Black-Box Autoregressive Density Estimation for State-Space Models

Tom Ryder, Andrew Golighty, A. Stephen McGough, Dennis Prangle

State-space models (SSMs) provide a flexible framework for modelling time-series data. Consequently, SSMs are ubiquitously applied in areas such as engineering, econometrics and epidemiology. In this paper we provide a fast approach for approximate Bayesian inference in SSMs using the tools of deep learning and variational inference.

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