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This research proposes a flexible Bayesian extension of the composite Gaussian process (CGP) model of Ba and Joseph (2012) for predicting (stationary or) non-stationary $y(\mathbf{x})$. The CGP generalizes the regression plus stationary…

Meta-analysis is widely used to integrate results from multiple experiments to obtain generalized insights. Since meta-analysis datasets are often heteroscedastic due to varying subgroups and temporal heterogeneity arising from experiments…

This paper considers the problem of estimating a periodic function in a continuous time regression model with an additive stationary gaussian noise having unknown correlation function. A general model selection procedure on the basis of…

Particle physics experiments such as those run in the Large Hadron Collider result in huge quantities of data, which are boiled down to a few numbers from which it is hoped that a signal will be detected. We discuss a simple probability…

We formulate a discrete-time Bayesian stochastic volatility model for high-frequency stock-market data that directly accounts for microstructure noise, and outline a Markov chain Monte Carlo algorithm for parameter estimation. The methods…

The analysis of photometric time series in the context of transiting planet surveys suffers from the presence of stellar signals, often dubbed "stellar noise". These signals, caused by stellar oscillations and granulation, can usually be…

This paper develops asymptotic theory for estimation of parameters in regression models for binomial response time series where serial dependence is present through a latent process. Use of generalized linear model (GLM) estimating…

Spatiotemporal data consisting of timestamps, GPS coordinates, and IDs occurs in many settings. Modeling approaches for this type of data must address challenges in terms of sensor noise, uneven sampling rates, and non-persistent IDs. In…

A new Bayesian software package for the analysis of pulsar timing data is presented in the form of TempoNest which allows for the robust determination of the non-linear pulsar timing solution simultaneously with a range of additional…

The discovery of Partial Differential Equations (PDEs) is an essential task for applied science and engineering. However, data-driven discovery of PDEs is generally challenging, primarily stemming from the sensitivity of the discovered…

Stochastic gradient methods enable learning probabilistic models from large amounts of data. While large step-sizes (learning rates) have shown to be best for least-squares (e.g., Gaussian noise) once combined with parameter averaging,…

Bayesian statistical inference for Generalized Linear Models (GLMs) with parameters lying on a constrained space is of general interest (e.g., in monotonic or convex regression), but often constructing valid prior distributions supported on…

The Large Synoptic Survey Telescope (LSST) will produce an unprecedented amount of light curves using six optical bands. Robust and efficient methods that can aggregate data from multidimensional sparsely-sampled time series are needed. In…

For a Bayesian, real-time forecasting with the posterior predictive distribution can be challenging for a variety of time series models. First, estimating the parameters of a time series model can be difficult with sample-based approaches…

Estimating boundary curves has many applications such as economics, climate science, and medicine. Bayesian trend filtering has been developed as one of locally adaptive smoothing methods to estimate the non-stationary trend of data. This…

Stochastic Gradient Langevin Dynamics (SGLD) is a sampling scheme for Bayesian modeling adapted to large datasets and models. SGLD relies on the injection of Gaussian Noise at each step of a Stochastic Gradient Descent (SGD) update. In this…

Unnormalized (or energy-based) models provide a flexible framework for capturing the characteristics of data with complex dependency structures. However, the application of standard Bayesian inference methods has been severely limited…

In a previous paper (gr-qc/0105100) we derived a set of near-optimal signal detection techniques for gravitational wave detectors whose noise probability distributions contain non-Gaussian tails. The methods modify standard methods by…

As the hunt for an Earth-like exoplanets has intensified in recent years, so has the effort to characterise and model the stellar signals that can hide or mimic small planetary signals. Stellar variability arises from a number of sources,…

Despite extensive research, time series classification and forecasting on noisy data remain highly challenging. The main difficulties lie in finding suitable mathematical concepts to describe time series and effectively separate noise from…