Related papers: Stationary GE-Process and its Application in Analy…
In this paper, we propose a method based on GMM (the generalized method of moments) to estimate the parameters of stable distributions with $0<\alpha<2$. We don't assume symmetry for stable distributions.
This paper presents a unified treatment of Gaussian process models that extends to data from the exponential dispersion family and to survival data. Our specific interest is in the analysis of data sets with predictors that have an a priori…
In the present work, we have investigated the problem of estimating parameters of several exponential distributions with ordered scale parameters under the linex loss function. We have considered estimating ordered scale parameters when the…
A new modelling approach for the analysis of weighted networks with ordinal/polytomous dyadic values is introduced. Specifically, it is proposed to model the weighted network connectivity structure using a hierarchical multilayer…
We propose a family of multivariate Gaussian process models for correlated outputs, based on assuming that the likelihood function takes the generic form of the multivariate exponential family distribution (EFD). We denote this model as a…
Mixtures of generalized normal distributions (MGND) have gained popularity for modelling datasets with complex statistical behaviours. However, the estimation of the shape parameter within the maximum likelihood framework is quite complex,…
Sparse variational Gaussian process (SVGP) methods are a common choice for non-conjugate Gaussian process inference because of their computational benefits. In this paper, we improve their computational efficiency by using a dual…
We consider the problem of estimating the parameters in a pairwise graphical model in which the distribution of each node, conditioned on the others, may have a different parametric form. In particular, we assume that each node's…
Stochastic processes find applications in modelling systems in a variety of disciplines. A large number of stochastic models considered are Markovian in nature. It is often observed that higher order Markov processes can model the data…
We propose sequential Monte Carlo based algorithms for maximum likelihood estimation of the static parameters in hidden Markov models with an intractable likelihood using ideas from approximate Bayesian computation. The static parameter…
Gaussian Process (GP) models provide a flexible framework for prediction and uncertainty quantification. For most covariance functions, however, exact GP prediction with $n$ points scales as $\mathcal{O}(n^3)$, making it prohibitively…
In this paper an efficient and reliable method for stochastic yield estimation is presented. Since one main challenge of uncertainty quantification is the computational feasibility, we propose a hybrid approach where most of the Monte Carlo…
We introduce a general class of stochastic processes driven by a multifractional Brownian motion (mBm) and study the estimation problems of their pointwise H\"older exponents (PHE) based on a new localized generalized quadratic variation…
The prediction of thermo-mechanical behaviour of heterogeneous materials such as heat and moisture transport is strongly influenced by the uncertainty in parameters. Such materials occur e.g. in historic buildings, and the durability…
Stochastic Differential Equations (SDEs) serve as a powerful modeling tool in various scientific domains, including systems science, engineering, and ecological science. While the specific form of SDEs is typically known for a given…
The increasing availability of network data has driven the development of advanced statistical models specifically designed for metric graphs, where Gaussian processes play a pivotal role. While models such as Whittle-Mat\'ern fields have…
Let $X_{1},X_{2},...$ be a sequence of independent copies (s.i.c) of a real random variable (r.v.) $X\geq 1$, with distribution function $df$ $F(x)=\mathbb{P}% (X\leq x)$ and let $X_{1,n}\leq X_{2,n} \leq ... \leq X_{n,n}$ be the order…
In this paper, we consider distributed simultaneous state and parameter estimation for a class of nonlinear systems, for which the augmented model comprising both the states and the parameters is only partially observable. Specifically, we…
We propose a novel method for maximum likelihood-based parameter inference in nonlinear and/or non-Gaussian state space models. The method is an iterative procedure with three steps. At each iteration a particle filter is used to estimate…
Gaussian processes (GPs) are a good choice for function approximation as they are flexible, robust to over-fitting, and provide well-calibrated predictive uncertainty. Deep Gaussian processes (DGPs) are multi-layer generalisations of GPs,…