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Utility MLE Routines for Bayesian Nonparametric HDP-SLDS Time Series Analysis

Set of Python 2.7 scripts augmenting:

@article{CalderonBloom2015,
    author = {C.P.~Calderon and K.~Bloom},
    title = {Inferring Latent States and Refining Force Estimates via Hierarchical Dirichlet Process Modeling in Single Particle Tracking Experiments},
    year = 2015,
    journal = {PLOS ONE},
    volume = {10},
    issue = {9},
    pages = {e0137633},
    URL = {http://journals.plos.org/plosone/article?id=10.1371/journal.pone.0137633},
    DOI = {10.1371/journal.pone.0137633},
    PMID = {26384324},
    ISSN = {1932-6203}
}

Subdirectory contents:
* src --- folder containing python scripts

The scripts and work above are intended to aid in hyper-parameter tuning of the Hierarchical Dirichlet Process Switching Linear Dynamical System (HDP-SLDS) proposed in:

@article{Fox2011,
author = {Fox, Emily and Sudderth, Erik B. and Jordan, Michael I. and Willsky, Alan S.},
file = {:Users/calderoc/Documents/Mendeley Desktop/Fox et al.\_2011\_Bayesian Nonparametric Inference of Switching Dynamic Linear Models.pdf:pdf},
journal = {IEEE Trans. Signal Process.},
number = {4},
pages = {1569--1585},
title = {{Bayesian Nonparametric Inference of Switching Dynamic Linear Models}},
volume = {59},
year = {2011}
}

If you utilize these scripts in your work, please cite our PLOS ONE article.
Additional data sets and scripts will be uploaded to this repo in the future.

Requirements

Running the Sample Scripts

The simple illustrations provided in (src/sample1.py) and (src/sample2.py) illustrate how the utility functions can be leveraged.

cd GITREPO/src
python sample1.py

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Set of scripts accompanying 2015 PLOS ONE paper

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