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The covariance structure of multivariate functional data can be highly complex, especially if the multivariate dimension is large, making extensions of statistical methods for standard multivariate data to the functional data setting…
The Gaussian process state-space model (GPSSM) has attracted extensive attention for modeling complex nonlinear dynamical systems. However, the existing GPSSM employs separate Gaussian processes (GPs) for each latent state dimension,…
This paper is concerned with regularized extensions of hierarchical non-stationary temporal Gaussian processes (NSGPs) in which the parameters (e.g., length-scale) are modeled as GPs. In particular, we consider two commonly used NSGP…
The prevalence of spatially referenced multivariate data has impelled researchers to develop a procedure for the joint modeling of multiple spatial processes. This ordinarily involves modeling marginal and cross-process dependence for any…
We undertake Bayesian learning of the high-dimensional functional relationship between a system parameter vector and an observable, that is in general tensor-valued. The ultimate aim is Bayesian inverse prediction of the system parameters,…
Nonstationary spatial processes can often be represented as stationary processes on a warped spatial domain. Selecting an appropriate spatial warping function for a given application is often difficult and, as a result of this, warping…
Gaussian processes (GPs) are well-known tools for modeling dependent data with applications in spatial statistics, time series analysis, or econometrics. In this article, we present the R package varycoef that implements estimation,…
This paper proposes a statistical verification framework using Gaussian processes (GPs) for simulation-based verification of stochastic nonlinear systems with parametric uncertainties. Given a small number of stochastic simulations, the…
We characterize the sample size required for accurate graphical model selection from non-stationary samples. The observed data is modeled as a vector-valued zero-mean Gaussian random process whose samples are uncorrelated but have different…
Gaussian processes (GPs) are highly flexible function estimators used for geospatial analysis, nonparametric regression, and machine learning, but they are computationally infeasible for large datasets. Vecchia approximations of GPs have…
Gaussian processes provide a flexible, non-parametric framework for the approximation of functions in high-dimensional spaces. The covariance kernel is the main engine of Gaussian processes, incorporating correlations that underpin the…
The solutions of Hamiltonian equations are known to describe the underlying phase space of a mechanical system. In this article, we propose a novel spatio-temporal model using a strategic modification of the Hamiltonian equations,…
The integration of physical relationships into stochastic models is of major interest e.g. in data assimilation. Here, a multivariate Gaussian random field formulation is introduced, which represents the differential relations of the…
High dimensional time series are endemic in applications of machine learning such as robotics (sensor data), computational biology (gene expression data), vision (video sequences) and graphics (motion capture data). Practical nonlinear…
Variational Gaussian process (GP) approximations have become a standard tool in fast GP inference. This technique requires a user to select variational features to increase efficiency. So far the common choices in the literature are…
The rapid growth of earth observation systems calls for a scalable approach to interpolate remote-sensing observations. These methods in principle, should acquire more information about the observed field as data grows. Gaussian processes…
Uncertainty is an inherent characteristic of biological and geospatial data which is almost made by measurement error in the observed values of the quantity of interest. Ignoring measurement error can lead to biased estimates and inflated…
Gaussian Process (GP) regression is a flexible modeling technique used to predict outputs and to capture uncertainty in the predictions. However, the GP regression process becomes computationally intensive when the training spatial dataset…
Gaussian Process State Space Models (GP-SSM) are a data-driven stochastic model class suitable to represent nonlinear dynamics. They have become increasingly popular in non-parametric modeling approaches since they provide not only a…
In this paper, we propose a nonlinear probabilistic generative model of Koopman mode decomposition based on an unsupervised Gaussian process. Existing data-driven methods for Koopman mode decomposition have focused on estimating the…