Title: Poisson--Gamma Dynamical Systems,
Abstract: We introduce a new dynamical system for sequentially observed multivariate
count data. This model is based on the gamma--Poisson construction---a natural
choice for count data---and relies on a novel Bayesian nonparametric prior that
ties and shrinks the model parameters, thus avoiding overfitting. We present an
efficient MCMC inference algorithm that advances recent work on augmentation
schemes for inference in negative binomial models. Finally, we demonstrate the
model's inductive bias using a variety of real-world data sets, showing that it
exhibits superior predictive performance over other models and infers highly
interpretable latent structure.