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Robots often rely on a repertoire of previously-learned motion policies for performing tasks of diverse complexities. When facing unseen task conditions or when new task requirements arise, robots must adapt their motion policies…
The purpose of this paper is to provide a discussion, with illustrating examples, on Bayesian forecasting for dynamic generalized linear models (DGLMs). Adopting approximate Bayesian analysis, based on conjugate forms and on Bayes linear…
This report aims to characterise certain sojourn time distributions that naturally arise from semi-Markov models. To this end, it describes a family of discrete distributions that extend the geometric distribution for both finite and…
This work is about a slow-fast data assimilation system under non-Gaussian noisy fluctuations. Firstly, we show the existence of a random invariant manifold for a stochastic dynamical system with non-Gaussian noise and two-time scales.…
Many physical systems evolve on matrix Lie groups and mixture filtering designed for such manifolds represent an inevitable tool for challenging estimation problems. However, mixture filtering faces the issue of a constantly growing number…
Suppose X is a multivariate diffusion process that is observed discretely in time. At each observation time, a transformation of the state of the process is observed with noise. The smoothing problem consists of recovering the path of the…
Gaussian random fields have been one of the most popular tools for analyzing spatial data. However, many geophysical and environmental processes often display non-Gaussian characteristics. In this paper, we propose a new class of spatial…
This paper presents a novel distribution-agnostic Wasserstein distance-based estimation framework. The goal is to determine an optimal map combining prior estimate with measurement likelihood such that posterior estimation error optimally…
Conventional Bayesian estimation requires an accurate stochastic model of a system. However, this requirement is not always met in many practical cases where the system is not completely known or may differ from the assumed model. For such…
The plurigaussian model is particularly suited to describe categorical regionalized variables. Starting from a simple principle, the thresh-olding of one or several Gaussian random fields (GRFs) to obtain categories, the plurigaussian model…
We propose improvements in numerical evaluation of symmetric stable density and its partial derivatives with respect to the parameters. They are useful for more reliable evaluation of maximum likelihood estimator and its standard error.…
This paper is concerned with the problem of continuous-time nonlinear filtering for stochastic processes on a compact and connected matrix Lie group without boundary, e.g. SO(n) and SE(n), in the presence of real-valued observations. This…
Harvey et al. (2010) extended the Bayesian estimation method by Sahu et al. (2003) to a multivariate skew-elliptical distribution with a general skewness matrix, and applied it to Bayesian portfolio optimization with higher moments.…
Covariance estimation and selection for multivariate datasets in a high-dimensional regime is a fundamental problem in modern statistics. Gaussian graphical models are a popular class of models used for this purpose. Current Bayesian…
Gaussian process state-space models (GPSSMs) provide a principled and flexible approach to modeling the dynamics of a latent state, which is observed at discrete-time points via a likelihood model. However, inference in GPSSMs is…
Bayesian learning using Gaussian processes provides a foundational framework for making decisions in a manner that balances what is known with what could be learned by gathering data. In this dissertation, we develop techniques for…
This work presents distributed algorithms for estimation of time-varying random fields over multi-agent/sensor networks. A network of sensors makes sparse and noisy local measurements of the dynamic field. Each sensor aims to obtain…
The aim of this paper is to propose diffusion strategies for distributed estimation over adaptive networks, assuming the presence of spatially correlated measurements distributed according to a Gaussian Markov random field (GMRF) model. The…
The purpose of this work is mostly expository and aims to elucidate the Jordan-Kinderlehrer-Otto (JKO) scheme for uncertainty propagation, and a variant, the Laugesen-Mehta-Meyn-Raginsky (LMMR) scheme for filtering. We point out that these…
A classic inferential statistical problem is the goodness-of-fit (GOF) test. Such a test can be challenging when the hypothesized parametric model has an intractable likelihood and its distributional form is not available. Bayesian methods…