Related papers: Effective computations of joint excursion times fo…
The present work investigates two properties of level crossings of a stationary Gaussian process $X(t)$ with autocorrelation function $R_X(\tau)$. We show firstly that if $R_X(\tau)$ admits finite second and fourth derivatives at the…
This work presents a novel method for extracting potential barrier distributions from experimental fusion cross sections. We utilize a simple Gaussian process regression (GPR) framework to model the observed cross sections as a function of…
We study the behavior of independent and stationary increments jump processes as they approach fixed thresholds. The exact crossing time is unavailable because the real-time information about successive jumps is unknown. Instead, the…
The increased demand for online prediction and the growing availability of large data sets drives the need for computationally efficient models. While exact Gaussian process regression shows various favorable theoretical properties…
Doubly intractable distributions arise in many settings, for example in Markov models for point processes and exponential random graph models for networks. Bayesian inference for these models is challenging because they involve intractable…
We develop a novel computational method for evaluating the extreme excursion probabilities arising from random initialization of nonlinear dynamical systems. The method uses excursion probability theory to formulate a sequence of Bayesian…
Almost all scientific data have uncertainties originating from different sources. Gaussian process regression (GPR) models are a natural way to model data with Gaussian-distributed uncertainties. GPR also has the benefit of reducing I/O…
Statistical inference for time series such as curve estimation for time-varying models or testing for existence of change-point have garnered significant attention. However, these works are generally restricted to the assumption of…
When a random field $(X_t, \ t\in {\mathbb R}^2)$ is thresholded on a given level $u$, the excursion set is given by its indicator $~1_{[u, \infty)}(X_t)$. The purpose of this work is to study functionals (as established in stochastic…
Recently, we provided a simple but accurate formula which closely approximates the first crossing distribution associated with random walks having correlated steps. The approximation is accurate for the wide range of barrier shapes of…
Continuous-time trajectory estimation is an attractive alternative to discrete-time batch estimation due to the ability to incorporate high-frequency measurements from asynchronous sensors while keeping the number of optimization parameters…
We use the concept of excursions for the prediction of random variables without any moment existence assumptions. To do so, an excursion metric on the space of random variables is defined which appears to be a kind of a weighted…
In this paper we study approximations for boundary crossing probabilities for the moving sums of i.i.d. normal random variables. We propose approximating a discrete time problem with a continuous time problem allowing us to apply developed…
Accurate propagation of orbital uncertainty is essential for a range of applications within space domain awareness. Adaptive Gaussian mixture-based approaches offer tractable nonlinear uncertainty propagation through splitting mixands to…
Many problems in navigation and tracking require increasingly accurate characterizations of the evolution of uncertainty in nonlinear systems. Nonlinear uncertainty propagation approaches based on Gaussian mixture density approximations…
This paper considers approximate smoothing for discretely observed non-linear stochastic differential equations. The problem is tackled by developing methods for linearising stochastic differential equations with respect to an arbitrary…
We consider Bayesian inference problems with computationally intensive likelihood functions. We propose a Gaussian process (GP) based method to approximate the joint distribution of the unknown parameters and the data. In particular, we…
We study two simple mathematical models of the epidemic. At first, we study the repetitive infection spreading in a simplified SIRS model including the effect of the decay of the acquired immune. The model is an intermediate model of the…
This paper proposes a distributed Gaussian process regression (GPR) with over-the-air computation, termed AirComp GPR, for communication- and computation-efficient data analysis over wireless networks. GPR is a non-parametric regression…
This paper introduces a new method for performing computational inference on log-Gaussian Cox processes. The likelihood is approximated directly by making novel use of a continuously specified Gaussian random field. We show that for…