Related papers: Gaussian Process Models for Mortality Rates and Im…

Multi-output regression models must exploit dependencies between outputs to maximise predictive performance. The application of Gaussian processes (GPs) to this setting typically yields models that are computationally demanding and have…

The accurate prediction of time-changing variances is an important task in the modeling of financial data. Standard econometric models are often limited as they assume rigid functional relationships for the variances. Moreover, function…

Geostatistics is a branch of statistics concerned with stochastic processes over continuous domains, with Gaussian processes (GPs) providing a flexible and principled modelling framework. However, the high computational cost of simulating…

In this work, we propose a novel framework for large-scale Gaussian process (GP) modeling. Contrary to the global, and local approximations proposed in the literature to address the computational bottleneck with exact GP modeling, we employ…

Gaussian processes (GPs) furnish accurate nonlinear predictions with well-calibrated uncertainty. However, the typical GP setup has a built-in stationarity assumption, making it ill-suited for modeling data from processes with sudden…

Mechanistic simulation models are inverted against observations in order to gain inference on modeled processes. However, with the increasing ability to collect high resolution observations, these observations represent more patterns of…

Continuous-time state estimation is gaining in popularity due to its abilities to provide smooth solutions, handle asynchronous sensors, and interpolate between data points. While there are two main paradigms, parametric (e.g., temporal…

Conditional density estimation is complicated by multimodality, heteroscedasticity, and strong non-Gaussianity. Gaussian processes (GPs) provide a principled nonparametric framework with calibrated uncertainty, but standard GP regression is…

We develop a non-parametric multivariate time series model that remains agnostic on the precise relationship between a (possibly) large set of macroeconomic time series and their lagged values. The main building block of our model is a…

The Gaussian process (GP) model, which has been extensively applied as priors of functions, has demonstrated excellent performance. The specification of a large number of parameters affects the computational efficiency and the feasibility…

This paper considers a stochastic control framework, in which the residual model uncertainty of the dynamical system is learned using a Gaussian Process (GP). In the proposed formulation, the residual model uncertainty consists of a…

As a non-parametric Bayesian model which produces informative predictive distribution, Gaussian process (GP) has been widely used in various fields, like regression, classification and optimization. The cubic complexity of standard GP…

Forecasts of mortality provide vital information about future populations, with implications for pension and health-care policy as well as for decisions made by private companies about life insurance and annuity pricing. Stochastic…

The development of statistical approaches for the joint modelling of the temporal changes of imaging, biochemical, and clinical biomarkers is of paramount importance for improving the understanding of neurodegenerative disorders, and for…

The COVID-19 pandemic has caused severe public health consequences in the United States. In this study, we use a hierarchical Bayesian model to estimate the age-specific COVID-19 attributable deaths over time in the United States. The model…

Gaussian process are a widely-used statistical tool for conducting non-parametric inference in applied sciences, with many computational packages available to fit to data and predict future observations. We study the use of the Greta…

Due to the increasing complexity of technical systems, accurate first principle models can often not be obtained. Supervised machine learning can mitigate this issue by inferring models from measurement data. Gaussian process regression is…

The Gaussian process (GP) is a Bayesian nonparametric paradigm that is widely adopted for uncertainty quantification (UQ) in a number of safety-critical applications, including robotics, healthcare, as well as surveillance. The consistency…

Gaussian Processes (GPs) are powerful non-parametric Bayesian regression models that allow exact posterior inference, but exhibit high computational and memory costs. In order to improve scalability of GPs, approximate posterior inference…

The Gaussian process (GP) is a popular statistical technique for stochastic function approximation and uncertainty quantification from data. GPs have been adopted into the realm of machine learning in the last two decades because of their…