After all, if you have a system whose future evolution is important to predict, why not try to infer a plausible model instead of a convenient one?
I am in the process of taxonomising here. Stuff which fits the particular (likelihood) model of recursive estimation and so on will be kept there. Miscellaneous other approaches here.
To reconstruct the state, as opposed to the parameters, you do state filtering. There can be interplay between these steps, if you are doing simulation-based online parameter inference, as in recursive estimation.
Anyway, for what kind of systems can you infer parameters? Mutually exciting point processes? Yep, (Eden et al. 2004) do that.
From an engineering/control perspective, we have (Brunton, Proctor, and Kutz 2016), who give a sparse regression version. Generally it seems it can be done by indirect inference, or recursive hierarchical generalised linear models, generalising the process for linear time series.
There are many highly general formulations; (Kitagawa and Gersch 1996) gives a Bayesian “smooth” one.
See e.g. (Hefny, Downey, and Gordon 2015)
We address […] these problems with a new view of predictive state methods for dynamical system learning. In this view, a dynamical system learning problem is reduced to a sequence of supervised learning problems. So, we can directly apply the rich literature on supervised learning methods to incorporate many types of prior knowledge about problem structure. We give a general convergence rate analysis that allows a high degree of flexibility in designing estimators. And finally, implementing a new estimator becomes as simple as rearranging our data and calling the appropriate supervised learning subroutines.
[…] More specifically, our contribution is to show that we can use much-more- general supervised learning algorithms in place of linear regression, and still get a meaningful theoretical analysis. In more detail:
we point out that we can equally well use any well-behaved supervised learning algorithm in place of linear regression in the first stage of instrumental-variable regression;
for the second stage of instrumental-variable regression, we generalize ordinary linear regression to its RKHS counterpart;
we analyze the resulting combination, and show that we get convergence to the correct answer, with a rate that depends on how quickly the individual supervised learners converge
Also, sparsely or unevenly observed series are tricky. I’m looking at those at the moment.
(Pereyra et al. 2016)
This paper presents a tutorial on stochastic simulation and optimization methods in signal and image processing and points to some interesting research problems. The paper addresses a variety of high-dimensional Markov chain Monte Carlo It also discusses a range of optimization methods that have been adopted to solve stochastic problems, as well as stochastic methods for deterministic optimization.
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