Related papers: A Monte Carlo EM Algorithm for the Parameter Estim…

This paper introduces the Neural Network for Nonlinear Hawkes processes (NNNH), a non-parametric method based on neural networks to fit nonlinear Hawkes processes. Our method is suitable for analyzing large datasets in which events exhibit…

For big data analysis, high computational cost for Bayesian methods often limits their applications in practice. In recent years, there have been many attempts to improve computational efficiency of Bayesian inference. Here we propose an…

Bayesian max-margin models have shown superiority in various practical applications, such as text categorization, collaborative prediction, social network link prediction and crowdsourcing, and they conjoin the flexibility of Bayesian…

We introduce a new Markov Chain Monte Carlo (MCMC) algorithm with parallel tempering for fitting theoretical models of horizon-scale images of black holes to the interferometric data from the Event Horizon Telescope (EHT). The algorithm…

Classic estimation methods for Hawkes processes rely on the assumption that observed event times are indeed a realisation of a Hawkes process, without considering any potential perturbation of the model. However, in practice, observations…

Self-exciting Hawkes processes are used to model events which cluster in time and space, and have been widely studied in seismology under the name of the Epidemic Type Aftershock Sequence (ETAS) model. In the ETAS framework, the occurrence…

We introduce a variant of the Hybrid Monte Carlo (HMC) algorithm to address large-deviation statistics in stochastic hydrodynamics. Based on the path-integral approach to stochastic (partial) differential equations, our HMC algorithm…

Expectation-Maximization (EM) algorithm is a widely used iterative algorithm for computing (local) maximum likelihood estimate (MLE). It can be used in an extensive range of problems, including the clustering of data based on the Gaussian…

Inspired by the latest developments in multilevel Monte Carlo (MLMC) methods and randomised sketching for linear algebra problems we propose a MLMC estimator for real-time processing of matrix structured random data. Our algorithm is…

We discuss Hamiltonian Monte Carlo (HMC) and event-chain Monte Carlo (ECMC) for the one-dimensional chain of particles with harmonic interactions and benchmark them against local reversible Metropolis algorithms. While HMC achieves…

Interval-censored data solely records the aggregated counts of events during specific time intervals - such as the number of patients admitted to the hospital or the volume of vehicles passing traffic loop detectors - and not the exact…

Marked Temporal Point Processes (MTPPs) arise naturally in medical, social, commercial, and financial domains. However, existing Transformer-based methods mostly inject temporal information only via positional encodings, relying on shared…

Monte Carlo algorithms, such as Markov chain Monte Carlo (MCMC) and Hamiltonian Monte Carlo (HMC), are routinely used for Bayesian inference in generalized linear models; however, these algorithms are prohibitively slow in massive data…

We develop a novel Monte Carlo algorithm for the vector consisting of the supremum, the time at which the supremum is attained and the position at a given (constant) time of an exponentially tempered L\'evy process. The algorithm, based on…

This work focuses on a self-exciting point process defined by a Hawkes-like intensity and a switching mechanism based on a hidden Markov chain. Previous works in such a setting assume constant intensities between consecutive events. We…

We study the problem of estimating the \emph{value} of the largest mean among K distributions via samples from them (rather than estimating \emph{which} distribution has the largest mean), which arises from various machine learning tasks…

Computing systems interacting with real-world processes must safely and reliably process uncertain data. The Monte Carlo method is a popular approach for computing with such uncertain values. This article introduces a framework for…

Monte Carlo simulations employed for the analysis of portfolios of catastrophic risk process large volumes of data. Often times these simulations are not performed in real-time scenarios as they are slow and consume large data. Such…

A novel multi-task Gaussian process (GP) framework is proposed, by using a common mean process for sharing information across tasks. In particular, we investigate the problem of time series forecasting, with the objective to improve…

Efforts to model viral cascades provide a vital view into how they form and spread. A range of methods, such as Multivariate Hawkes Processes or network inference algorithms, attempt to decompose cascades into constituent components via…