition mechanism. Based on our model, we define a spill-over effect that measures the indirect effect of treatments on patient trajectories through coupling (i. e., through comorbidity co-evolution). We evaluated our proposed Comorbidity-HMM based on 675 health trajectories where we investigate the joint progression of diabetes mellitus and chronic liver disease. Compared to alternative models without coupling, we find that our Comorbidity-HMM achieves a superior fit. Further, we quantify the spill-over effect, that is, to what extent diabetes treatments are associated with a change in the chronic liver disease from an acute to a stable disease state. To this end, our model is of direct relevance for both treatment planning and clinical research in the context of comorbidities."]]></description>
<dc:subject>to:NB time_series statistics state-space_models</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:f197db6a97a3/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://arxiv.org/abs/2101.03801">
    <title>[2101.03801] Hidden Markov chains and fields with observations in Riemannian manifolds</title>
    <dc:date>2021-01-12T22:39:27+00:00</dc:date>
    <link>https://arxiv.org/abs/2101.03801</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Hidden Markov chain, or Markov field, models, with observations in a Euclidean space, play a major role across signal and image processing. The present work provides a statistical framework which can be used to extend these models, along with related, popular algorithms (such as the Baum-Welch algorithm), to the case where the observations lie in a Riemannian manifold. It is motivated by the potential use of hidden Markov chains and fields, with observations in Riemannian manifolds, as models for complex signals and images."]]></description>
<dc:subject>to:NB markov_models state-space_models random_fields statistics_on_manifolds</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:b0b4911debdd/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:random_fields"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics_on_manifolds"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://arxiv.org/abs/2008.11477">
    <title>[2008.11477] Bellman filtering for state-space models</title>
    <dc:date>2021-01-12T22:36:48+00:00</dc:date>
    <link>https://arxiv.org/abs/2008.11477</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["This article presents a filter for state-space models based on Bellman's dynamic programming principle applied to the mode estimator. The proposed Bellman filter (BF) generalises the Kalman filter (KF) including its extended and iterated versions, while remaining equally inexpensive computationally. The BF is also (unlike the KF) robust under heavy-tailed observation noise and applicable to a wider range of (nonlinear and non-Gaussian) models, involving e.g. count, intensity, duration, volatility and dependence. (Hyper)parameters are estimated by numerically maximising a BF-implied log-likelihood decomposition, which is an alternative to the classic prediction-error decomposition for linear Gaussian models. Simulation studies reveal that the BF performs on par with (or even outperforms) state-of-the-art importance-sampling techniques, while requiring a fraction of the computational cost, being straightforward to implement and offering full scalability to higher dimensional state spaces."]]></description>
<dc:subject>state_estimation filtering optimization state-space_models in_NB</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:eb0e619a36af/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state_estimation"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:filtering"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:optimization"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:in_NB"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://projecteuclid.org/euclid.aoas/1608346901">
    <title>Du Roy de Chaumaray , Marbac , Navarro : Mixture of hidden Markov models for accelerometer data</title>
    <dc:date>2020-12-19T16:39:06+00:00</dc:date>
    <link>https://projecteuclid.org/euclid.aoas/1608346901</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Motivated by the analysis of accelerometer data taken across a population of individuals, we introduce a specific finite mixture of hidden Markov models with particular characteristics that adapt well to the specific nature of this type of longitudinal data. Our model allows for the computation of statistics that characterize the physical activity of a subject (e.g., the mean time spent at different activity levels and the probability of the transition between two activity levels) without specifying the activity levels in advance but by estimating them from the data. In addition, this approach allows the heterogeneity of the population to be taken into account and subpopulations with homogeneous physical activity behavior to be defined. We prove that, under mild assumptions, this model implies that the probability of misclassifying a subject decreases at an exponential decay with the length of its measurement sequence. Model identifiability is also investigated. We also report a comprehensive suite of numerical simulations to support our theoretical findings. The method is motivated by and applied to the Physical Activity and Transit Survey."

--- Last tag is really more of a "to mention", having them code up their own HMMs this semester suggests that something like this would be too much of a stretch.]]></description>
<dc:subject>to:NB mixture_models state-space_models to_teach:data_over_space_and_time</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:3613e129d8f3/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:mixture_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to_teach:data_over_space_and_time"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://arxiv.org/abs/2012.05294">
    <title>[2012.05294] A modified Susceptible-Infected-Recovered model for observed under-reported incidence data</title>
    <dc:date>2020-12-12T18:14:57+00:00</dc:date>
    <link>https://arxiv.org/abs/2012.05294</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Fitting Susceptible-Infected-Recovered (SIR) models to incidence data is problematic when a fraction q of the infected individuals are not reported. Assuming an underlying SIR model with general but known distribution for the time to recovery, this paper derives the implied differential-integral equations for observed incidence data when a fixed fraction q of newly infected individuals are not observed. The parameters of the resulting system of differential equations are identifiable. Using these differential equations, we develop a stochastic model for the conditional distribution of current disease incidence given the entire past history of incidences. This results in an epidemic model that can track complex epidemic dynamics, such as outbreaks with multiple waves. We propose to estimate of model parameters using Bayesian Monte-Carlo Markov Chain sampling of the posterior distribution. We apply our model to estimate the infection rate and fraction of asymptomatic individuals for the current Coronavirus 2019 outbreak in eight countries in North and South America. Our analysis reveals that consistently, about 70-90\% of infected individuals were not observed in the American outbreaks."]]></description>
<dc:subject>to:NB epidemic_models state-space_models coronavirus_pandemic_of_2019-- to_teach:data_over_space_and_time</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:8a8258127354/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:epidemic_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:coronavirus_pandemic_of_2019--"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to_teach:data_over_space_and_time"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://arxiv.org/abs/2002.02001">
    <title>[2002.02001] A guide to state-space modeling of ecological time series</title>
    <dc:date>2020-11-23T17:42:40+00:00</dc:date>
    <link>https://arxiv.org/abs/2002.02001</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["State-space models (SSMs) are an important modeling framework for analyzing ecological time series. These hierarchical models are commonly used to model population dynamics, animal movement, and capture-recapture data, and are now increasingly being used to model other ecological processes. SSMs are popular because they are flexible and they model the natural variation in ecological processes separately from observation error. Their flexibility allows ecologists to model continuous, count, binary, and categorical data with linear or nonlinear processes that evolve in discrete or continuous time. Modeling the two sources of stochasticity separately allows researchers to differentiate between biological variation (e.g., in birth processes) and imprecision in the sampling methodology, and generally provides better estimates of the ecological quantities of interest than if only one source of stochasticity is directly modeled. Since the introduction of SSMs, a broad range of fitting procedures have been proposed. However, the variety and complexity of these procedures can limit the ability of ecologists to formulate and fit their own SSMs. We provide the knowledge for ecologists to create SSMs that are robust to common, and often hidden, estimation problems, and the model selection and validation tools that can help them assess how well their models fit their data. In this paper, we present a review of SSMs that will provide a strong foundation to ecologists interested in learning about SSMs, introduce new tools to veteran SSM users, and highlight promising research directions for statisticians interested in ecological applications. The review is accompanied by an in-depth tutorial that demonstrates how SSMs models can be fitted and validated in R. Together, the review and tutorial present an introduction to SSMs that will help ecologists to formulate, fit, and validate their models."]]></description>
<dc:subject>to:NB state-space_models markov_models ecology statistics to_teach:data_over_space_and_time</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:176ad5a8bc65/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:ecology"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to_teach:data_over_space_and_time"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://www.tandfonline.com/doi/full/10.1080/10618600.2020.1743295">
    <title>Model Checking for Hidden Markov Models: Journal of Computational and Graphical Statistics: Vol 0, No 0</title>
    <dc:date>2020-11-20T04:15:52+00:00</dc:date>
    <link>https://www.tandfonline.com/doi/full/10.1080/10618600.2020.1743295</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Residual analysis is a useful tool for checking lack of fit and for providing insight into model improvement. However, literature on residual analysis and the goodness of fit for hidden Markov models (HMMs) is limited. As HMMs with complex structures are increasingly used to accommodate different types of data, there is a need for further tools to check the validity of models applied to real world data. We review model checking methods for HMMs and develop new methods motivated by a particular case study involving a two-dimensional HMM developed for time series with many null events. We propose new residual analysis and stochastic reconstruction methods, which are adapted from model checking techniques for point process models. We apply the new methods to the case study model and discuss their adequacy. We find that there is not one “best” test for diagnostics but that our new methods have some advantages over previously developed tools. The importance of multiple tests for complex HMMs is highlighted and we use the results of our model checking to provide suggestions for possible improvements to the case study model. Supplementary materials for this article are available online."]]></description>
<dc:subject>to:NB state-space_models model_checking goodness-of-fit to_teach:data_over_space_and_time</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:0da48f41614a/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:model_checking"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:goodness-of-fit"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to_teach:data_over_space_and_time"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://ieeexplore.ieee.org/document/8804216">
    <title>Analyticity of Entropy Rates of Continuous-State Hidden Markov Models - IEEE Journals &amp; Magazine</title>
    <dc:date>2020-11-16T16:02:36+00:00</dc:date>
    <link>https://ieeexplore.ieee.org/document/8804216</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["The analyticity of the entropy and relative entropy rates of continuous-state hidden Markov models is studied here. Using the analytic continuation principle and the stability properties of the optimal filter, the analyticity of these rates is established for analytically parameterized models. The obtained results hold under relatively mild conditions and cover several useful classes of hidden Markov models. These results are relevant for several theoretically and practically important problems arising in statistical inference, system identification and information theory."]]></description>
