Variational Learning for Switching State-Space Models
- 1 April 2000
- journal article
- research article
- Published by MIT Press in Neural Computation
- Vol. 12 (4), 831-864
- https://doi.org/10.1162/089976600300015619
Abstract
We introduce a new statistical model for time series that iteratively segments data into regimes with approximately linear dynamics and learns the parameters of each of these linear regimes. This m...Keywords
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