Related papers: A non subjective approach to the GP algorithm for …
We study the Gaussian Process regression model in the context of training data with noise in both input and output. The presence of two sources of noise makes the task of learning accurate predictive models extremely challenging. However,…
Extracting relevant properties of empirical signals generated by nonlinear, stochastic, and high-dimensional systems is a challenge of complex systems research. Open questions are how to differentiate chaotic signals from stochastic ones,…
There has been a growing interest in using non-parametric regression methods like Gaussian Process (GP) regression for system identification. GP regression does traditionally have three important downsides: (1) it is computationally…
Gaussian processes (GPs) are non-parametric probabilistic regression models that are popular due to their flexibility, data efficiency, and well-calibrated uncertainty estimates. However, standard GP models assume homoskedastic Gaussian…
We propose a similarity measure for sparsely sampled time course data in the form of a log-likelihood ratio of Gaussian processes (GP). The proposed GP similarity is similar to a Bayes factor and provides enhanced robustness to noise in…
The detection of periodic signals in irregularly-sampled time series is a problem commonly encountered in astronomy. Traditional tools used for periodic searches, such as the periodogram, have poorly defined statistical properties under…
It has recently been observed that a stochastic (infinite degree of freedom) time series with a $1/f^\alpha$ power spectrum can exhibit a finite correlation dimension, even for arbitrarily large data sets. [A.R. Osborne and A.~Provenzale,…
Gaussian process (GP) audio source separation is a time-domain approach that circumvents the inherent phase approximation issue of spectrogram based methods. Furthermore, through its kernel, GPs elegantly incorporate prior knowledge about…
Methods for parameter estimation of gravitational-wave data assume that detector noise is stationary and Gaussian. Real data deviates from these assumptions, which causes bias in the inferred parameters and incorrect estimates of the…
In this paper, we revisit batch state estimation through the lens of Gaussian process (GP) regression. We consider continuous-discrete estimation problems wherein a trajectory is viewed as a one-dimensional GP, with time as the independent…
In this communication a new algorithm is proposed to produce surrogates for pseudoperiodic time series. By imposing a few constraints on the noise components of pseudoperiodic data sets, we devise an effective method to generate surrogates.…
Pulsar timing arrays (PTAs) have recently entered the detection era, quickly moving beyond the goal of simply improving sensitivity at the lowest frequencies for the sake of observing the stochastic gravitational wave background (GWB), and…
We propose a variational superposed Gaussian approximation (VSGA) for dynamical solutions of Langevin equations subject to applied signals, determining time-dependent parameters of superposed Gaussian distributions by the variational…
The use of Gaussian processes (GPs) is a common approach to account for correlated noise in exoplanet time series, particularly for transmission and emission spectroscopy. This analysis has typically been performed for each wavelength…
Empirical time series often contain observational noise. We investigate the effect of this noise on the estimated parameters of models fitted to the data. For data of physiological tremor, i.e. a small amplitude oscillation of the…
The Gaussian phase noise of intensity time series is demonstrated to be drastically reduced when the raw voltage data are digitally filtered through an arbitrarily large number $n$ of orthornormal bandpass profiles (eigen-filters) sharing…
A new algorithm is presented for reconstructing stochastic nonlinear dynamical models from noisy time-series data. The approach is analytical; consequently, the resulting algorithm does not require an extensive global search for the model…
Time series measured from real-world systems are generally noisy, complex and display statistical properties that evolve continuously over time. Here, we present a method that combines wavelet analysis and non-stationary surrogates to…
Noise is a consequence of acquiring and pre-processing data from the environment, and shows fluctuations from different sources---e.g., from sensors, signal processing technology or even human error. As a machine learning technique, Genetic…
Many real world problems exhibit patterns that have periodic behavior. For example, in astrophysics, periodic variable stars play a pivotal role in understanding our universe. An important step when analyzing data from such processes is the…