<dc:subject>to:NB entropy information_theory markov_models state-space_models doucet.arnaud</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:9e84242609c9/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:entropy"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:information_theory"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:doucet.arnaud"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://doi.org/10.1111/sjos.12482">
    <title>Robust estimation for discrete‐time state space models - Aeberhard - - Scandinavian Journal of Statistics - Wiley Online Library</title>
    <dc:date>2020-11-15T20:53:35+00:00</dc:date>
    <link>https://doi.org/10.1111/sjos.12482</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["State space models (SSMs) are now ubiquitous in many fields and increasingly complicated with observed and unobserved variables often interacting in nonlinear fashions. The crucial task of validating model assumptions thus becomes difficult, particularly since some assumptions are formulated about unobserved states and thus cannot be checked with data. Motivated by the complex SSMs used for the assessment of fish stocks, we introduce a robust estimation method for SSMs. We prove the Fisher consistency of our estimator and propose an implementation based on automatic differentiation and the Laplace approximation of integrals which yields fast computations. Simulation studies demonstrate that our robust procedure performs well both with and without deviations from model assumptions. Applying it to the stock assessment model for pollock in the North Sea highlights the ability of our procedure to identify years with atypical observations."]]></description>
<dc:subject>to:NB state-space_models time_series statistics state_estimation</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:206d62949f9e/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state_estimation"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://www.cambridge.org/us/academic/subjects/engineering/control-systems-and-optimization/stochastic-dynamics-filtering-and-optimization?format=HB">
    <title>Stochastic dynamics filtering and optimization | Control systems and optimization | Cambridge University Press</title>
    <dc:date>2020-01-09T17:57:40+00:00</dc:date>
    <link>https://www.cambridge.org/us/academic/subjects/engineering/control-systems-and-optimization/stochastic-dynamics-filtering-and-optimization?format=HB</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Targeted at graduate students, researchers and practitioners in the field of science and engineering, this book gives a self-contained introduction to a measure-theoretic framework in laying out the definitions and basic concepts of random variables and stochastic diffusion processes. It then continues to weave into a framework of several practical tools and applications involving stochastic dynamical systems. These include tools for the numerical integration of such dynamical systems, nonlinear stochastic filtering and generalized Bayesian update theories for solving inverse problems and a new stochastic search technique for treating a broad class of non-convex optimization problems. MATLAB® codes for all the applications are uploaded on the companion website."]]></description>
<dc:subject>books:noted optimization filtering state_estimation stochastic_processes state-space_models re:almost_none books:suggest_to_library in_NB downloaded</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:30fbcfbf0054/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:books:noted"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:optimization"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:filtering"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state_estimation"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:stochastic_processes"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:re:almost_none"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:books:suggest_to_library"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:in_NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:downloaded"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://www.nature.com/articles/s41593-019-0533-x">
    <title>Unsupervised identification of the internal states that shape natural behavior | Nature Neuroscience</title>
    <dc:date>2019-11-26T15:27:40+00:00</dc:date>
    <link>https://www.nature.com/articles/s41593-019-0533-x</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Internal states shape stimulus responses and decision-making, but we lack methods to identify them. To address this gap, we developed an unsupervised method to identify internal states from behavioral data and applied it to a dynamic social interaction. During courtship, Drosophila melanogaster males pattern their songs using feedback cues from their partner. Our model uncovers three latent states underlying this behavior and is able to predict moment-to-moment variation in song-patterning decisions. These states correspond to different sensorimotor strategies, each of which is characterized by different mappings from feedback cues to song modes. We show that a pair of neurons previously thought to be command neurons for song production are sufficient to drive switching between states. Our results reveal how animals compose behavior from previously unidentified internal states, which is a necessary step for quantitative descriptions of animal behavior that link environmental cues, internal needs, neuronal activity and motor outputs."

--- Interesting to see how they select an HMM architecture.  (I have Opnions about the Right Way To Do It, naturally.)]]></description>
<dc:subject>to:NB neuroscience state-space_models time_series psychology inference_to_latent_objects statistics to_read</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:8bb625685c95/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:neuroscience"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:psychology"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:inference_to_latent_objects"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to_read"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://arxiv.org/abs/1910.04221">
    <title>[1910.04221] Likelihood-based Inference for Partially Observed Epidemics on Dynamic Networks</title>
    <dc:date>2019-10-11T16:36:27+00:00</dc:date>
    <link>https://arxiv.org/abs/1910.04221</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["We propose a generative model and an inference scheme for epidemic processes on dynamic, adaptive contact networks. Network evolution is formulated as a link-Markovian process, which is then coupled to an individual-level stochastic SIR model, in order to describe the interplay between epidemic dynamics on a network and network link changes. A Markov chain Monte Carlo framework is developed for likelihood-based inference from partial epidemic observations, with a novel data augmentation algorithm specifically designed to deal with missing individual recovery times under the dynamic network setting. Through a series of simulation experiments, we demonstrate the validity and flexibility of the model as well as the efficacy and efficiency of the data augmentation inference scheme. The model is also applied to a recent real-world dataset on influenza-like-illness transmission with high-resolution social contact tracking records."]]></description>
<dc:subject>epidemics_on_networks state-space_models statistical_inference_for_stochastic_processes statistics in_NB</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:e4dc67bf4832/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:epidemics_on_networks"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistical_inference_for_stochastic_processes"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:in_NB"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://arxiv.org/abs/1909.12890">
    <title>[1909.12890] A Dual Characterization of Observability for Stochastic Systems</title>
    <dc:date>2019-10-01T16:22:10+00:00</dc:date>
    <link>https://arxiv.org/abs/1909.12890</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["This paper is concerned with a characterization of the observability for a continuous-time hidden Markov model where the state evolves as a general continuous-time Markov process and the observation process is modeled as nonlinear function of the state corrupted by the Gaussian measurement noise. The main technical tool is based on the recently discovered duality relationship between minimum variance estimation and stochastic optimal control: The observability is defined as a dual of the controllability for a certain backward stochastic differential equation (BSDE). For certain cases, a test for observability is described and comparisons provided with results reported in literature. The proposed duality-based framework allows one to easily relate and compare the linear and the nonlinear cases. A side-by-side summary of this relationship is described in a tabular form."]]></description>
<dc:subject>to:NB control_theory_and_control_engineering state_estimation state-space_models markov_models stochastic_differential_equations</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:bcedaf81dac4/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:control_theory_and_control_engineering"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state_estimation"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:stochastic_differential_equations"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://arxiv.org/abs/1909.10287">
    <title>[1909.10287] Mean Field approach to stochastic control with partial information</title>
    <dc:date>2019-09-26T18:03:50+00:00</dc:date>
    <link>https://arxiv.org/abs/1909.10287</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["The classical stochastic control problem under partial information can be formulated as a control problem for Zakai equation, whose solution is the unnormalized conditional probability distribution of the state of the system, which is not directly accessible. Zakai equation is a stochastic Fokker-Planck equation. Therefore, the problem to be solved is similar to that met in Mean Field Control theory. Since Mean Field Control theory is much posterior to the development of Stochastic Control with partial information, the tools, techniques, and concepts obtained in the last decade, for Mean Field Games and Mean field type Control theory, have not been used for the control of Zakai equation. It is the objective of this work to connect the two theories. Not only, we get the power of new tools, but also we get new insights for the problem of stochastic control with partial information. For mean field theory, we get new interesting applications, but also new problems. Indeed, Mean Field Control Theory leads to very complex equations, like the Master equation, which is a nonlinear infinite dimensional P.D.E., for which general theorems are hardly available, although active research in this direction is performed. Direct methods are useful to obtain regularity results. We will develop in detail the linear quadratic regulator problem, but because we cannot just consider the Gaussian case, well-known results, as the separation principle is not available. An interesting and important result is available in the literature, due to A. Makowsky. It describes the solution of Zakai equation for linear systems with general initial condition (non-gaussian). Curiously, this result had not been exploited for the control aspect, in the literature. We show that the separation principle can be extended for quadratic pay-off functionals, but the Kalman filter is much more complex than in the gaussian case."]]></description>
<dc:subject>to:NB control_theory_and_control_engineering stochastic_processes filtering state_estimation state-space_models</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:88d010408e74/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:control_theory_and_control_engineering"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:stochastic_processes"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:filtering"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state_estimation"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://arxiv.org/abs/1909.01506">
    <title>[1909.01506] Prediction, Consistency, Curvature: Representation Learning for Locally-Linear Control</title>
    <dc:date>2019-09-10T13:00:40+00:00</dc:date>
    <link>https://arxiv.org/abs/1909.01506</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Many real-world sequential decision-making problems can be formulated as optimal control with high-dimensional observations and unknown dynamics. A promising approach is to embed the high-dimensional observations into a lower-dimensional latent representation space, estimate the latent dynamics model, then utilize this model for control in the latent space. An important open question is how to learn a representation that is amenable to existing control algorithms? In this paper, we focus on learning representations for locally-linear control algorithms, such as iterative LQR (iLQR). By formulating and analyzing the representation learning problem from an optimal control perspective, we establish three underlying principles that the learned representation should comprise: 1) accurate prediction in the observation space, 2) consistency between latent and observation space dynamics, and 3) low curvature in the latent space transitions. These principles naturally correspond to a loss function that consists of three terms: prediction, consistency, and curvature (PCC). Crucially, to make PCC tractable, we derive an amortized variational bound for the PCC loss function. Extensive experiments on benchmark domains demonstrate that the new variational-PCC learning algorithm benefits from significantly more stable and reproducible training, and leads to superior control performance. Further ablation studies give support to the importance of all three PCC components for learning a good latent space for control."]]></description>
