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Generalized linear models (GLMs) arguably represent the standard approach for statistical regression beyond the Gaussian likelihood scenario. When Bayesian formulations are employed, the general absence of a tractable posterior distribution…
Stochastic processes are a flexible and widely used family of models for statistical modeling. While stochastic processes offer attractive properties such as inclusion of uncertainty properties, their inference is typically intractable,…
The volatile nature of wind power generation creates challenges in achieving secure power grid operations. It is, therefore, necessary to make accurate wind power prediction and its uncertainty quantification. Wind power forecasting usually…
Latent Gaussian models (LGMs) are perhaps the most commonly used class of models in statistical applications. Nevertheless, in areas ranging from longitudinal studies in biostatistics to geostatistics, it is easy to find datasets that…
Short-term wind speed prediction is essential for economical wind power utilization. The real-world wind speed data is typically intermittent and fluctuating, presenting great challenges to existing shallow models. In this paper, we present…
We propose a combined model, which integrates the latent factor model and the logistic regression model, for the citation network. It is noticed that neither a latent factor model nor a logistic regression model alone is sufficient to…
Accurate mid-term (weeks to one year) hourly electricity load forecasts are essential for strategic decision-making in power plant operation, ensuring supply security and grid stability, planning and building energy storage systems, and…
Gaussian graphical model is one of the powerful tools to analyze conditional independence between two variables for multivariate Gaussian-distributed observations. When the dimension of data is moderate or high, penalized likelihood methods…
Probabilistic wind power forecasting approaches have significantly advanced in recent decades. However, forecasters often assume data completeness and overlook the challenge of missing values resulting from sensor failures, network…
We introduce graph gamma process (GGP) linear dynamical systems to model real-valued multivariate time series. For temporal pattern discovery, the latent representation under the model is used to decompose the time series into a…
The increasing interest in renewable energy, particularly in wind, has given rise to the necessity of accurate models for the generation of good synthetic wind speed data. Markov chains are often used with this purpose but better models are…
We address the problem of prediction for extreme observations by proposing an extremal linear prediction method. We construct an inner product space of nonnegative random variables derived from transformed-linear combinations of independent…
Bayesian modelling of dynamic systems must achieve a compromise between providing a complete mechanistic specification of the process while retaining the flexibility to handle those situations in which data is sparse relative to model…
This work extends the Integrated Nested Laplace Approximation (INLA) method to latent models outside the scope of latent Gaussian models, where independent components of the latent field can have a near-Gaussian distribution. The proposed…
In this paper we develop inference for high dimensional linear models, with serially correlated errors. We examine Lasso under the assumption of strong mixing in the covariates and error process, allowing for fatter tails in their…
Ensembles of forecasts are obtained from multiple runs of numerical weather forecasting models with different initial conditions and typically employed to account for forecast uncertainties. However, biases and dispersion errors often occur…
In settings ranging from weather forecasts to political prognostications to financial projections, probability estimates of future binary outcomes often evolve over time. For example, the estimated likelihood of rain on a specific day…
Many theoretical results for the lasso require the samples to be iid. Recent work has provided guarantees for the lasso assuming that the time series is generated by a sparse Vector Auto-Regressive (VAR) model with Gaussian innovations.…
Accurate wind speed and direction forecasting is paramount across many sectors, spanning agriculture, renewable energy generation, and bushfire management. However, conventional forecasting models encounter significant challenges in…
Accurate prediction of wind ramp events is critical for ensuring the reliability and stability of the power systems with high penetration of wind energy. This paper proposes a classification based approach for estimating the future class of…