4 papers
Generative sequence modeling for infinite memory processes via predictive states
Michael Wieck-Sosa, Cosma Rohilla Shalizi
We consider estimating the one-step-ahead conditional distribution of a multivariate stochastic process. Many existing approaches rely on assumptions such as finite-range memory, s…
Estimating dynamic models by matching random features
Michael Wieck-Sosa, Cosma Rohilla Shalizi
Scientists increasingly express their ideas as dynamic models of complex processes. It is often much easier to simulate these models than to calculate the probability of their gene…
Dynamic models with parameters are identified by random features
Michael Wieck-Sosa, Cosma Rohilla Shalizi
A foundational principle in nonlinear dynamics is that the structure of a dynamical system can be recovered from a small number of generic measurements or coordinates. We develop a…
The dynamic generalized covariance measure for conditional independence testing with nonstationary time series
Michael Wieck-Sosa, Michel F. C. Haddad, Aaditya Ramdas
Identifying relationships among stochastic processes is a core objective in many fields, such as economics. While the standard toolkit for multivariate time series analysis has man…