  Despite the recent popularity of deep generative state space models, few
comparisons have been made between network architectures and the inference
steps of the Bayesian filtering framework -- with most models simultaneously
approximating both state transition and update steps with a single recurrent
neural network (RNN). In this paper, we introduce the Recurrent Neural Filter
(RNF), a novel recurrent autoencoder architecture that learns distinct
representations for each Bayesian filtering step, captured by a series of
encoders and decoders. Testing this on three real-world time series datasets,
we demonstrate that the decoupled representations learnt not only improve the
accuracy of one-step-ahead forecasts while providing realistic uncertainty
estimates, but also facilitate multistep prediction through the separation of
encoder stages.
