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

no code implementations • 20 May 2021 • Shuangshuang Chen, Sihao Ding, Yiannis Karayiannidis, Mårten Björkman

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.

Time Series Time Series Analysis