Related papers: Temporal Gaussian Copula For Clinical Multivariate…

Missing data in time series is a challenging issue affecting time series analysis. Missing data occurs due to problems like data drops or sensor malfunctioning. Imputation methods are used to fill in these values, with quality of imputation…

This work considers estimation and forecasting in a multivariate, possibly high-dimensional count time series model constructed from a transformation of a latent Gaussian dynamic factor series. The estimation of the latent model parameters…

Imputation of random or non-random missing data is a long-standing research topic and a crucial application for Intelligent Transportation Systems (ITS). However, with the advent of modern communication technologies such as Global Satellite…

Causality in time series can be challenging to determine, especially in the presence of non-linear dependencies. Granger causality helps analyze potential relationships between variables, thereby offering a method to determine whether one…

Clinical and epidemiological studies encode participant information in multivariate vectors with mixed type variables on continuous, truncated, ordinal, and binary scales. Semiparametric Gaussian Copula (SGC) assumes that observed data is…

Bridging the gap between internal and external validity is crucial for heterogeneous treatment effect estimation. Randomised controlled trials (RCTs), favoured for their internal validity due to randomisation, often encounter challenges in…

Transformed Gaussian Processes (TGPs) are stochastic processes specified by transforming samples from the joint distribution from a prior process (typically a GP) using an invertible transformation; increasing the flexibility of the base…

We introduce a Bayesian Gaussian process latent variable model that explicitly captures spatial correlations in data using a parameterized spatial kernel and leveraging structure-exploiting algebra on the model covariance matrices for…

The analysis of spatiotemporal data is increasingly utilized across diverse domains, including transportation, healthcare, and meteorology. In real-world settings, such data often contain missing elements due to issues like sensor…

Estimating the covariance structure of multivariate time series is a fundamental problem with a wide-range of real-world applications -- from financial modeling to fMRI analysis. Despite significant recent advances, current state-of-the-art…

This paper investigates Gaussian copula mixture models (GCMM), which are an extension of Gaussian mixture models (GMM) that incorporate copula concepts. The paper presents the mathematical definition of GCMM and explores the properties of…

Modern datasets commonly feature both substantial missingness and many variables of mixed data types, which present significant challenges for estimation and inference. Complete case analysis, which proceeds using only the observations with…

Objective: This study proposes a new parametric TF (time frequency) CGC (conditional Granger causality) method for high precision connectivity analysis over time and frequency in multivariate coupling nonstationary systems, and applies it…

Datasets with missing values are very common on industry applications, and they can have a negative impact on machine learning models. Recent studies introduced solutions to the problem of imputing missing values based on deep generative…

We propose a method (TT-GP) for approximate inference in Gaussian Process (GP) models. We build on previous scalable GP research including stochastic variational inference based on inducing inputs, kernel interpolation, and structure…

In the real world, the class of a time series is usually labeled at the final time, but many applications require to classify time series at every time point. e.g. the outcome of a critical patient is only determined at the end, but he…

Data increasingly take the form of a multi-way array, or tensor, in several biomedical domains. Such tensors are often incompletely observed. For example, we are motivated by longitudinal microbiome studies in which several timepoints are…

Anomaly detection in multi-variate time series (MVTS) data is a huge challenge as it requires simultaneous representation of long term temporal dependencies and correlations across multiple variables. More often, this is solved by breaking…

A Gaussian process has been one of the important approaches for emulating computer simulations. However, the stationarity assumption for a Gaussian process and the intractability for large-scale dataset limit its availability in practice.…

Many theoretical results for the lasso require the samples to be iid. Recent work has provided guarantees for the lasso assuming that the time series is generated by a sparse Vector Auto-Regressive (VAR) model with Gaussian innovations.…