<dc:subject>to:NB control_theory_and_control_engineering differential_geometry stochastic_processes state-space_models</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:0bb51a0eb553/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:control_theory_and_control_engineering"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:differential_geometry"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:stochastic_processes"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://arxiv.org/abs/1906.11395">
    <title>[1906.11395] A Tutorial on Concentration Bounds for System Identification</title>
    <dc:date>2019-09-04T19:47:41+00:00</dc:date>
    <link>https://arxiv.org/abs/1906.11395</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["We provide a brief tutorial on the use of concentration inequalities as they apply to system identification of state-space parameters of linear time invariant systems, with a focus on the fully observed setting. We draw upon tools from the theories of large-deviations and self-normalized martingales, and provide both data-dependent and independent bounds on the learning rate."]]></description>
<dc:subject>concentration_of_measure large_deviations time_series statistics state-space_models in_NB</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:c658d73ae1ea/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:concentration_of_measure"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:large_deviations"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:in_NB"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://arxiv.org/abs/1908.07204">
    <title>[1908.07204] Forecasting observables with particle filters: Any filter will do!</title>
    <dc:date>2019-08-21T13:15:34+00:00</dc:date>
    <link>https://arxiv.org/abs/1908.07204</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["We investigate the impact of filter choice on forecast accuracy in state space models. The filters are used both to estimate the posterior distribution of the parameters, via a particle marginal Metropolis-Hastings (PMMH) algorithm, and to produce draws from the filtered distribution of the final state. Multiple filters are entertained, including two new data-driven methods. Simulation exercises are used to document the performance of each PMMH algorithm, in terms of computation time and the efficiency of the chain. We then produce the forecast distributions for the one-step-ahead value of the observed variable, using a fixed number of particles and Markov chain draws. Despite distinct differences in efficiency, the filters yield virtually identical forecasting accuracy, with this result holding under both correct and incorrect specification of the model. This invariance of forecast performance to the specification of the filter also characterizes an empirical analysis of S&P500 daily returns."]]></description>
<dc:subject>time_series particle_filters prediction state_estimation state-space_models to_teach:data_over_space_and_time statistics in_NB</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:6295f6655b43/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:particle_filters"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:prediction"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state_estimation"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to_teach:data_over_space_and_time"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:in_NB"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://arxiv.org/abs/1906.09410">
    <title>[1906.09410] A reaction network scheme which implements inference and learning for Hidden Markov Models</title>
    <dc:date>2019-08-20T15:27:24+00:00</dc:date>
    <link>https://arxiv.org/abs/1906.09410</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["With a view towards molecular communication systems and molecular multi-agent systems, we propose the Chemical Baum-Welch Algorithm, a novel reaction network scheme that learns parameters for Hidden Markov Models (HMMs). Each reaction in our scheme changes only one molecule of one species to one molecule of another. The reverse change is also accessible but via a different set of enzymes, in a design reminiscent of futile cycles in biochemical pathways. We show that every fixed point of the Baum-Welch algorithm for HMMs is a fixed point of our reaction network scheme, and every positive fixed point of our scheme is a fixed point of the Baum-Welch algorithm. We prove that the "Expectation" step and the "Maximization" step of our reaction network separately converge exponentially fast. We simulate mass-action kinetics for our network on an example sequence, and show that it learns the same parameters for the HMM as the Baum-Welch algorithm."]]></description>
<dc:subject>to:NB em_algorithm markov_models state-space_models biochemical_networks wiuf.carsten pointless_but_nonetheless_awesome biological_computers</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:df0502950c8a/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:em_algorithm"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:biochemical_networks"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:wiuf.carsten"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:pointless_but_nonetheless_awesome"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:biological_computers"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://arxiv.org/abs/1302.5484">
    <title>[1302.5484] Input-output equivalence and identifiability: some simple generalizations of the differential algebra approach</title>
    <dc:date>2019-08-20T14:06:02+00:00</dc:date>
    <link>https://arxiv.org/abs/1302.5484</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["In this paper, we give an overview of the differential algebra approach to identifiability, and then note a very simple observation about input-output equivalence and identifiability, that describes the identifiability equivalence between input-output equivalent models. We then give several simple consequences of this observation that can be useful in showing identifiability, including examining non-first order ODE models, nondimensionalization and rescaling, model reducibility, and a modular approach to evaluating identifiability. We also examine how input-output equivalence can allow us to generate input output equations in the differential algebra approach through a wider range of methods (e.g. substitution and differential or standard Groebner basis approaches)."]]></description>
<dc:subject>to:NB state-space_models identifiability algebra statistics</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:57f9c49a2194/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:identifiability"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:algebra"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://onlinelibrary.wiley.com/doi/abs/10.1111/sjos.12408?af=R">
    <title>Parallelising Particle Filters with Butterfly Interactions - Heine - - Scandinavian Journal of Statistics - Wiley Online Library</title>
    <dc:date>2019-08-19T02:44:44+00:00</dc:date>
    <link>https://onlinelibrary.wiley.com/doi/abs/10.1111/sjos.12408?af=R</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Bootstrap particle filter (BPF) is the cornerstone of many algorithms used for solving generally intractable inference problems with Hidden Markov models. The long term stability of BPF arises from particle interactions that typically make parallel implementations of BPF nontrivial.
"We propose a method whereby the particle interaction is done in several stages. With the proposed method, full interaction can be accomplished even if we allow only pairwise communications between processing elements at each stage. We show that our method preserves the consistency and the long term stability of the BPF, although our analysis suggest that the constraints on the stagewise interactions introduce error leading to a lower convergence rate than standard Monte Carlo. The proposed method also suggests a new, more flexible, adaptive resampling scheme, which according to our numerical experiments is the method of choice, displaying a notable gain in efficiency in certain parallel computing scenarios."]]></description>
<dc:subject>to:NB computational_statistics particle_filters time_series state-space_models state_estimation re:fitness_sampling</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:cef9fdc64128/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:computational_statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:particle_filters"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state_estimation"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:re:fitness_sampling"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://arxiv.org/abs/1805.12217">
    <title>[1805.12217] Introducing shrinkage in heavy-tailed state space models to predict equity excess returns</title>
    <dc:date>2019-07-30T17:47:56+00:00</dc:date>
    <link>https://arxiv.org/abs/1805.12217</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["We forecast S&P 500 excess returns using a flexible Bayesian econometric state space model with non-Gaussian features at several levels. More precisely, we control for overparameterization via novel global-local shrinkage priors on the state innovation variances as well as the time-invariant part of the state space model. The shrinkage priors are complemented by heavy tailed state innovations that cater for potential large breaks in the latent states. Moreover, we allow for leptokurtic stochastic volatility in the observation equation. The empirical findings indicate that several variants of the proposed approach outperform typical competitors frequently used in the literature, both in terms of point and density forecasts."]]></description>
<dc:subject>to:NB state-space_models heavy_tails time_series statistics</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:f06afcc09c84/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:heavy_tails"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://www.cambridge.org/core/books/introduction-to-hidden-semimarkov-models/081D73832BA173BE7133B1DA4E2ED0E8#fndtn-information">
    <title>Introduction to Hidden Semi-Markov Models by John van der Hoek</title>
    <dc:date>2019-06-15T17:28:29+00:00</dc:date>
    <link>https://www.cambridge.org/core/books/introduction-to-hidden-semimarkov-models/081D73832BA173BE7133B1DA4E2ED0E8#fndtn-information</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Markov chains and hidden Markov chains have applications in many areas of engineering and genomics. This book provides a basic introduction to the subject by first developing the theory of Markov processes in an elementary discrete time, finite state framework suitable for senior undergraduates and graduates. The authors then introduce semi-Markov chains and hidden semi-Markov chains, before developing related estimation and filtering results. Genomics applications are modelled by discrete observations of these hidden semi-Markov chains. This book contains new results and previously unpublished material not available elsewhere. The approach is rigorous and focused on applications."]]></description>
<dc:subject>to:NB books:noted markov_models state-space_models statistics time_series genomics books:owned</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:28c3136e1e63/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:books:noted"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:genomics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:books:owned"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://arxiv.org/abs/1811.11834">
    <title>[1811.11834] Asymptotic Analysis of Model Selection Criteria for General Hidden Markov Models</title>
    <dc:date>2019-06-06T13:50:27+00:00</dc:date>
    <link>https://arxiv.org/abs/1811.11834</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["The paper obtains analytical results for the asymptotic properties of Model Selection Criteria -- widely used in practice -- for a general family of hidden Markov models (HMMs), thereby substantially extending the related theory beyond typical i.i.d.-like model structures and filling in an important gap in the relevant literature. In particular, we look at the Bayesian and Akaike Information Criteria (BIC and AIC) and the model evidence. In the setting of nested classes of models, we prove that BIC and the evidence are strongly consistent for HMMs (under regularity conditions), whereas AIC is not weakly consistent. Numerical experiments support our theoretical results."]]></description>
<dc:subject>to:NB model_selection information_criteria state-space_models markov_models statistical_inference_for_stochastic_processes statistics singh.sumeetpal</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:5adf62069468/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:model_selection"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:information_criteria"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistical_inference_for_stochastic_processes"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:singh.sumeetpal"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://arxiv.org/abs/1905.10857">
