Bayesian model selection for time series using Markov chain Monte Carlo

We present a stochastic simulation technique for subset selection in time series models, based on the use of indicator variables with the Gibbs sampler within a hierarchical Bayesian framework. As an example, the method is applied to the selection of subset linear AR models, in which only significant lags are included. Joint sampling of the indicators and parameters is found to speed convergence. We discuss the possibility of model mixing where the model is not well determined by the data, and the extension of the approach to include non-linear model terms.

Applications of stochastic context-free grammars using the Inside-Outside algorithm

This paper describes two applications in speech recognition of the use of stochastic context-free grammars (SCFGs) trained automatically via the Inside-Outside Algorithm. First, SCFGs are used to model VQ encoded speech for isolated word recognition and are compared directly to HMMs used for the same task. It is shown that SCFGs can model this low-level VQ data accurately and that a regular grammar based pre-training algorithm is effective both for reducing training time and obtaining robust solutions. Second, an SCFG is inferred from a transcription of the speech used to train a phoneme-based recognizer in an attempt to model phonotactic constraints. When used as a language model, this SCFG gives improved performance over a comparable regular grammar or bigram. © 1991.

APPROXIMATE GAUSS-MARKOV REALISATION OF MULTIVARIATE STOCHASTIC PROCESSES.

Given a spectral density matrix or, equivalently, a real autocovariance sequence, the author seeks to determine a finite-dimensional linear time-invariant system which, when driven by white noise, will produce an output whose spectral density is approximately PHI ( omega ), and an approximate spectral factor of PHI ( omega ). The author employs the Anderson-Faurre theory in his analysis.

The stochastic implicit Euler method - A stable coupling scheme for Monte Carlo burnup calculations

Existing Monte Carlo burnup codes use various schemes to solve the coupled criticality and burnup equations. Previous studies have shown that the coupling schemes of the existing Monte Carlo burnup codes can be numerically unstable. Here we develop the Stochastic Implicit Euler method - a stable and efficient new coupling scheme. The implicit solution is obtained by the stochastic approximation at each time step. Our test calculations demonstrate that the Stochastic Implicit Euler method can provide an accurate solution to problems where the methods in the existing Monte Carlo burnup codes fail. © 2013 Elsevier Ltd. All rights reserved.