We develop a semi-parametric state-space model for time-series data with latent regime transitions. Classical Markov-switching models use fixed parametric transition functions, such as logistic or probit links, which restrict flexibility when transitions depend on nonlinear and context-dependent effects. We replace this assumption with learned functions $f_0, f_1 \in \calH$, where $\calH$ is either a reproducing kernel Hilbert space or a spline approximation space, and define transition probabilities as $p_{jk,t} = \sigmoid(f(\bx_{t-1}))$. The transition functions are estimated jointly with emission parameters using a generalized Expectation-Maximization algorithm. The E-step uses the standard forward-backward recursion, while the M-step reduces to a penalized regression problem with weights from smoothed occupation measures. We establish identifiability conditions and provide a consistency argument for the resulting estimators. Experiments on synthetic data show improved recovery of nonlinear transition dynamics compared to parametric baselines. An empirical study on financial time series demonstrates improved regime classification and earlier detection of transition events.

Reinforcement learning algorithms assume that observations satisfy the Markov property, yet real-world sensors frequently violate this assumption through correlated noise, latency, or partial observability. Standard performance metrics conflate Markov breakdowns with other sources of suboptimality, leaving practitioners without diagnostic tools for such violations. This paper introduces a prediction-based scoring method that quantifies non-Markovian structure in observation trajectories. A random forest first removes nonlinear Markov-compliant dynamics; ridge regression then tests whether historical observations reduce prediction error on the residuals beyond what the current observation provides. The resulting score is bounded in [0, 1] and requires no causal graph construction. Evaluation spans six environments (CartPole, Pendulum, Acrobot, HalfCheetah, Hopper, Walker2d), three algorithms (PPO, A2C, SAC), controlled AR(1) noise at six intensity levels, and 10 seeds per condition. In post-hoc detection, 7 of 16 environment-algorithm pairs, primarily high-dimensional locomotion tasks, show significant positive monotonicity between noise intensity and the violation score (Spearman rho up to 0.78, confirmed under repeated-measures analysis); under training-time noise, 13 of 16 pairs exhibit statistically significant reward degradation. An inversion phenomenon is documented in low-dimensional environments where the random forest absorbs the noise signal, causing the score to decrease as true violations grow, a failure mode analyzed in detail. A practical utility experiment demonstrates that the proposed score correctly identifies partial observability and guides architecture selection, fully recovering performance lost to non-Markovian observations. Source code to reproduce all results is provided at https://github.com/NAVEENMN/Markovianes.

Conditional independence is central to modern statistics, but beyond special parametric families it rarely admits an exact covariance characterization. We introduce the binary expansion group intersection network (BEGIN), a distribution-free graphical representation for multivariate binary data and bit-encoded multinomial variables. For arbitrary binary random vectors and bit representations of multinomial variables, we prove that conditional independence is equivalent to a sparse linear representation of conditional expectations, to a block factorization of the corresponding interaction covariance matrix, and to block diagonality of an associated generalized Schur complement. The resulting graph is indexed by the intersection of multiplicative groups of binary interactions, yielding an analogue of Gaussian graphical modeling beyond the Gaussian setting. This viewpoint treats data bits as atoms and local BEGIN molecules as building blocks for large Markov random fields. We also show how dyadic bit representations allow BEGIN to approximate conditional independence for general random vectors under mild regularity conditions. A key technical device is the Hadamard prism, a linear map that links interaction covariances to group structure.

We propose SAHMM-VAE, a source-wise adaptive Hidden Markov prior variational autoencoder for unsupervised blind source separation. Instead of treating the latent prior as a single generic regularizer, the proposed framework assigns each latent dimension its own adaptive regime-switching prior, so that different latent dimensions are pulled toward different source-specific temporal organizations during training. Under this formulation, source separation is not implemented as an external post-processing step; it is embedded directly into variational learning itself. The encoder, decoder, posterior parameters, and source-wise prior parameters are optimized jointly, where the encoder progressively learns an inference map that behaves like an approximate inverse of the mixing transformation, while the decoder plays the role of the generative mixing model. Through this coupled optimization, the gradual alignment between posterior source trajectories and heterogeneous HMM priors becomes the mechanism through which different latent dimensions separate into different source components. To instantiate this idea, we develop three branches within one common framework: a Gaussian-emission HMM prior, a Markov-switching autoregressive HMM prior, and an HMM state-flow prior with state-wise autoregressive flow transformations. Experiments show that the proposed framework achieves unsupervised source recovery while also learning meaningful source-wise switching structures. More broadly, the method extends our structured-prior VAE line from smooth, mixture-based, and flow-based latent priors to adaptive switching priors, and provides a useful basis for future work on interpretable and potentially identifiable latent source modeling.

