Monte Carlo Filtering Objectives: A New Family of Variational Objectives to Learn Generative Model and Neural Adaptive Proposal for Time Series

Shuangshuang Chen, Sihao Ding, Yiannis Karayiannidis +1

Learning generative models and inferring latent trajectories have shown to be challenging for time series due to the intractable marginal likelihoods of flexible generative models.…