    <title>[1905.10857] Causal Discovery and Forecasting in Nonstationary Environments with State-Space Models</title>
    <dc:date>2019-05-28T17:08:30+00:00</dc:date>
    <link>https://arxiv.org/abs/1905.10857</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["In many scientific fields, such as economics and neuroscience, we are often faced with nonstationary time series, and concerned with both finding causal relations and forecasting the values of variables of interest, both of which are particularly challenging in such nonstationary environments. In this paper, we study causal discovery and forecasting for nonstationary time series. By exploiting a particular type of state-space model to represent the processes, we show that nonstationarity helps to identify causal structure and that forecasting naturally benefits from learned causal knowledge. Specifically, we allow changes in both causal strengths and noise variances in the nonlinear state-space models, which, interestingly, renders both the causal structure and model parameters identifiable. Given the causal model, we treat forecasting as a problem in Bayesian inference in the causal model, which exploits the time-varying property of the data and adapts to new observations in a principled manner. Experimental results on synthetic and real-world data sets demonstrate the efficacy of the proposed methods."]]></description>
<dc:subject>causal_inference causal_discovery state-space_models time_series non-stationarity statistics kith_and_kin glymour.clark to_read zhang.kun in_NB</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:fa5a8c6e24c2/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:causal_inference"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:causal_discovery"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:non-stationarity"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:kith_and_kin"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:glymour.clark"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to_read"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:zhang.kun"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:in_NB"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://projecteuclid.org/euclid.bj/1544605253">
    <title>Lehéricy : Consistent order estimation for nonparametric hidden Markov models</title>
    <dc:date>2019-05-25T03:00:08+00:00</dc:date>
    <link>https://projecteuclid.org/euclid.bj/1544605253</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["We consider the problem of estimating the number of hidden states (the order) of a nonparametric hidden Markov model (HMM). We propose two different methods and prove their almost sure consistency without any prior assumption, be it on the order or on the emission distributions. This is the first time a consistency result is proved in such a general setting without using restrictive assumptions such as a priori upper bounds on the order or parametric restrictions on the emission distributions. Our main method relies on the minimization of a penalized least squares criterion. In addition to the consistency of the order estimation, we also prove that this method yields rate minimax adaptive estimators of the parameters of the HMM – up to a logarithmic factor. Our second method relies on estimating the rank of a matrix obtained from the distribution of two consecutive observations. Finally, numerical experiments are used to compare both methods and study their ability to select the right order in several situations."]]></description>
<dc:subject>to:NB model_selection markov_models state-space_models statistics statistical_inference_for_stochastic_processes</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:de655588d7d3/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:model_selection"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistical_inference_for_stochastic_processes"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://projecteuclid.org/euclid.ss/1439220716">
    <title>Kantas , Doucet , Singh , Maciejowski , Chopin : On Particle Methods for Parameter Estimation in State-Space Models</title>
    <dc:date>2019-05-25T02:34:25+00:00</dc:date>
    <link>https://projecteuclid.org/euclid.ss/1439220716</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Nonlinear non-Gaussian state-space models are ubiquitous in statistics, econometrics, information engineering and signal processing. Particle methods, also known as Sequential Monte Carlo (SMC) methods, provide reliable numerical approximations to the associated state inference problems. However, in most applications, the state-space model of interest also depends on unknown static parameters that need to be estimated from the data. In this context, standard particle methods fail and it is necessary to rely on more sophisticated algorithms. The aim of this paper is to present a comprehensive review of particle methods that have been proposed to perform static parameter estimation in state-space models. We discuss the advantages and limitations of these methods and illustrate their performance on simple models."]]></description>
<dc:subject>to:NB particle_filters statistical_inference_for_stochastic_processes state-space_models statistics time_series to_teach:data_over_space_and_time have_read</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:eb99758930ca/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:particle_filters"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistical_inference_for_stochastic_processes"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to_teach:data_over_space_and_time"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:have_read"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://www.mitpressjournals.org/doi/abs/10.1162/rest_a_00718">
    <title>A Composite Likelihood Framework for Analyzing Singular DSGE Models | The Review of Economics and Statistics | MIT Press Journals</title>
    <dc:date>2019-01-04T03:27:21+00:00</dc:date>
    <link>https://www.mitpressjournals.org/doi/abs/10.1162/rest_a_00718</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["This paper builds on the composite likelihood concept of Lindsay (1988) to develop a framework for parameter identification, estimation, inference, and forecasting in dynamic stochastic general equilibrium (DSGE) models allowing for stochastic singularity. The framework consists of four components. First, it provides a necessary and sufficient condition for parameter identification, where the identifying information is provided by the first- and second-order properties of nonsingular submodels. Second, it provides a procedure based on Markov Chain Monte Carlo for parameter estimation. Third, it delivers confidence sets for structural parameters and impulse responses that allow for model misspecification. Fourth, it generates forecasts for all the observed endogenous variables, irrespective of the number of shocks in the model. The framework encompasses the conventional likelihood analysis as a special case when the model is nonsingular. It enables the researcher to start with a basic model and then gradually incorporate more shocks and other features, meanwhile confronting all the models with the data to assess their implications. The methodology is illustrated using both small- and medium-scale DSGE models. These models have numbers of shocks ranging between 1 and 7."]]></description>
<dc:subject>state-space_models economics time_series macroeconomics statistics likelihood re:your_favorite_dsge_sucks in_NB</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:3f15d77b79b3/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:economics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:macroeconomics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:likelihood"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:re:your_favorite_dsge_sucks"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:in_NB"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://www.mitpressjournals.org/doi/abs/10.1162/neco_a_01020">
    <title>Neural Decoding: A Predictive Viewpoint | Neural Computation | MIT Press Journals</title>
    <dc:date>2017-12-01T15:18:06+00:00</dc:date>
    <link>http://www.mitpressjournals.org/doi/abs/10.1162/neco_a_01020</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Decoding in the context of brain-machine interface is a prediction problem, with the aim of retrieving the most accurate kinematic predictions attainable from the available neural signals. While selecting models that reduce the prediction error is done to various degrees, decoding has not received the attention that the fields of statistics and machine learning have lavished on the prediction problem in the past two decades. Here, we take a more systematic approach to the decoding prediction problem and search for risk-optimized reverse regression, optimal linear estimation (OLE), and Kalman filter models within a large model space composed of several nonlinear transformations of neural spike counts at multiple temporal lags. The reverse regression decoding framework is a standard prediction problem, where penalized methods such as ridge regression or Lasso are routinely used to find minimum risk models. We argue that minimum risk reverse regression is always more efficient than OLE and also happens to be 44% more efficient than a standard Kalman filter in a particular application of offline reconstruction of arm reaches of a rhesus macaque monkey. Yet model selection for tuning curves–based decoding models such as OLE and Kalman filtering is not a standard statistical prediction problem, and no efficient method exists to identify minimum risk models. We apply several methods to build low-risk models and show that in our application, a Kalman filter that includes multiple carefully chosen observation equations per neural unit is 67% more efficient than a standard Kalman filter, but with the drawback that finding such a model is computationally very costly."]]></description>
<dc:subject>to:NB have_read neural_coding_and_decoding statistics model_selection state-space_models kith_and_kin ventura.valerie todorova.sonia</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:b5937b9933a6/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:have_read"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:neural_coding_and_decoding"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:model_selection"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:kith_and_kin"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:ventura.valerie"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:todorova.sonia"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://onlinelibrary.wiley.com/doi/10.1111/jtsa.12237/abstract">
    <title>A Robbins–Monro Algorithm for Non-Parametric Estimation of NAR Process with Markov Switching: Consistency - Fermin - 2017 - Journal of Time Series Analysis - Wiley Online Library</title>
    <dc:date>2017-04-27T17:27:07+00:00</dc:date>
    <link>http://onlinelibrary.wiley.com/doi/10.1111/jtsa.12237/abstract</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["We approach the problem of non-parametric estimation for autoregressive Markov switching processes. In this context, the Nadaraya–Watson-type regression functions estimator is interpreted as a solution of a local weighted least-square problem, which does not admit a closed-form solution in the case of hidden Markov switching. We introduce a non-parametric recursive algorithm to approximate the estimator. Our algorithm restores the missing data by means of a Monte Carlo step and estimates the regression function via a Robbins–Monro step. We prove that non-parametric autoregressive models with Markov switching are identifiable when the hidden Markov process has a finite state space. Consistency of the estimator is proved using the strong α-mixing property of the model. Finally, we present some simulations illustrating the performances of our non-parametric estimation procedure."]]></description>
<dc:subject>time_series stochastic_approximation statistics online_learning markov_models state-space_models in_NB</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:0b80a5c10fa1/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:stochastic_approximation"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:online_learning"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:in_NB"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://www.jmlr.org/papers/v16/thon15a.html">
    <title>Links Between Multiplicity Automata, Observable Operator Models and Predictive State Representations -- a Unified Learning Framework</title>
    <dc:date>2016-11-30T02:09:54+00:00</dc:date>
    <link>http://www.jmlr.org/papers/v16/thon15a.html</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Stochastic multiplicity automata (SMA) are weighted finite automata that generalize probabilistic automata. They have been used in the context of probabilistic grammatical inference. Observable operator models (OOMs) are a generalization of hidden Markov models, which in turn are models for discrete-valued stochastic processes and are used ubiquitously in the context of speech recognition and bio-sequence modeling. Predictive state representations (PSRs) extend OOMs to stochastic input-output systems and are employed in the context of agent modeling and planning.
