Related papers: Nowcasting with Mixed Frequency Data Using Gaussia…
This article investigates factor-augmented sparse MIDAS (Mixed Data Sampling) regressions for high-dimensional time series data, which may be observed at different frequencies. Our novel approach integrates sparse and dense dimensionality…
Gaussian processes (GPs) are widely used in nonparametric regression, classification and spatio-temporal modeling, motivated in part by a rich literature on theoretical properties. However, a well known drawback of GPs that limits their use…
In this paper, we explore the application of Gaussian Processes (GPs) for predicting mean-reverting time series with an underlying structure, using relatively unexplored functional and augmented data structures. While many conventional…
When constructing a Bayesian Machine Learning model, we might be faced with multiple different prior distributions and thus are required to properly consider them in a sensible manner in our model. While this situation is reasonably well…
We develop a novel Bayesian framework for dynamic modeling of mixed frequency data to nowcast quarterly U.S. GDP growth. The introduced framework utilizes foundational Bayesian theory and treats data sampled at different frequencies as…
We propose a new approach to mixed-frequency regressions in a high-dimensional environment that resorts to Group Lasso penalization and Bayesian techniques for estimation and inference. In particular, to improve the prediction properties of…
Deep Gaussian Processes learn probabilistic data representations for supervised learning by cascading multiple Gaussian Processes. While this model family promises flexible predictive distributions, exact inference is not tractable.…
Heteroscedastic regression considering the varying noises among observations has many applications in the fields like machine learning and statistics. Here we focus on the heteroscedastic Gaussian process (HGP) regression which integrates…
With the development of new remote sensing technology, large or even massive spatial datasets covering the globe become available. Statistical analysis of such data is challenging. This article proposes a semiparametric approach to model…
Gaussian processes (GPs) are a powerful tool for probabilistic inference over functions. They have been applied to both regression and non-linear dimensionality reduction, and offer desirable properties such as uncertainty estimates,…
Gaussian process (GP) models provide a powerful tool for prediction but are computationally prohibitive using large data sets. In such scenarios, one has to resort to approximate methods. We derive an approximation based on a composite…
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…
Aggregated data is commonplace in areas such as epidemiology and demography. For example, census data for a population is usually given as averages defined over time periods or spatial resolutions (cities, regions or countries). In this…
A model involving Gaussian processes (GPs) is introduced to simultaneously handle multi-task learning, clustering, and prediction for multiple functional data. This procedure acts as a model-based clustering method for functional data as…
Many datasets are in the form of tables of binned data. Performing regression on these data usually involves either reading off bin heights, ignoring data from neighbouring bins or interpolating between bins thus over or underestimating the…
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…
Multifidelity models integrate data from multiple sources to produce a single approximator for the underlying process. Dense low-fidelity samples are used to reduce interpolation error, while sparse high-fidelity samples are used to…
This paper introduces an active learning framework for manifold Gaussian Process (GP) regression, combining manifold learning with strategic data selection to improve accuracy in high-dimensional spaces. Our method jointly optimizes a…
Off-the-shelf Gaussian Process (GP) covariance functions encode smoothness assumptions on the structure of the function to be modeled. To model complex and non-differentiable functions, these smoothness assumptions are often too…
A key challenge in spatial statistics is the analysis for massive spatially-referenced data sets. Such analyses often proceed from Gaussian process specifications that can produce rich and robust inference, but involve dense covariance…