Time varying regression with hidden linear dynamics

Autor:	Jadbabaie, Ali, Mania, Horia, Shah, Devavrat, Sra, Suvrit
Rok vydání:	2021
Předmět:	Mathematics - Statistics Theory Mathematics - Optimization and Control Statistics - Machine Learning
Druh dokumentu:	Working Paper
Popis:	We revisit a model for time-varying linear regression that assumes the unknown parameters evolve according to a linear dynamical system. Counterintuitively, we show that when the underlying dynamics are stable the parameters of this model can be estimated from data by combining just two ordinary least squares estimates. We offer a finite sample guarantee on the estimation error of our method and discuss certain advantages it has over Expectation-Maximization (EM), which is the main approach proposed by prior work. Comment: 22 pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2112.14862 Zobrazit plný text záznamu View this record from Arxiv