Markov Switching

Markov switching models are a popular family of models that introduces time-variation in the parameters in the form of their state- or regime-specific values. Importantly, this time-variation is governed by a discrete-valued latent stochastic process with limited memory. More specifically, the current value of the state indicator is determined only by the value of the state indicator from the previous period, thus the Markov property, and the transition matrix. The latter characterizes the properties of the Markov process by determining with what probability each of the states can be visited next period, given the state in the current period. This setup decides on the two main advantages of the Markov switching models. Namely, the estimation of the probability of state occurrences in each of the sample periods by using filtering and smoothing methods and the estimation of the state-specific parameters. These two features open the possibility for improved interpretations of the parameters associated with specific regimes combined with the corresponding regime probabilities, as well as for improved forecasting performance based on persistent regimes and parameters characterizing them.Comment: Keywords: Transition Probabilities, Exogenous Markov Switching, Infinite Hidden Markov Model, Endogenous Markov Switching, Markov Process, Finite Mixture Model, Change-point Model, Non-homogeneous Markov Switching, Time Series Analysis, Business Cycle Analysi

Markov Switching

Markov switching models are a popular family of models that introduces time-variation in the parameters in the form of their state- or regime-specific values. Importantly, this time-variation is governed by a discrete-valued latent stochastic process with limited memory. More specifically, the current value of the state indicator is determined only by the value of the state indicator from the previous period, thus the Markov property, and the transition matrix. The latter characterizes the properties of the Markov process by determining with what probability each of the states can be visited next period, given the state in the current period. This setup decides on the two main advantages of the Markov switching models. Namely, the estimation of the probability of state occurrences in each of the sample periods by using filtering and smoothing methods and the estimation of the state-specific parameters. These two features open the possibility for improved interpretations of the parameters associated with specific regimes combined with the corresponding regime probabilities, as well as for improved forecasting performance based on persistent regimes and parameters characterizing them.Comment: Keywords: Transition Probabilities, Exogenous Markov Switching, Infinite Hidden Markov Model, Endogenous Markov Switching, Markov Process, Finite Mixture Model, Change-point Model, Non-homogeneous Markov Switching, Time Series Analysis, Business Cycle Analysi

Automatic transcription of polyphonic music exploiting temporal evolution

PhDAutomatic music transcription is the process of converting an audio recording into a symbolic representation using musical notation. It has numerous applications in music information retrieval, computational musicology, and the creation of interactive systems. Even for expert musicians, transcribing polyphonic pieces of music is not a trivial task, and while the problem of automatic pitch estimation for monophonic signals is considered to be solved, the creation of an automated system able to transcribe polyphonic music without setting restrictions on the degree of polyphony and the instrument type still remains open. In this thesis, research on automatic transcription is performed by explicitly incorporating information on the temporal evolution of sounds. First efforts address the problem by focusing on signal processing techniques and by proposing audio features utilising temporal characteristics. Techniques for note onset and offset detection are also utilised for improving transcription performance. Subsequent approaches propose transcription models based on shift-invariant probabilistic latent component analysis (SI-PLCA), modeling the temporal evolution of notes in a multiple-instrument case and supporting frequency modulations in produced notes. Datasets and annotations for transcription research have also been created during this work. Proposed systems have been privately as well as publicly evaluated within the Music Information Retrieval Evaluation eXchange (MIREX) framework. Proposed systems have been shown to outperform several state-of-the-art transcription approaches. Developed techniques have also been employed for other tasks related to music technology, such as for key modulation detection, temperament estimation, and automatic piano tutoring. Finally, proposed music transcription models have also been utilized in a wider context, namely for modeling acoustic scenes

ベイズ法によるマイクロフォンアレイ処理

京都大学0048新制・課程博士博士(情報学)甲第18412号情博第527号新制||情||93(附属図書館)31270京都大学大学院情報学研究科知能情報学専攻(主査)教授 奥乃 博, 教授 河原 達也, 准教授 CUTURI CAMETO Marco, 講師 吉井 和佳学位規則第4条第1項該当Doctor of InformaticsKyoto UniversityDFA

Applying source separation to music

International audienceSeparation of existing audio into remixable elements is very useful to repurpose music audio. Applications include upmixing video soundtracks to surround sound (e.g. home theater 5.1 systems), facilitating music transcriptions, allowing better mashups and remixes for disk jockeys, and rebalancing sound levels on multiple instruments or voices recorded simultaneously to a single track. In this chapter, we provide an overview of the algorithms and approaches designed to address the challenges and opportunities in music. Where applicable, we also introduce commonalities and links to source separation for video soundtracks, since many musical scenarios involve video soundtracks (e.g. YouTube recordings of live concerts, movie sound tracks). While space prohibits describing every method in detail, we include detail on representative music‐specific algorithms and approaches not covered in other chapters. The intent is to give the reader a high‐level understanding of the workings of key exemplars of the source separation approaches applied in this domain

Non-Negative Group Sparsity with Subspace Note Modelling for Polyphonic Transcription

This work was supported by EPSRC Platform Grant EPSRC EP/K009559/1, EPSRC Grant EP/L027119/1, and EPSRC Grant EP/J010375/1