A hierarchical Bayesian framework is introduced for developing rich mixture models for real-valued time series, partly motivated by important applications in financial time series analysis. At the top level, meaningful discrete states are identified as appropriately quantised values of some of the most recent samples. These observable states are described as a discrete context-tree model. At the bottom level, a different, arbitrary model for real-valued time series -- a base model -- is associated with each state. This defines a very general framework that can be used in conjunction with any existing model class to build flexible and interpretable mixture models. We call this the Bayesian Context Trees State Space Model, or the BCT-X framework. Efficient algorithms are introduced that allow for effective, exact Bayesian inference and learning in this setting; in particular, the maximum a posteriori probability (MAP) context-tree model can be identified. These algorithms can be updated sequentially, facilitating efficient online forecasting. The utility of the general framework is illustrated in two particular instances: When autoregressive (AR) models are used as base models, resulting in a nonlinear AR mixture model, and when conditional heteroscedastic (ARCH) models are used, resulting in a mixture model that offers a powerful and systematic way of modelling the well-known volatility asymmetries in financial data. In forecasting, the BCT-X methods are found to outperform state-of-the-art techniques on simulated and real-world data, both in terms of accuracy and computational requirements. In modelling, the BCT-X structure finds natural structure present in the data. In particular, the BCT-ARCH model reveals a novel, important feature of stock market index data, in the form of an enhanced leverage effect.

This paper presents a statistical method for use in music transcription that can estimate score times of note onsets and offsets from polyphonic MIDI performance signals. Because performed note durations can deviate largely from score-indicated values, previous methods had the problem of not being able to accurately estimate offset score times (or note values) and thus could only output incomplete musical scores. Based on observations that the pitch context and onset score times are influential on the configuration of note values, we construct a context-tree model that provides prior distributions of note values using these features and combine it with a performance model in the framework of Markov random fields. Evaluation results show that our method reduces the average error rate by around 40 percent compared to existing/simple methods. We also confirmed that, in our model, the score model plays a more important role than the performance model, and it automatically captures the voice structure by unsupervised learning.