Related papers: Nonstationary, Nonparametric, Nonseparable Bayesia…
Dependent nonparametric processes extend distributions over measures, such as the Dirichlet process and the beta process, to give distributions over collections of measures, typically indexed by values in some covariate space. Such models…
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…
In this paper we consider the problem of dynamic clustering, where cluster memberships may change over time and clusters may split and merge over time, thus creating new clusters and destroying existing ones. We propose a Bayesian…
In this publication, we combine two Bayesian non-parametric models: the Gaussian Process (GP) and the Dirichlet Process (DP). Our innovation in the GP model is to introduce a variation on the GP prior which enables us to model structured…
Probabilistic modeling of multidimensional spatiotemporal data is critical to many real-world applications. As real-world spatiotemporal data often exhibits complex dependencies that are nonstationary and nonseparable, developing effective…
We observe $n$ sequences at each of $m$ sites, and assume that they have evolved from an ancestral sequence that forms the root of a binary tree of known topology and branch lengths, but the sequence states at internal nodes are unknown.…
As a regression technique in spatial statistics, the spatiotemporally varying coefficient model (STVC) is an important tool for discovering nonstationary and interpretable response-covariate associations over both space and time. However,…
Discrimination between non-stationarity and long-range dependency is a difficult and long-standing issue in modelling financial time series. This paper uses an adaptive spectral technique which jointly models the non-stationarity and…
Inverse problems and, in particular, inferring unknown or latent parameters from data are ubiquitous in engineering simulations. A predominant viewpoint in identifying unknown parameters is Bayesian inference where both prior information…
We introduce a methodology for nonlinear inverse problems using a variational Bayesian approach where the unknown quantity is a spatial field. A structured Bayesian Gaussian process latent variable model is used both to construct a…
State space models are well-known for their versatility in modeling dynamic systems that arise in various scientific disciplines. Although parametric state space models are well studied, nonparametric approaches are much less explored in…
In the present paper we consider the problem of Laplace deconvolution with noisy discrete non-equally spaced observations on a finite time interval. We propose a new method for Laplace deconvolution which is based on expansions of the…
The proposal and study of dependent prior processes has been a major research focus in the recent Bayesian nonparametric literature. In this paper, we introduce a flexible class of dependent nonparametric priors, investigate their…
Noncolliding Brownian motion (Dyson's Brownian motion model with parameter $\beta=2$) and noncolliding Bessel processes are determinantal processes; that is, their space-time correlation functions are represented by determinants. Under a…
Surrogate models have shown to be an extremely efficient aid in solving engineering problems that require repeated evaluations of an expensive computational model. They are built by sparsely evaluating the costly original model and have…
Predictive linear and nonlinear models based on kernel machines or deep neural networks have been used to discover dependencies among time series. This paper proposes an efficient nonlinear modeling approach for multiple time series, with a…
We propose a Bayesian nonparametric mixture model for the reconstruction and prediction from observed time series data, of discretized stochastic dynamical systems, based on Markov Chain Monte Carlo methods (MCMC). Our results can be used…
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…
We propose a novel approach for change-point detection and parameter learning in multivariate non-stationary time series exhibiting oscillatory behaviour. We approximate the process through a piecewise function defined by a sum of…
Nonlinear differential equations (DEs) are used in a wide range of scientific problems to model complex dynamic systems. The differential equations often contain unknown parameters that are of scientific interest, which have to be estimated…