"We present SMA, OOMs, and PSRs under the common framework of sequential systems, which are an algebraic characterization of multiplicity automata, and examine the precise relationships between them. Furthermore, we establish a unified approach to learning such models from data. Many of the learning algorithms that have been proposed can be understood as variations of this basic learning scheme, and several turn out to be closely related to each other, or even equivalent."]]></description>
<dc:subject>to:NB re:AoS_project stochastic_processes statistics prediction state-space_models automata_theory</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:25727a8ab045/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:re:AoS_project"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:stochastic_processes"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:prediction"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:automata_theory"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="https://arxiv.org/abs/1204.2477">
    <title>[1204.2477] A Simple Explanation of A Spectral Algorithm for Learning Hidden Markov Models</title>
    <dc:date>2016-11-30T01:58:35+00:00</dc:date>
    <link>https://arxiv.org/abs/1204.2477</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["A simple linear algebraic explanation of the algorithm in "A Spectral Algorithm for Learning Hidden Markov Models" (COLT 2009). Most of the content is in Figure 2; the text just makes everything precise in four nearly-trivial claims."]]></description>
<dc:subject>to:NB spectral_methods re:AoS_project markov_models state-space_models statistics time_series estimation</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:384a791646c5/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:spectral_methods"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:re:AoS_project"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:estimation"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://arxiv.org/abs/1606.08650">
    <title>[1606.08650] Approximate Smoothing and Parameter Estimation in High-Dimensional State-Space Models</title>
    <dc:date>2016-09-07T14:54:27+00:00</dc:date>
    <link>http://arxiv.org/abs/1606.08650</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["We present approximate algorithms for performing smoothing in a class of high-dimensional state-space models via sequential Monte Carlo methods ("particle filters"). In high dimensions, a prohibitively large number of Monte Carlo samples ("particles") -- growing exponentially in the dimension of the state space -- is usually required to obtain a useful smoother. Using blocking strategies as in Rebeschini and Van Handel (2015) (and earlier pioneering work on blocking), we exploit the spatial ergodicity properties of the model to circumvent this curse of dimensionality. We thus obtain approximate smoothers that can be computed recursively in time and in parallel in space. First, we show that the bias of our blocked smoother is bounded uniformly in the time horizon and in the model dimension. We then approximate the blocked smoother with particles and derive the asymptotic variance of idealised versions of our blocked particle smoother to show that variance is no longer adversely effected by the dimension of the model. Finally, we employ our method to successfully perform maximum-likelihood estimation via stochastic gradient-ascent and stochastic expectation--maximisation algorithms in a 100-dimensional state-space model."]]></description>
<dc:subject>to:NB particle_filters time_series statistical_inference_for_stochastic_processes filtering stochastic_processes state-space_models high-dimensional_statistics singh.sumeetpal_s. statistics re:fitness_sampling</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:a76b4d887144/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:particle_filters"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistical_inference_for_stochastic_processes"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:filtering"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:stochastic_processes"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:high-dimensional_statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:singh.sumeetpal_s."/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:re:fitness_sampling"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://arxiv.org/abs/1607.06494">
    <title>[1607.06494] Stochastic Control via Entropy Compression</title>
    <dc:date>2016-07-25T03:32:07+00:00</dc:date>
    <link>http://arxiv.org/abs/1607.06494</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["We consider an agent trying to bring a system to an acceptable state by repeated probabilistic action (stochastic control). Specifically, in each step the agent observes the flaws present in the current state, selects one of them, and addresses it by probabilistically moving to a new state, one where the addressed flaw is most likely absent, but where one or more new flaws may be present. Several recent works on algorithmizations of the Lov\'{a}sz Local Lemma have established sufficient conditions for such an agent to succeed. Motivated by the paradigm of Partially Observable Markov Decision Processes (POMDPs) we study whether such stochastic control is also possible in a noisy environment, where both the process of state-observation and the process of state-evolution are subject to adversarial perturbation (noise). The introduction of noise causes the tools developed for LLL algorithmization to break down since the key LLL ingredient, the sparsity of the causality (dependence) relationship, no longer holds. To overcome this challenge we develop a new analysis where entropy plays a central role, both to measure the rate at which progress towards an acceptable state is made and the rate at which the noise undoes this progress. The end result is a sufficient condition that allows a smooth tradeoff between the intensity of the noise and the amenability of the system, recovering an asymmetric LLL condition in the noiseless case. To our knowledge, this is the first tractability result for a nontrivial class of POMDPs under stochastic memoryless control."]]></description>
<dc:subject>to:NB state-space_models information_theory control_theory_and_control_engineering via:mraginsky</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:8115355da86c/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:information_theory"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:control_theory_and_control_engineering"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:via:mraginsky"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://link.springer.com/article/10.1007%2Fs00332-003-0534-4">
    <title>Delay Embeddings for Forced Systems. II. Stochastic Forcing | SpringerLink</title>
    <dc:date>2016-07-20T22:33:14+00:00</dc:date>
    <link>http://link.springer.com/article/10.1007%2Fs00332-003-0534-4</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Takens’ Embedding Theorem forms the basis of virtually all approaches to the analysis of time series generated by nonlinear deterministic dynamical systems. It typically allows us to reconstruct an unknown dynamical system which gave rise to a given observed scalar time series simply by constructing a new state space out of successive values of the time series. This provides the theoretical foundation for many popular techniques, including those for the measurement of fractal dimensions and Liapunov exponents, for the prediction of future behaviour, for noise reduction and signal separation, and most recently for control and targeting. Current versions of Takens’ Theorem assume that the underlying system is autonomous (and noise-free). Unfortunately this is not the case for many real systems. In a previous paper, one of us showed how to extend Takens’ Theorem to deterministically forced systems. Here, we use similar techniques to prove a number of delay embedding theorems for arbitrarily and stochastically forced systems. As a special case, we obtain embedding results for Iterated Functions Systems, and we also briefly consider noisy observations."]]></description>
<dc:subject>to:NB to_read time_series state-space_reconstruction state-space_models statistics dynamical_systems have_skimmed</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:1a4e1d863703/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to_read"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_reconstruction"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:dynamical_systems"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:have_skimmed"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://tuvalu.santafe.edu/~simon/styled-8/">
    <title>SFIHMM (Estimating Hidden Markov Models)</title>
    <dc:date>2016-06-05T03:43:50+00:00</dc:date>
    <link>http://tuvalu.santafe.edu/~simon/styled-8/</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["high-speed C code for the estimation of Hidden Markov Models (finite state machines) on arbitrary time-series, for Viterbi Path Reconstruction, and for the generation of simulated data from HMMs."]]></description>
<dc:subject>to:NB markov_models state-space_models kith_and_kin dedeo.simon</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:ff59c392310d/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:kith_and_kin"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:dedeo.simon"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://link.springer.com/article/10.1007/s11222-014-9523-8">
    <title>Inference in finite state space non parametric Hidden Markov Models and applications - Springer</title>
    <dc:date>2016-01-09T17:34:13+00:00</dc:date>
    <link>http://link.springer.com/article/10.1007/s11222-014-9523-8</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Hidden Markov models (HMMs) are intensively used in various fields to model and classify data observed along a line (e.g. time). The fit of such models strongly relies on the choice of emission distributions that are most often chosen among some parametric family. In this paper, we prove that finite state space non parametric HMMs are identifiable as soon as the transition matrix of the latent Markov chain has full rank and the emission probability distributions are linearly independent. This general result allows the use of semi- or non-parametric emission distributions. Based on this result we present a series of classification problems that can be tackled out of the strict parametric framework. We derive the corresponding inference algorithms. We also illustrate their use on few biological examples, showing that they may improve the classification performances."]]></description>
<dc:subject>to:NB markov_models state-space_models statistics nonparametrics time_series</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:33814323d310/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:nonparametrics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://arxiv.org/abs/1507.06346">
    <title>[1507.06346] Evaluation of Spectral Learning for the Identification of Hidden Markov Models</title>
    <dc:date>2015-08-05T15:00:28+00:00</dc:date>
    <link>http://arxiv.org/abs/1507.06346</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["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, such as maximum-likelihood estimation and especially expectation-maximization, are iterative and prone to have problems with local minima. A non-iterative method employing a spectral subspace-like approach has recently been proposed in the machine learning literature. This paper evaluates the performance of this algorithm, and compares it to the performance of the expectation-maximization algorithm, on a number of numerical examples. We find that the performance is mixed; it successfully identifies some systems with relatively few available observations, but fails completely for some systems even when a large amount of observations is available. An open question is how this discrepancy can be explained. We provide some indications that it could be related to how well-conditioned some system parameters are."]]></description>
<dc:subject>to:NB spectral_methods markov_models state-space_models statistics time_series computational_statistics</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:f6ad5cde987e/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:spectral_methods"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:computational_statistics"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://projecteuclid.org/euclid.bj/1411134448">
    <title>Crisan , Míguez : Particle-kernel estimation of the filter density in state-space models</title>
    <dc:date>2015-01-24T14:11:26+00:00</dc:date>
