{"ID":2855928,"CreatedAt":"2026-06-01T04:54:23.091178241Z","UpdatedAt":"2026-06-01T04:54:23.091178241Z","DeletedAt":null,"paper_url":"https://arxiv.org/abs/2510.12916","arxiv_id":"2510.12916","title":"Efficient Inference for Coupled Hidden Markov Models in Continuous Time and Discrete Space","abstract":"Systems of interacting continuous-time Markov chains are a powerful model class, but inference is typically intractable in high dimensional settings. Auxiliary information, such as noisy observations, is typically only available at discrete times, and incorporating it via a Doob's $h$-transform gives rise to an intractable posterior process that requires approximation. We introduce Latent Interacting Particle Systems, a model class parameterizing the generator of each Markov chain in the system. Our inference method involves estimating look-ahead functions (twist potentials) that anticipate future information, for which we introduce an efficient parameterization. We incorporate this approximation in a twisted Sequential Monte Carlo sampling scheme. We demonstrate the effectiveness of our approach on a challenging posterior inference task for a latent SIRS model on a graph, and on a neural model for wildfire spread dynamics trained on real data.","short_abstract":"Systems of interacting continuous-time Markov chains are a powerful model class, but inference is typically intractable in high dimensional settings. Auxiliary information, such as noisy observations, is typically only available at discrete times, and incorporating it via a Doob's $h$-transform gives rise to an intract...","url_abs":"https://arxiv.org/abs/2510.12916","url_pdf":"https://arxiv.org/pdf/2510.12916v2","authors":"[\"Giosue Migliorini\",\"Padhraic Smyth\"]","published":"2025-10-14T18:42:12Z","proceeding":"stat.ML","tasks":"[\"stat.ML\",\"cs.LG\"]","methods":"[]","has_code":false}