Browsing Department of Pure Mathematics and Mathematical Statistics (DPMMS) by Subject "Bayesian statistics"
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Hidden states, hidden structures: Bayesian learning in time series models
(University of CambridgeDepartment of Engineering, 20140610)This thesis presents methods for the inference of system state and the learning of model structure for a number of hiddenstate time series models, within a Bayesian probabilistic framework. Motivating examples are taken ...

Maximum likelihood parameter estimation in time series models using sequential Monte Carlo
(University of CambridgeDepartment of Pure Mathematics and Mathematical StatisticsStatistical LaboratoryDarwin College, 20130611)Time series models are used to characterise uncertainty in many realworld dynamical phenomena. A time series model typically contains a static variable, called parameter, which parametrizes the joint law of the random ...