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Many natural systems, such as neurons firing in the brain or basketball teams traversing a court, give rise to time series data with complex, nonlinear dynamics. We can gain insight into these systems by decomposing the data into segments…
We present a non-parametric Bayesian latent variable model capable of learning dependency structures across dimensions in a multivariate setting. Our approach is based on flexible Gaussian process priors for the generative mappings and…
Spike-and-slab and horseshoe regression are arguably the most popular Bayesian variable selection approaches for linear regression models. However, their performance can deteriorate if outliers and heteroskedasticity are present in the…
We present a method that models the evolution of an unbounded number of time series clusters by switching among an unknown number of regimes with linear dynamics. We develop a Bayesian non-parametric approach using a hierarchical Dirichlet…
A nonparametric Bayesian sparse graph linear dynamical system (SGLDS) is proposed to model sequentially observed multivariate data. SGLDS uses the Bernoulli-Poisson link together with a gamma process to generate an infinite dimensional…
System identification of complex and nonlinear systems is a central problem for model predictive control and model-based reinforcement learning. Despite their complexity, such systems can often be approximated well by a set of linear…
L\'evy processes, known for their ability to model complex dynamics with skewness, heavy tails and discontinuities, play a critical role in stochastic modeling across various domains. However, inference for most L\'evy processes, whether in…
Bayesian non-parametric methods based on Dirichlet process mixtures have seen tremendous success in various domains and are appealing in being able to borrow information by clustering samples that share identical parameters. However, such…
The evolution of communities in dynamic (time-varying) network data is a prominent topic of interest. A popular approach to understanding these dynamic networks is to embed the dyadic relations into a latent metric space. While methods for…
Analysis of heterogeneous patterns in complex spatio-temporal data finds usage across various domains in applied science and engineering, including training autonomous vehicles to navigate in complex traffic scenarios. Motivated by…
In this paper we propose a new methodology for solving a discrete time stochastic Markovian control problem under model uncertainty. By utilizing the Dirichlet process, we model the unknown distribution of the underlying stochastic process…
Using Kalman techniques, it is possible to perform optimal estimation in linear Gaussian state-space models. We address here the case where the noise probability density functions are of unknown functional form. A flexible Bayesian…
The shocks which hit macroeconomic models such as Vector Autoregressions (VARs) have the potential to be non-Gaussian, exhibiting asymmetries and fat tails. This consideration motivates the VAR developed in this paper which uses a Dirichlet…
Bayesian models based on the Dirichlet process and other stick-breaking priors have been proposed as core ingredients for clustering, topic modeling, and other unsupervised learning tasks. Prior specification is, however, relatively…
Understanding how the collective activity of neural populations relates to computation and ultimately behavior is a key goal in neuroscience. To this end, statistical methods which describe high-dimensional neural time series in terms of…
We develop a Bayesian nonparametric autoregressive model applied to flexibly estimate general transition densities exhibiting nonlinear lag dependence. Our approach is related to Bayesian density regression using Dirichlet process mixtures,…
In this work, we introduce a generalized framework for multiscale state-space modeling that incorporates nested nonlinear dynamics, with a specific focus on Bayesian learning under switching regimes. Our framework captures the complex…
We propose a method for learning dynamical systems from high-dimensional empirical data that combines variational autoencoders and (spatio-)temporal attention within a framework designed to enforce certain scientifically-motivated…
One of the challenges in model-based control of stochastic dynamical systems is that the state transition dynamics are involved, and it is not easy or efficient to make good-quality predictions of the states. Moreover, there are not many…
Bayesian models based on the Dirichlet process and other stick-breaking priors have been proposed as core ingredients for clustering, topic modeling, and other unsupervised learning tasks. However, due to the flexibility of these models,…