Detection of occult hemorrhage (i.e., internal bleeding) in patients in intensive care units (ICUs) can pose significant challenges for critical care workers. Because blood loss may not always be clinically apparent, clinicians rely on monitoring vital signs for specific trends indicative of a hemorrhage event. The inherent difficulties of diagnosing such an event can lead to late intervention by clinicians which has catastrophic consequences. Therefore, a methodology for early detection of hemorrhage has wide utility. We develop a Bayesian regime switching model (RSM) that analyzes trends in patients' vitals and labs to provide a probabilistic assessment of the underlying physiological state that a patient is in at any given time. This article is motivated by a comprehensive dataset we curated from Mayo Clinic of 33,924 real ICU patient encounters. Longitudinal response measurements are modeled as a vector autoregressive process conditional on all latent states up to the current time point, and the latent states follow a Markov process. We present a novel Bayesian sampling routine to learn the posterior probability distribution of the latent physiological states, as well as develop an approach to account for pre-ICU-admission physiological changes. A simulation and real case study illustrate the effectiveness of our approach.

Data assimilation algorithms estimate the state of a dynamical system from partial observations, where the successful performance of these algorithms hinges on costly parameter tuning and on employing an accurate model for the dynamics. This paper introduces a framework for jointly learning the state, dynamics, and parameters of filtering algorithms in data assimilation through a process we refer to as auto-differentiable filtering. The framework leverages a theoretically motivated loss function that enables learning from partial, noisy observations via gradient-based optimization using auto-differentiation. We further demonstrate how several well-known data assimilation methods can be learned or tuned within this framework. To underscore the versatility of auto-differentiable filtering, we perform experiments on dynamical systems spanning multiple scientific domains, such as the Clohessy-Wiltshire equations from aerospace engineering, the Lorenz-96 system from atmospheric science, and the generalized Lotka-Volterra equations from systems biology. Finally, we provide guidelines for practitioners to customize our framework according to their observation model, accuracy requirements, and computational budget.

Existing machine learning frameworks for compliance monitoring -- Markov Logic Networks, Probabilistic Soft Logic, supervised models -- share a fundamental paradigm: they treat observed data as ground truth and attempt to approximate rules from it. This assumption breaks down in rule-governed domains such as taxation or regulatory compliance, where authoritative rules are known a priori and the true challenge is to infer the latent state of rule activation, compliance, and parametric drift from partial and noisy observations. We propose Rule-State Inference (RSI), a Bayesian framework that inverts this paradigm by encoding regulatory rules as structured priors and casting compliance monitoring as posterior inference over a latent rule-state space S = {(a_i, c_i, delta_i)}, where a_i captures rule activation, c_i models the compliance rate, and delta_i quantifies parametric drift. We prove three theoretical guarantees: (T1) RSI absorbs regulatory changes in O(1) time via a prior ratio correction, independently of dataset size; (T2) the posterior is Bernstein-von Mises consistent, converging to the true rule state as observations accumulate; (T3) mean-field variational inference monotonically maximizes the Evidence Lower BOund (ELBO). We instantiate RSI on the Togolese fiscal system and introduce RSI-Togo-Fiscal-Synthetic v1.0, a benchmark of 2,000 synthetic enterprises grounded in real OTR regulatory rules (2022-2025). Without any labeled training data, RSI achieves F1=0.519 and AUC=0.599, while absorbing regulatory changes in under 1ms versus 683-1082ms for full model retraining -- at least a 600x speedup.

Neural Information Processing Systems http://nips.cc/

The correlation between events is ubiquitous and important for temporal events modelling. In many cases, the correlation exists between not only events' emitted observations, but also their arrival times. State space models (e.g., hidden Markov model) and stochastic interaction point process models (e.g., Hawkes process) have been studied extensively yet separately for the two types of correlations in the past. In this paper, we propose a Bayesian nonparametric approach that considers both types of correlations via unifying and generalizing the hidden semiMarkov model and interaction point process model. The proposed approach can simultaneously model both the observations and arrival times of temporal events, and automatically determine the number of latent states from data.

We study the problem of reconstructing a mixture of Markov chains from the trajectories generated by random walks through the state space. Under mild nondegeneracy conditions, we show that we can uniquely reconstruct the underlying chains by only considering trajectories of length three, which represent triples of states. Our algorithm is spectral in nature, and is easy to implement.