    <link>http://projecteuclid.org/euclid.bj/1411134448</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Sequential Monte Carlo (SMC) methods, also known as particle filters, are simulation-based recursive algorithms for the approximation of the a posteriori probability measures generated by state-space dynamical models. At any given time t, a SMC method produces a set of samples over the state space of the system of interest (often termed “particles”) that is used to build a discrete and random approximation of the posterior probability distribution of the state variables, conditional on a sequence of available observations. One potential application of the methodology is the estimation of the densities associated to the sequence of a posteriori distributions. While practitioners have rather freely applied such density approximations in the past, the issue has received less attention from a theoretical perspective. In this paper, we address the problem of constructing kernel-based estimates of the posterior probability density function and its derivatives, and obtain asymptotic convergence results for the estimation errors. In particular, we find convergence rates for the approximation errors that hold uniformly on the state space and guarantee that the error vanishes almost surely as the number of particles in the filter grows. Based on this uniform convergence result, we first show how to build continuous measures that converge almost surely (with known rate) toward the posterior measure and then address a few applications. The latter include maximum a posteriori estimation of the system state using the approximate derivatives of the posterior density and the approximation of functionals of it, for example, Shannon’s entropy."]]></description>
<dc:subject>particle_filters density_estimation filtering state_estimation state-space_models statistics computational_statistics in_NB kernel_smoothing</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:77a953685926/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:particle_filters"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:density_estimation"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:filtering"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state_estimation"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:computational_statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:in_NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:kernel_smoothing"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://arxiv.org/abs/1411.5634">
    <title>[1411.5634] Earthquake Forecasting Using Hidden Markov Models</title>
    <dc:date>2015-01-22T00:25:08+00:00</dc:date>
    <link>http://arxiv.org/abs/1411.5634</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["This paper develops a novel method, based on hidden Markov models, to forecast earthquakes and applies the method to mainshock seismic activity in southern California and western Nevada. The forecasts are of the probability of a mainshock within one, five, and ten days in the entire study region or in specific subregions and are based on the observations available at the forecast time, namely the inter event times and locations of the previous mainshocks and the elapsed time since the most recent one. Hidden Markov models have been applied to many problems, including earthquake classification; this is the first application to earthquake forecasting."]]></description>
<dc:subject>to:NB earthquakes geology time_series prediction state-space_models markov_models statistics</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:5dc056c604b1/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:earthquakes"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:geology"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:prediction"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://arxiv.org/abs/1412.8695">
    <title>[1412.8695] On Particle Methods for Parameter Estimation in State-Space Models</title>
    <dc:date>2015-01-20T02:09:33+00:00</dc:date>
    <link>http://arxiv.org/abs/1412.8695</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Nonlinear non-Gaussian state-space models are ubiquitous in statistics, econometrics, information engineering and signal processing. Particle methods, also known as Sequential Monte Carlo (SMC) methods, provide reliable numerical approximations to the associated state inference problems. However, in most applications, the state-space model of interest also depends on unknown static parameters that need to be estimated from the data. In this context, standard particle methods fail and it is necessary to rely on more sophisticated algorithms. The aim of this paper is to present a comprehensive review of particle methods that have been proposed to perform static parameter estimation in state-space models. We discuss the advantages and limitations of these methods and illustrate their performance on simple models."]]></description>
<dc:subject>to:NB particle_filters time_series statistics estimation state-space_models</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:5154ac2a01ea/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:particle_filters"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:estimation"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://press.princeton.edu/titles/10286.html">
    <title>Vidyasagar, M.: Hidden Markov Processes: Theory and Applications to Biology</title>
    <dc:date>2014-10-02T20:16:09+00:00</dc:date>
    <link>http://press.princeton.edu/titles/10286.html</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["This book explores important aspects of Markov and hidden Markov processes and the applications of these ideas to various problems in computational biology. The book starts from first principles, so that no previous knowledge of probability is necessary. However, the work is rigorous and mathematical, making it useful to engineers and mathematicians, even those not interested in biological applications. A range of exercises is provided, including drills to familiarize the reader with concepts and more advanced problems that require deep thinking about the theory. Biological applications are taken from post-genomic biology, especially genomics and proteomics.
"The topics examined include standard material such as the Perron-Frobenius theorem, transient and recurrent states, hitting probabilities and hitting times, maximum likelihood estimation, the Viterbi algorithm, and the Baum-Welch algorithm. The book contains discussions of extremely useful topics not usually seen at the basic level, such as ergodicity of Markov processes, Markov Chain Monte Carlo (MCMC), information theory, and large deviation theory for both i.i.d and Markov processes. The book also presents state-of-the-art realization theory for hidden Markov models. Among biological applications, it offers an in-depth look at the BLAST (Basic Local Alignment Search Technique) algorithm, including a comprehensive explanation of the underlying theory. Other applications such as profile hidden Markov models are also explored."]]></description>
<dc:subject>books:noted markov_models state-space_models em_algorithm large_deviations stochastic_processes statistical_inference_for_stochastic_processes statistics genomics bioinformatics books:owned in_NB vidyasagar.mathukumalli</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:47a239958696/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:books:noted"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:em_algorithm"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:large_deviations"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:stochastic_processes"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistical_inference_for_stochastic_processes"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:genomics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:bioinformatics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:books:owned"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:in_NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:vidyasagar.mathukumalli"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://link.springer.com/article/10.1007/s10994-013-5416-x?wt_mc=alerts.TOCjournals">
    <title>Spectral learning of weighted automata - Springer</title>
    <dc:date>2014-07-31T14:51:43+00:00</dc:date>
    <link>http://link.springer.com/article/10.1007/s10994-013-5416-x?wt_mc=alerts.TOCjournals</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["In recent years we have seen the development of efficient provably correct algorithms for learning Weighted Finite Automata (WFA). Most of these algorithms avoid the known hardness results by defining parameters beyond the number of states that can be used to quantify the complexity of learning automata under a particular distribution. One such class of methods are the so-called spectral algorithms that measure learning complexity in terms of the smallest singular value of some Hankel matrix. However, despite their simplicity and wide applicability to real problems, their impact in application domains remains marginal to this date. One of the goals of this paper is to remedy this situation by presenting a derivation of the spectral method for learning WFA that—without sacrificing rigor and mathematical elegance—puts emphasis on providing intuitions on the inner workings of the method and does not assume a strong background in formal algebraic methods. In addition, our algorithm overcomes some of the shortcomings of previous work and is able to learn from statistics of substrings. To illustrate the approach we present experiments on a real application of the method to natural language parsing."]]></description>
<dc:subject>to:NB to_read re:AoS_project spectral_methods automata_theory grammar_induction markov_models state-space_models learning_theory machine_learning statistics</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:d678b734bce5/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to_read"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:re:AoS_project"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:spectral_methods"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:automata_theory"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:grammar_induction"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:learning_theory"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:machine_learning"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://link.springer.com/article/10.1007/s10994-013-5408-x?wt_mc=alerts.TOCjournals">
    <title>Adaptively learning probabilistic deterministic automata from data streams - Springer</title>
    <dc:date>2014-07-31T14:50:44+00:00</dc:date>
    <link>http://link.springer.com/article/10.1007/s10994-013-5408-x?wt_mc=alerts.TOCjournals</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Markovian models with hidden state are widely-used formalisms for modeling sequential phenomena. Learnability of these models has been well studied when the sample is given in batch mode, and algorithms with PAC-like learning guarantees exist for specific classes of models such as Probabilistic Deterministic Finite Automata (PDFA). Here we focus on PDFA and give an algorithm for inferring models in this class in the restrictive data stream scenario: Unlike existing methods, our algorithm works incrementally and in one pass, uses memory sublinear in the stream length, and processes input items in amortized constant time. We also present extensions of the algorithm that (1) reduce to a minimum the need for guessing parameters of the target distribution and (2) are able to adapt to changes in the input distribution, relearning new models when needed. We provide rigorous PAC-like bounds for all of the above. Our algorithm makes a key usage of stream sketching techniques for reducing memory and processing time, and is modular in that it can use different tests for state equivalence and for change detection in the stream."]]></description>
<dc:subject>to:NB to_read re:AoS_project grammar_induction markov_models state-space_models automata_theory machine_learning statistics learning_theory</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:8f5ba4f6e75b/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to_read"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:re:AoS_project"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:grammar_induction"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:automata_theory"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:machine_learning"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:learning_theory"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://link.springer.com/article/10.1007/s10994-013-5409-9?wt_mc=alerts.TOCjournals">
    <title>PAutomaC: a probabilistic automata and hidden Markov models learning competition - Springer</title>
    <dc:date>2014-07-31T14:49:51+00:00</dc:date>
    <link>http://link.springer.com/article/10.1007/s10994-013-5409-9?wt_mc=alerts.TOCjournals</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Approximating distributions over strings is a hard learning problem. Typical techniques involve using finite state machines as models and attempting to learn these; these machines can either be hand built and then have their weights estimated, or built by grammatical inference techniques: the structure and the weights are then learned simultaneously. The Probabilistic Automata learning Competition (PAutomaC), run in 2012, was the first grammatical inference challenge that allowed the comparison between these methods and algorithms. Its main goal was to provide an overview of the state-of-the-art techniques for this hard learning problem. Both artificial data and real data were presented and contestants were to try to estimate the probabilities of strings. The purpose of this paper is to describe some of the technical and intrinsic challenges such a competition has to face, to give a broad state of the art concerning both the problems dealing with learning grammars and finite state machines and the relevant literature. This paper also provides the results of the competition and a brief description and analysis of the different approaches the main participants used."]]></description>
