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Dirichlet-to-Neumann maps enable the coupling of multiphysics simulations across computational subdomains by ensuring continuity of state variables and fluxes at artificial interfaces. We present a novel method for learning…
This paper proposes a novel exact maximum likelihood (ML) estimation method for general Gaussian processes, where all parameters are estimated jointly. The exact ML estimator (MLE) is consistent and asymptotically normally distributed. We…
Generating large-scale samples of stationary random fields is of great importance in the fields such as geomaterial modeling and uncertainty quantification. Traditional methodologies based on covariance matrix decomposition have the…
In this paper we propose a new optimization model for maximum likelihood estimation of causal and invertible ARMA models. Through a set of numerical experiments we show how our proposed model outperforms, both in terms of quality of the…
We study the application of graph random features (GRFs) - a recently introduced stochastic estimator of graph node kernels - to scalable Gaussian processes on discrete input spaces. We prove that (under mild assumptions) Bayesian inference…
The seminal papers of Pickands [1,2] paved the way for a systematic study of high exceedance probabilities of both stationary and non-stationary Gaussian processes. Yet, in the vector-valued setting, due to the lack of key tools including…
Several methods have been recently proposed for estimating sparse Gaussian graphical models using $\ell_{1}$ regularization on the inverse covariance matrix. Despite recent advances, contemporary applications require methods that are even…
In this paper, we study the asymptotic relation between the maximum of acontinuous order statistics process formed by stationary Gaussian processesand the maximum of this process sampled at discrete time points. It is shown that, these two…
We consider the problem of parameter estimation in a high-dimensional generalized linear model. Spectral methods obtained via the principal eigenvector of a suitable data-dependent matrix provide a simple yet surprisingly effective…
Fractionally integrated autoregressive moving average (FIARMA) processes have been widely and successfully used to model and predict univariate time series exhibiting long range dependence. Vector and functional extensions of these…
We construct invariant differential operators acting on sections of vector bundles of densities over a smooth manifold without using a Riemannian metric. The spectral invariants of such operators are invariant under both the diffeomorphisms…
Variational methods for parameter estimation are an active research area, potentially offering computationally tractable heuristics with theoretical performance bounds. We build on recent work that applies such methods to network data, and…
We analyze Gaussian analytic functions (GAFs) defined as power series with coefficients modeled by discrete stationary Gaussian processes, utilizing their spectral measures. We revisit some limit theorems for random analytic functions and…
We establish uniform pointwise estimates for the densities of a family of $\alpha$-stable processes with respect to the index $\alpha \in [\alpha_0,2]$ for some $\alpha_0>0$. In addition, we estimate the difference between the heat kernels…
Gaussian processes (GPs) are widely used as distributions of random effects in linear mixed models, which are fit using the restricted likelihood or the closely-related Bayesian analysis. This article addresses two problems. First, we…
We study the asymptotic behaviour of needlets-based approximate maximum likelihood estimators for the spectral parameters of Gaussian and isotropic spherical random fields. We prove consistency and asymptotic Gaussianity, in the…
Maximum likelihood estimators for time-dependent mean functions within Gaussian processes are provided in the context of continuous observations. We find the widest possible class of mean functions for which the likelihood function can be…
We propose a class of estimators for the parameters of a GARCH(p,q) sequence. We show that our estimators are consistent and asymptotically normal under mild conditions. The quasi-maximum likelihood and the likelihood estimators are…
We introduce a general framework for undirected graphical models. It generalizes Gaussian graphical models to a wide range of continuous, discrete, and combinations of different types of data. The models in the framework, called exponential…
Covariance parameter estimation of Gaussian processes is analyzed in an asymptotic framework. The spatial sampling is a randomly perturbed regular grid and its deviation from the perfect regular grid is controlled by a single scalar…