7.7k citations · 11.1k across the 55 of their papers we have counts for
58 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…
Empirical Macroeconomics and DSGE Modeling in Statistical Perspective
Daniel J. McDonald, Cosma Rohilla Shalizi
Dynamic stochastic general equilibrium (DSGE) models have been an ubiquitous, and controversial, part of macroeconomics for decades. In this paper, we approach DSGEs purely as stat…
Characterizing the robustness of Bayesian adaptive experimental designs to active learning bias
Sabina J. Sloman, Daniel M. Oppenheimer, Stephen B. Broomell +1
Bayesian adaptive experimental design is a form of active learning, which chooses samples to maximize the information they give about uncertain parameters. Prior work has shown tha…
A Simple Non-Stationary Mean Ergodic Theorem, with Bonus Weak Law of Large Numbers
Cosma Rohilla Shalizi
This brief pedagogical note re-proves a simple theorem on the convergence, in and in probability, of time averages of non-stationary time series to the mean of expectation va…