<dc:subject>to:NB to_read re:AoS_project grammar_induction markov_models state-space_models machine_learning</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:42c98a8f6199/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to_read"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:re:AoS_project"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:grammar_induction"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:machine_learning"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://projecteuclid.org/euclid.ba/1340370402">
    <title>Rydén : EM versus Markov chain Monte Carlo for estimation of hidden Markov models: a computational perspective</title>
    <dc:date>2014-07-31T13:21:49+00:00</dc:date>
    <link>http://projecteuclid.org/euclid.ba/1340370402</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Hidden Markov models (HMMs) and related models have become standard in statistics during the last 15--20 years, with applications in diverse areas like speech and other statistical signal processing, hydrology, financial statistics and econometrics, bioinformatics etc. Inference in HMMs is traditionally often carried out using the EM algorithm, but examples of Bayesian estimation, in general implemented through Markov chain Monte Carlo (MCMC) sampling are also frequent in the HMM literature. The purpose of this paper is to compare the EM and MCMC approaches in three cases of different complexity; the examples include model order selection, continuous-time HMMs and variants of HMMs in which the observed data depends on many hidden variables in an overlapping fashion. All these examples in some way or another originate from real-data applications. Neither EM nor MCMC analysis of HMMs is a black-box methodology without need for user-interaction, and we will illustrate some of the problems, like poor mixing and long computation times, one may expect to encounter."]]></description>
<dc:subject>to:NB em_algorithm monte_carlo markov_models state-space_models estimation statistics computational_statistics ryden.tobias</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:a2dacf87ada3/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:em_algorithm"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:monte_carlo"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:estimation"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:computational_statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:ryden.tobias"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://arxiv.org/abs/1404.4210">
    <title>[1404.4210] Nonparametric identification of hidden Markov models</title>
    <dc:date>2014-04-20T18:20:53+00:00</dc:date>
    <link>http://arxiv.org/abs/1404.4210</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Nonparametric identification of finite-state hidden Markov models (HMMs) is investigated. We obtain identification of the parameters as well as the order of the Markov chain in the class of HMMs which have full-rank, ergodic transition probability matrices and for which the state-dependent distributions are all distinct. We also show how our result implies that the asymptotic contrast for ML-estimation, the Kullback-Leibler distance of the HMM, identifies the true parameter vector uniquely, thus paving the way for nonparametric maximum likelihood estimation in HMMs."

--- Isn't this already known?]]></description>
<dc:subject>to:NB state-space_models markov_models statistics time_series</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:9cd721f63c91/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://arxiv.org/abs/1403.6804">
    <title>[1403.6804] A simple modification for improving inference of non-linear dynamical systems</title>
    <dc:date>2014-04-03T18:37:17+00:00</dc:date>
    <link>http://arxiv.org/abs/1403.6804</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Particle and ensemble filters are increasingly utilized for inference, optimization, and forecast; however, both filtering methods use discrete distributions to simulate continuous state space, a drawback that can lead to degraded performance for non-linear dynamical systems. Here we propose a simple modification, applicable to both particle and ensemble filters, that compensates for this problem. The method randomly replaces one or more model variables or parameters within a fraction of simulated trajectories at each filtering cycle. This modification, termed space re-probing, expands the state space covered by the filter through the introduction of outlying trajectories. We apply the space re-probing modification to three particle filters and three ensemble filters, and use these modified filters to model and forecast influenza epidemics. For both filter types, the space re-probing improves simulation of influenza epidemic curves and the prediction of influenza outbreak peak timing. Further, as fewer particles are needed for the particle filters, the proposed modification reduces the computational cost of these filters."]]></description>
<dc:subject>particle_filters state-space_models state_estimation statistical_inference_for_stochastic_processes statistics re:fitness_sampling in_NB</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:2aa48c6a16dd/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:particle_filters"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state_estimation"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistical_inference_for_stochastic_processes"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:re:fitness_sampling"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:in_NB"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://onlinelibrary.wiley.com/doi/10.1111/sjos.12077/abstract;jsessionid=81B7064F9C37EF342CB590A9F76A40E8.f01t02?systemMessage=Wiley+Online+Library+will+be+disrupted+Saturday%2C+15+March+from+10%3A00-12%3A00+GMT+%2806%3A00-08%3A00+EDT%29+for+essential+maintenance">
    <title>Parameter Estimation for Hidden Markov Models with Intractable Likelihoods - Dean - 2014 - Scandinavian Journal of Statistics - Wiley Online Library</title>
    <dc:date>2014-03-13T14:28:58+00:00</dc:date>
    <link>http://onlinelibrary.wiley.com/doi/10.1111/sjos.12077/abstract;jsessionid=81B7064F9C37EF342CB590A9F76A40E8.f01t02?systemMessage=Wiley+Online+Library+will+be+disrupted+Saturday%2C+15+March+from+10%3A00-12%3A00+GMT+%2806%3A00-08%3A00+EDT%29+for+essential+maintenance</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Approximate Bayesian computation (ABC) is a popular technique for analysing data for complex models where the likelihood function is intractable. It involves using simulation from the model to approximate the likelihood, with this approximate likelihood then being used to construct an approximate posterior. In this paper, we consider methods that estimate the parameters by maximizing the approximate likelihood used in ABC. We give a theoretical analysis of the asymptotic properties of the resulting estimator. In particular, we derive results analogous to those of consistency and asymptotic normality for standard maximum likelihood estimation. We also discuss how sequential Monte Carlo methods provide a natural method for implementing our likelihood-based ABC procedures."]]></description>
<dc:subject>to:NB estimation state-space_models approximate_bayesian_computation likelihood statistics time_series singh.sumeetpal</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:358ed771e574/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:estimation"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:approximate_bayesian_computation"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:likelihood"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:singh.sumeetpal"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://jmlr.org/papers/v15/coviello14a.html">
    <title>Clustering Hidden Markov Models with Variational HEM</title>
    <dc:date>2014-03-13T14:18:32+00:00</dc:date>
    <link>http://jmlr.org/papers/v15/coviello14a.html</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["The hidden Markov model (HMM) is a widely-used generative model that copes with sequential data, assuming that each observation is conditioned on the state of a hidden Markov chain. In this paper, we derive a novel algorithm to cluster HMMs based on the hierarchical EM (HEM) algorithm. The proposed algorithm i) clusters a given collection of HMMs into groups of HMMs that are similar, in terms of the distributions they represent, and ii) characterizes each group by a “cluster center”, that is, a novel HMM that is representative for the group, in a manner that is consistent with the underlying generative model of the HMM. To cope with intractable inference in the E-step, the HEM algorithm is formulated as a variational optimization problem, and efficiently solved for the HMM case by leveraging an appropriate variational approximation. The benefits of the proposed algorithm, which we call variational HEM (VHEM), are demonstrated on several tasks involving time-series data, such as hierarchical clustering of motion capture sequences, and automatic annotation and retrieval of music and of online hand- writing data, showing improvements over current methods. In particular, our variational HEM algorithm effectively leverages large amounts of data when learning annotation models by using an efficient hierarchical estimation procedure, which reduces learning times and memory requirements, while improving model robustness through better regularization."]]></description>
<dc:subject>to:NB markov_models state-space_models clustering time_series variational_inference statistics</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:dc91071effcf/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:clustering"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:variational_inference"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://projecteuclid.org/euclid.aos/1387313393">
    <title>Chan , Lai : A general theory of particle filters in hidden Markov models and some applications</title>
    <dc:date>2014-02-20T22:21:27+00:00</dc:date>
    <link>http://projecteuclid.org/euclid.aos/1387313393</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["By making use of martingale representations, we derive the asymptotic normality of particle filters in hidden Markov models and a relatively simple formula for their asymptotic variances. Although repeated resamplings result in complicated dependence among the sample paths, the asymptotic variance formula and martingale representations lead to consistent estimates of the standard errors of the particle filter estimates of the hidden states."]]></description>
<dc:subject>particle_filters filtering state_estimation martingales statistical_inference_for_stochastic_processes statistics state-space_models markov_models stochastic_processes in_NB</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:76bc97fcf610/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:particle_filters"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:filtering"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state_estimation"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:martingales"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistical_inference_for_stochastic_processes"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:stochastic_processes"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:in_NB"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://onlinelibrary.wiley.com/doi/10.1111/j.1461-0248.2007.01047.x/abstract?deniedAccessCustomisedMessage=&amp;userIsAuthenticated=false">
    <title>Data cloning: easy maximum likelihood estimation for complex ecological models using Bayesian Markov chain Monte Carlo methods - Lele - 2007 - Ecology Letters - Wiley Online Library</title>
    <dc:date>2013-12-23T16:48:55+00:00</dc:date>
    <link>http://onlinelibrary.wiley.com/doi/10.1111/j.1461-0248.2007.01047.x/abstract?deniedAccessCustomisedMessage=&amp;userIsAuthenticated=false</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["We introduce a new statistical computing method, called data cloning, to calculate maximum likelihood estimates and their standard errors for complex ecological models. Although the method uses the Bayesian framework and exploits the computational simplicity of the Markov chain Monte Carlo (MCMC) algorithms, it provides valid frequentist inferences such as the maximum likelihood estimates and their standard errors. The inferences are completely invariant to the choice of the prior distributions and therefore avoid the inherent subjectivity of the Bayesian approach. The data cloning method is easily implemented using standard MCMC software. Data cloning is particularly useful for analysing ecological situations in which hierarchical statistical models, such as state-space models and mixed effects models, are appropriate. We illustrate the method by fitting two nonlinear population dynamics models to data in the presence of process and observation noise."

