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We apply nonparametric Bayesian methods to study the problem of estimating the intensity function of an inhomogeneous Poisson process. We exhibit a prior on intensities which both leads to a computationally feasible method and enjoys…
Extracting the risk neutral density (RND) function from option prices is well defined in principle, but is very sensitive to errors in practice. For risk management, knowledge of the entire RND provides more information for Value-at-Risk…
This paper investigates the formulation and implementation of Bayesian inverse problems to learn input parameters of partial differential equations (PDEs) defined on manifolds. Specifically, we study the inverse problem of determining the…
We tackle the fundamental problem of Bayesian active learning with noise, where we need to adaptively select from a number of expensive tests in order to identify an unknown hypothesis sampled from a known prior distribution. In the case of…
Quantum Error Mitigation (EM) is a collection of strategies to reduce errors on noisy intermediate scale quantum (NISQ) devices on which proper quantum error correction is not feasible. One of such strategies aimed at mitigating noise…
This work introduces an end-to-end framework for multi-asset option pricing that combines market-consistent risk-neutral density recovery with quantum-accelerated numerical integration. We first calibrate arbitrage-free marginal…
Nonresponse weighting adjustment using the response propensity score is a popular tool for handling unit nonresponse. Statistical inference after the nonresponse weighting adjustment is complicated because the effect of estimating the…
The main object of this paper is to show how we can use classical probabilistic methods such as Maximum Entropy (ME), maximum likelihood (ML) and/or Bayesian (BAYES) approaches to do microscopic and macroscopic data fusion. Actually ME can…
Bayesian learning provides a unified skeleton to solve the electrophysiological source imaging task. From this perspective, existing source imaging algorithms utilize the Gaussian assumption for the observation noise to build the likelihood…
Time series forecasting is an important task that involves analyzing temporal dependencies and underlying patterns (such as trends, cyclicality, and seasonality) in historical data to predict future values or trends. Current deep…
The synthetic control method has become a widely popular tool to estimate causal effects with observational data. Despite this, inference for synthetic control methods remains challenging. Often, inferential results rely on linear factor…
Linear regression model (LRM) based on mean square error (MSE) criterion is widely used in Granger causality analysis (GCA), which is the most commonly used method to detect the causality between a pair of time series. However, when signals…
In binary classification framework, we are interested in making cost sensitive label predictions in the presence of uniform/symmetric label noise. We first observe that $0$-$1$ Bayes classifiers are not (uniform) noise robust in cost…
In many inference problems, the evaluation of complex and costly models is often required. In this context, Bayesian methods have become very popular in several fields over the last years, in order to obtain parameter inversion, model…
We propose a Bayesian optimization algorithm for objective functions that are sums or integrals of expensive-to-evaluate functions, allowing noisy evaluations. These objective functions arise in multi-task Bayesian optimization for tuning…
An empirical Bayes approach to the estimation of possibly sparse sequences observed in Gaussian white noise is set out and investigated. The prior considered is a mixture of an atom of probability at zero and a heavy-tailed density \gamma,…
We point out a limitation of the mutual information neural estimation (MINE) where the network fails to learn at the initial training phase, leading to slow convergence in the number of training iterations. To solve this problem, we propose…
Estimating the frequencies of multiple sinusoids in the presence of AWGN and when the data record is short is commonly accomplished by subspace-based methods such as ESPRIT, MUSIC, Min-Norm, etc. These methods do not assume that the data…
In many classification problems, misclassification costs are highly asymmetric, while training labels are often corrupted due to measurement error, annotator variability, or adversarial noise. The Neyman-Pearson multiclass classification…
System identification is of special interest in science and engineering. This article is concerned with a system identification problem arising in stochastic dynamic systems, where the aim is to estimate the parameters of a system along…