Related papers: De-biasing particle filtering for a continuous tim…

Although introduced in the case of Poisson random measures, the lent particle method applies as well in other situations. We study here the case of marked point processes. In this case the Malliavin calculus (here in the sense of Dirichlet…

Marked point process data arise when events occur in a space with event-level marks. We study clustering of replicated marked Poisson point processes and introduce Dirichlet process mixtures of marked Poisson point processes, a Bayesian…

An incremental/online state dynamic learning method is proposed for identification of the nonlinear Gaussian state space models. The method embeds the stochastic variational sparse Gaussian process as the probabilistic state dynamic model…

Particle probability hypothesis density filtering has become a promising means for multi-target tracking due to its capability of handling an unknown and time-varying number of targets in non-linear non-Gaussian system. However, its…

It has recently been shown that many of the existing quasi-Newton algorithms can be formulated as learning algorithms, capable of learning local models of the cost functions. Importantly, this understanding allows us to safely start…

We observe $n$ inhomogeneous Poisson processes with covariates and aim at estimating their intensities. We assume that the intensity of each Poisson process is of the form $s (\cdot, x)$ where $x$ is the covariate and where $s$ is an…

Inference for partially observed Markov process models has been a longstanding methodological challenge with many scientific and engineering applications. Iterated filtering algorithms maximize the likelihood function for partially observed…

Sampling from the posterior is a key technical problem in Bayesian statistics. Rigorous guarantees are difficult to obtain for Markov Chain Monte Carlo algorithms of common use. In this paper, we study an alternative class of algorithms…

We introduce a Bayesian framework for inference with a supervised version of the Gaussian process latent variable model. The framework overcomes the high correlations between latent variables and hyperparameters by using an unbiased pseudo…

We show that the sensor self-localization problem can be cast as a static parameter estimation problem for Hidden Markov Models and we implement fully decentralized versions of the Recursive Maximum Likelihood and on-line…

Many application domains such as ecology or genomics have to deal with multivariate non Gaussian observations. A typical example is the joint observation of the respective abundances of a set of species in a series of sites, aiming to…

We propose a novel approach for density estimation called histogram trend filtering. Our estimator arises from looking at surrogate Poisson model for counts of observations in a partition of the support of the data. We begin by showing…

In this work we consider the unbiased estimation of expectations w.r.t.~probability measures that have non-negative Lebesgue density, and which are known point-wise up-to a normalizing constant. We focus upon developing an unbiased method…

This paper discusses the problem of estimating a stochastic signal from nonlinear uncertain observations with time-correlated additive noise described by a first-order Markov process. Random deception attacks are assumed to be launched by…

We present a flexible Bayesian semiparametric mixed model for longitudinal data analysis in the presence of potentially high-dimensional categorical covariates. Building on a novel hidden Markov tensor decomposition technique, our proposed…

Particle smoothing methods are used for inference of stochastic processes based on noisy observations. Typically, the estimation of the marginal posterior distribution given all observations is cumbersome and computational intensive. In…

We propose a Bayesian nonparametric method for low-pass filtering that can naturally handle unevenly-sampled and noise-corrupted observations. The proposed model is constructed as a latent-factor model for time series, where the latent…

In the context of quantum information, highly nonlinear regimes, such as those supporting solitons, are marginally investigated. We miss general methods for quantum solitons, although they can act as entanglement generators or as…

Recently, a novel linear model predictive control algorithm based on a physics-informed Gaussian Process has been introduced, whose realizations strictly follow a system of underlying linear ordinary differential equations with constant…

Gaussian process is a theoretically appealing model for nonparametric analysis, but its computational cumbersomeness hinders its use in large scale and the existing reduced-rank solutions are usually heuristic. In this work, we propose a…