Related papers: Estimating and detecting random processes on the u…
Stochastic spectral methods have become a popular technique to quantify the uncertainties of nano-scale devices and circuits. They are much more efficient than Monte Carlo for certain design cases with a small number of random parameters.…
This paper formulates and solves a sequential detection problem that involves the mutual information (stochastic observability) of a Gaussian process observed in noise with missing measurements. The main result is that the optimal decision…
Bayesian formulation of modern day signal processing problems has called for improved Markov chain Monte Carlo (MCMC) sampling algorithms for inference. The need for efficient sampling techniques has become indispensable for high…
We introduce a multivariate hidden Markov model to jointly cluster time-series observations with different support, i.e. circular and linear. Relying on the general projected normal distribution, our approach allows for bimodal and/or…
Symbolic regression is a powerful tool for discovering governing equations directly from data, but its sensitivity to noise hinders its broader application. This paper introduces a Sequential Monte Carlo (SMC) framework for Bayesian…
We consider the problem of flexible modeling of higher order hidden Markov models when the number of latent states and the nature of the serial dependence, including the true order, are unknown. We propose Bayesian nonparametric methodology…
We address the problem of sequentially selecting and observing processes from a given set to find the anomalies among them. The decision-maker observes one process at a time and obtains a noisy binary indicator of whether or not the…
Accurate phase extraction from sinusoidal signals is a crucial task in various signal processing applications. While prior research predominantly addresses the case of asynchronous sampling with unknown signal frequency, this study focuses…
A fundamental problem in network analysis is clustering the nodes into groups which share a similar connectivity pattern. Existing algorithms for community detection assume the knowledge of the number of clusters or estimate it a priori…
Sequential Monte Carlo (SMC) methods are a widely used set of computational tools for inference in non-linear non-Gaussian state-space models. We propose a new SMC algorithm to compute the expectation of additive functionals recursively.…
We devise a Monte Carlo based method for detecting whether a non-negative Markov chain is stable for a given set of parameter values. More precisely, for a given subset of the parameter space, we develop an algorithm that is capable of…
This paper was originally submitted to Xinova as a response to a Request for Invention (RFI) on new event monitoring methods. In this paper, a new object tracking algorithm using multiple cameras for surveillance applications is proposed.…
We apply Markov Chain Monte Carlo (MCMC) to the problem of parametric galaxy modeling, estimating posterior distributions of galaxy properties such as ellipticity and brightness for more than 100,000 images of galaxies taken from DC2, a…
We consider a statistical problem of detection of a signal with unknown energy in a multi-channel system, observed in a Gaussian noise. We assume that the signal can appear in the $k$-th channel with a known small prior probability…
We consider the problem of sequential detection of a change in the statistical behavior of a hidden Markov model. By adopting a worst-case analysis with respect to the time of change and by taking into account the data that can be accessed…
We analyse the performance of a recursive Monte Carlo method for the Bayesian estimation of the static parameters of a discrete--time state--space Markov model. The algorithm employs two layers of particle filters to approximate the…
In the context of multilevel longitudinal data, where sample units are collected in clusters, an important aspect that should be accounted for is the unobserved heterogeneity between sample units and between clusters. For this aim we…
Dynamic Bayesian predictive synthesis is a formal approach to coherently synthesizing multiple predictive distributions into a single distribution. In sequential analysis, the computation of the synthesized predictive distribution has…
Leveraging Markov chain Monte Carlo (MCMC) optimization of the F-statistic, we introduce a method for the hierarchical follow-up of continuous gravitational wave candidates identified by wide-parameter space semi-coherent searches. We…
We propose a method to efficiently integrate truncated probability densities. The method uses Markov chain Monte Carlo method to sample from a probability density matching the function being integrated. The required normalisation or…