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From a wavelet analysis, one derives a nonparametrical estimator for the spectral density of a Gaussian process with stationary increments. First, the idealistic case of a continuous time path of the process is considered. A punctual…
This paper addresses the problem of estimating the modes of an observed non-stationary mixture signal in the presence of an arbitrary distributed noise. A novel Bayesian model is introduced to estimate the model parameters from the…
In this paper, we provide a multiscale perspective on the problem of maximum marginal likelihood estimation. We consider and analyse a diffusion-based maximum marginal likelihood estimation scheme using ideas from multiscale dynamics. Our…
The analysis of gravitational wave interferometer data requires estimates for the noise covariance matrix. For stationary noise, this amounts to estimating the power spectrum. Classical methods such as Welch averaging are used in many…
Variational Bayes (VB) has been used to facilitate the calculation of the posterior distribution in the context of Bayesian inference of the parameters of nonlinear models from data. Previously an analytical formulation of VB has been…
This letter proposes a novel and highly efficient distribution system state estimation (DSSE) algorithm with nonlinear measurements from supervisory control and data acquisition (SCADA) systems. Conventional DSSE, i.e., a weighted least…
Linear mixed effects models are widely used in statistical modelling. We consider a mixed effects model with Bayesian variable selection in the random effects using spike-and-slab priors and developed a variational Bayes inference scheme…
We investigate solution methods for large-scale inverse problems governed by partial differential equations (PDEs) via Bayesian inference. The Bayesian framework provides a statistical setting to infer uncertain parameters from noisy…
Ordinary differential equations (ODEs) are used to model dynamic systems appearing in engineering, physics, biomedical sciences and many other fields. These equations contain unknown parameters, say $\bm\theta$ of physical significance…
Accurate density estimation methodologies play an integral role in a variety of scientific disciplines, with applications including simulation models, decision support tools, and exploratory data analysis. In the past, histograms and kernel…
Using a Bayesian approach, we consider the problem of recovering sparse signals under additive sparse and dense noise. Typically, sparse noise models outliers, impulse bursts or data loss. To handle sparse noise, existing methods…
This paper concerns the problem of estimating multidimensional (MD) frequencies using prior knowledge of the signal spectral sparsity from partial time samples. In many applications, such as radar, wireless communications, and…
Frequency Modulated Continuous Wave (FMCW) radar has been widely applied in automotive anti-collision systems, automatic cruise control, and indoor monitoring. However, conventional analog-to-digital converters (ADCs) can suffer from…
This paper presents a new Bayesian spectral unmixing algorithm to analyse remote scenes sensed via sparse multispectral Lidar measurements. To a first approximation, in the presence of a target, each Lidar waveform consists of a main peak,…
Variational Bayes (VB) has become a widely-used tool for Bayesian inference in statistics and machine learning. Nonetheless, the development of the existing VB algorithms is so far generally restricted to the case where the variational…
In this technical note, we deal with a spectrum approximation problem arising in THREE-like multivariate spectral estimation approaches. The solution to the problem minimizes a suitable divergence index with respect to an a priori spectral…
Ordinary differential equations (ODEs) are used to model dynamic systems appearing in engineering, physics, biomedical sciences and many other fields. These equations contain unknown parameters, say $\theta$ of physical significance which…
Multidimensional Scaling (MDS) is a classic technique that seeks vectorial representations for data points, given the pairwise distances between them. However, in recent years, data are usually collected from diverse sources or have…
In this paper we propose a wavelet-based methodology for estimation and variable selection in partially linear models. The inference is conducted in the wavelet domain, which provides a sparse and localized decomposition appropriate for…
Deep neural networks have achieved impressive results on a wide variety of tasks. However, quantifying uncertainty in the network's output is a challenging task. Bayesian models offer a mathematical framework to reason about model…