- There is nothing specifically ecological about this.  The trick is to raise the likelihood to some large power k, as though one had observed k completely independent replicas of the data which all happened to be exactly the same, and then do ordinary Metropolis-Hastings.  For sufficiently large k, the likelihood function dominates the prior, Bernstein-von Mises takes over, and the distribution of the posterior concentrates around the MLE, with inverse-Fisher-information variance.  It's very clever, and there seem to be some extensions (can't recall if this first paper mentions them) about separating identified from unidentified parameters by seeing which posterior variances don't shrink as k is cranked up.

Ungated author copy: http://mysite.science.uottawa.ca/flutsche/PUBLICATIONS/LeleDennisLutscher2007.pdf]]></description>
<dc:subject>monte_carlo likelihood re:stacs have_read statistics estimation state-space_models hierarchical_statistical_models in_NB</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:90fcb8b7cf88/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:monte_carlo"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:likelihood"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:re:stacs"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:have_read"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:estimation"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:hierarchical_statistical_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:in_NB"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://projecteuclid.org/DPubS?service=UI&amp;version=1.0&amp;verb=Display&amp;handle=euclid.bj/1386078601">
    <title>Dubarry , Le Corff : Non-asymptotic deviation inequalities for smoothed additive functionals in nonlinear state-space models</title>
    <dc:date>2013-12-03T15:56:43+00:00</dc:date>
    <link>http://projecteuclid.org/DPubS?service=UI&amp;version=1.0&amp;verb=Display&amp;handle=euclid.bj/1386078601</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["The approximation of fixed-interval smoothing distributions is a key issue in inference for general state-space hidden Markov models (HMM). This contribution establishes non-asymptotic bounds for the Forward Filtering Backward Smoothing (FFBS) and the Forward Filtering Backward Simulation (FFBSi) estimators of fixed-interval smoothing functionals. We show that the rate of convergence of the Lq-mean errors of both methods depends on the number of observations T and the number of particles N only through the ratio T/N for additive functionals. In the case of the FFBS, this improves recent results providing bounds depending on T/N‾‾√."]]></description>
<dc:subject>filtering state_estimation state-space_models markov_models stochastic_processes deviation_inequalities statistical_inference_for_stochastic_processes statistics in_NB</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:2c1ce9d96796/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:filtering"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state_estimation"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:stochastic_processes"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:deviation_inequalities"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistical_inference_for_stochastic_processes"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:in_NB"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://arxiv.org/abs/1310.5951">
    <title>[1310.5951] A Tractable State-Space Model for the Riemannian Manifold of Symmetric Positive Definite Matrices</title>
    <dc:date>2013-10-23T19:53:05+00:00</dc:date>
    <link>http://arxiv.org/abs/1310.5951</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["Many tools exist to filter, smooth, and predict latent quantities when state-space modeling in ℝn. However, there are scenarios, like tracking an object in a video or tracking a covariance matrix of financial assets returns, when one would like to do state-space modeling on a Riemannian manifold that is not a vector space. Most work addressing manifold-valued state-space models has focused on adapting methods for filtering on ℝn to filtering on Riemannian manifolds. Less attention has been paid to other aspects of state-space inference, which tend to be more challenging. To that end, we present a parsimonious state-space model whose observations and latent states take values on the Riemannian manifold of symmetric positive definite matrices and show how to forward filter, backward sample, and infer the parameters that govern the dynamics of the latent states, providing a complete set of tools for state-space inference in this domain."]]></description>
<dc:subject>to:NB state-space_models statistics_on_manifolds filtering statistics carvalho.carlos_m.</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:99985bc07968/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics_on_manifolds"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:filtering"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:statistics"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:carvalho.carlos_m."/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://arxiv.org/abs/1305.5797">
    <title>[1305.5797] Convergence in distribution for filtering processes associated to Hidden Markov Models with densities</title>
    <dc:date>2013-05-27T03:44:16+00:00</dc:date>
    <link>http://arxiv.org/abs/1305.5797</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["A Hidden Markov Model generates two basic stochastic processes, a Markov chain, which is hidden, and an observation sequence. The filtering process of a Hidden Markov Model is, roughly speaking, the sequence of conditional distributions of the hidden Markov chain that is obtained as new observations are received. It is well-known, that the filtering process itself, is also a Markov chain. A classical, theoretical problem is to find conditions which imply that the distributions of the filtering process converge towards a unique limit measure. This problem goes back to a paper of D Blackwell for the case when the Markov chain takes its values in a finite set and it goes back to a paper of H Kunita for the case when the state space of the Markov chain is a compact Hausdorff space. Recently due to work by F Kochman, J Reeds, P Chigansky and R van Handel, a necessary and sufficient condition for the convergence of the distributions of the filtering process has been found for the case when the state space is finite. This condition has since been generalised to the case when the state space is denumerable. In this paper we generalise some of the previous results on convergence in distribution to the case when the Markov chain and the observation sequence of a Hidden Markov Model take their values in complete separable metric spaces; it has though been necessary to assume that both the transition probability function of the Markov chain and the transition probability function that generates the observation sequence have densities."]]></description>
<dc:subject>to:NB filtering markov_models stochastic_processes state-space_models</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:dbfa83e8db55/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:filtering"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:stochastic_processes"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
</rdf:Bag></taxo:topics>
</item>
<item rdf:about="http://arxiv.org/abs/1305.1980">
    <title>[1305.1980] Modeling Temporal Activity Patterns in Dynamic Social Networks</title>
    <dc:date>2013-05-10T19:47:08+00:00</dc:date>
    <link>http://arxiv.org/abs/1305.1980</link>
    <dc:creator>cshalizi</dc:creator><description><![CDATA["The focus of this work is on developing probabilistic models for user activity in social networks by incorporating the social network influence as perceived by the user. For this, we propose a coupled Hidden Markov Model, where each user's activity evolves according to a Markov chain with a hidden state that is influenced by the collective activity of the friends of the user. We develop generalized Baum-Welch and Viterbi algorithms for model parameter learning and state estimation for the proposed framework. We then validate the proposed model using a significant corpus of user activity on Twitter. Our numerical studies show that with sufficient observations to ensure accurate model learning, the proposed framework explains the observed data better than either a renewal process-based model or a conventional uncoupled Hidden Markov Model. We also demonstrate the utility of the proposed approach in predicting the time to the next tweet. Finally, clustering in the model parameter space is shown to result in distinct natural clusters of users characterized by the interaction dynamic between a user and his network."]]></description>
<dc:subject>to:NB social_media time_series markov_models state-space_models connected_time_series kith_and_kin heard_the_talk galstyan.aram ver_steeg.greg</dc:subject>
<dc:source>https://pinboard.in/</dc:source>
<dc:identifier>https://pinboard.in/u:cshalizi/b:c2962383be83/</dc:identifier>
<taxo:topics><rdf:Bag>	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:to:NB"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:social_media"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:time_series"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:markov_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:state-space_models"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:connected_time_series"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:kith_and_kin"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:heard_the_talk"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:galstyan.aram"/>
	<rdf:li rdf:resource="https://pinboard.in/u:cshalizi/t:ver_steeg.greg"/>
</rdf:Bag></taxo:topics>
</item>
</rdf:RDF>