相关论文: Scalable Spatio-Temporal Smoothing via Hierarchica…

The use of Gaussian processes (GPs) is supported by efficient sampling algorithms, a rich methodological literature, and strong theoretical grounding. However, due to their prohibitive computation and storage demands, the use of exact GPs…

We put forward a new Bayesian modeling strategy for spatiotemporal count data that enables efficient posterior sampling. Most previous models for such data decompose logarithms of the response Poisson rates into fixed effects and spatial…

We propose a new scalable framework for spatio-temporal data fusion with multi-fidelity Gaussian processes (MFGPs) that enables fully likelihood-based inference for both stationary and non-stationary fidelity integration. The framework is…

Gaussian processes are widely used as priors for unknown functions in statistics and machine learning. To achieve computationally feasible inference for large datasets, a popular approach is the Vecchia approximation, which is an ordered…

Sparse regression based on global-local shrinkage priors are increasingly used for Bayesian modeling of modern high-dimensional data, but scaling up the Gibbs sampler for posterior inference remains a challenge. While much effort has gone…

Monitoring daily weather fields is critical for climate science, agriculture, and environmental planning, yet fully probabilistic spatio-temporal models become computationally prohibitive at continental scale. We present a case study on…

Using a perturbation technique, we derive a new approximate filtering and smoothing methodology generalizing along different directions several existing approaches to robust filtering based on the score and the Hessian matrix of the…

We develop a spatio-temporal model to forecast sensor output at five locations in North East England. The signal is described using coupled dynamic linear models, with spatial effects specified by a Gaussian process. Data streams are…

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,…

We propose a new approach for the modeling large datasets of nonstationary spatial processes that combines a latent low rank process and a sparse covariance model. The low rank component coefficients are endowed with a flexible graphical…

The approximation of fixed-interval smoothing distributions is a key issue in inference for general state-space hidden Markov models (HMM). This contribution establishes non-asymptotic bounds for the Forward Filtering Backward Smoothing…

This study proposes coarse-to-fine spatial modeling (CFSM) as a scalable and machine learning-compatible alternative to conventional spatial process models. Unlike conventional covariance-based spatial models, CFSM represents spatial…

We develop efficient simulation techniques for Bayesian inference on switching GARCH models. Our contribution to existing literature is manifold. First, we discuss different multi-move sampling techniques for Markov Switching (MS) state…

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…

Bayesian optimization is an effective technique for black-box optimization, but its applicability is typically limited to low-dimensional and small-budget problems due to the cubic complexity of computing the Gaussian process (GP)…

We propose a novel approach to estimating the precision matrix of multivariate Gaussian data that relies on decomposing them into a low-rank and a diagonal component. Such decompositions are very popular for modeling large covariance…

We consider Bayesian inverse problems arising in data assimilation for dynamical systems governed by partial and stochastic partial differential equations. The space-time dependent field is inferred jointly with static parameters of the…

We present an adaptive smoother for linear state-space models with unknown process and measurement noise covariances. The proposed method utilizes the variational Bayes technique to perform approximate inference. The resulting smoother is…

State-space models have been successfully used for more than fifty years in different areas of science and engineering. We present a procedure for efficient variational Bayesian learning of nonlinear state-space models based on sparse…

In this paper, we develop a Monte Carlo algorithm named the Frozen Gaussian Sampling (FGS) to solve the semiclassical Schr\"odinger equation based on the frozen Gaussian approximation. Due to the highly oscillatory structure of the wave…