/deep-kalman-filter

Primary LanguageJupyter NotebookMIT LicenseMIT

Deep Kalman Filter

PyTorch implementations of deep kalman filters.

References

  1. Xue, Yuan, et al. "Deep state-space generative model for correlated time-to-event predictions." Proceedings of the 26th ACM SIGKDD International Conference on Knowledge Discovery & Data Mining. 2020.

  2. de Bézenac, Emmanuel, et al. "Normalizing Kalman Filters for Multivariate Time Series Analysis." NeurIPS. 2020.

  3. Rangapuram, Syama Sundar, et al. "Deep state space models for time series forecasting." Advances in neural information processing systems 31 (2018): 7785-7794.

  4. Krishnan, Rahul, Uri Shalit, and David Sontag. "Structured inference networks for nonlinear state space models." Proceedings of the AAAI Conference on Artificial Intelligence. Vol. 31. No. 1. 2017.

  5. Krishnan, Rahul G., Uri Shalit, and David Sontag. "Deep kalman filters." arXiv preprint arXiv:1511.05121 (2015).