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Accurately representing surface weather at the sub-kilometer scale is crucial for optimal decision-making in a wide range of applications. This motivates the use of statistical techniques to provide accurate and calibrated probabilistic…
Large-scale Gaussian process inference has long faced practical challenges due to time and space complexity that is superlinear in dataset size. While sparse variational Gaussian process models are capable of learning from large-scale data,…
We introduce a point process regression model that is applicable to price models and limit order book models. Hawkes type autoregression in the intensity process is generalized to a stochastic regression to covariate processes. We establish…
Structured point process data harvested from various platforms poses new challenges to the machine learning community. By imposing a matrix structure to repeatedly observed marked point processes, we propose a novel mixture model of…
Gaussian processes are powerful, yet analytically tractable models for supervised learning. A Gaussian process is characterized by a mean function and a covariance function (kernel), which are determined by a model selection criterion. The…
State-space models are commonly used to describe different forms of ecological data. We consider the case of count data with observation errors. For such data the system process is typically multi-dimensional consisting of coupled Markov…
Datasets in the fields of climate and environment are often very large and irregularly spaced. To model such datasets, the widely used Gaussian process models in spatial statis- tics face tremendous challenges due to the prohibitive…
In order to scale standard Gaussian process (GP) regression to large-scale datasets, aggregation models employ factorized training process and then combine predictions from distributed experts. The state-of-the-art aggregation models,…
Stochastic processes offer a flexible mathematical formalism to model and reason about systems. Most analysis tools, however, start from the premises that models are fully specified, so that any parameters controlling the system's dynamics…
A new multivariate integer-valued Generalized AutoRegressive Conditional Heteroscedastic process based on a multivariate Poisson generalized inverse Gaussian distribution is proposed. The estimation of parameters of the proposed…
Gaussian process (GP) models have received increasing attention in recent years due to their superb prediction accuracy and modeling flexibility. To address the computational burdens of GP models for large-scale datasets, distributed…
Max-stable random fields play a central role in modeling extreme value phenomena. We obtain an explicit formula for the conditional probability in general max-linear models, which include a large class of max-stable random fields. As a…
Complex-valued Gaussian processes are used in Bayesian frequency-domain system identification as prior models for regression. If each realization of such a process were an $H_\infty$ function with probability one, then the same model could…
We provide a simple method to estimate the parameters of multivariate stochastic volatility models with latent factor structures. These models are very useful as they alleviate the standard curse of dimensionality, allowing the number of…
Gaussian Processes face two primary challenges: constructing models for large datasets and selecting the optimal model. This master's thesis tackles these challenges in the low-dimensional case. We examine recent convergence results to…
We propose a practical and scalable Gaussian process model for large-scale nonlinear probabilistic regression. Our mixture-of-experts model is conceptually simple and hierarchically recombines computations for an overall approximation of a…
A recent novel extension of multi-output Gaussian processes handles heterogeneous outputs assuming that each output has its own likelihood function. It uses a vector-valued Gaussian process prior to jointly model all likelihoods' parameters…
Standard Gaussian Process (GP) regression, a powerful machine learning tool, is computationally expensive when it is applied to large datasets, and potentially inaccurate when data points are sparsely distributed in a high-dimensional…
Due to complex physical phenomena, the distribution of heavy rainfall events is difficult to model spatially. Physically based numerical models can often provide physically coherent spatial patterns, but may miss some important…
Searching for accurate Machine and Deep Learning models is a computationally expensive and awfully energivorous process. A strategy which has been gaining recently importance to drastically reduce computational time and energy consumed is…