Reversible jump sampler for autoregressive time series

We use reversible jump Markov chain Monte Carlo (MCMC) methods to address the problem of model order uncertainty in autoregressive (AR) time series within a Bayesian framework. Efficient model jumping is achieved by proposing model space moves from the full conditional density for the AR parameters, which is obtained analytically. This is compared with an alternative method, for which the moves are cheaper to compute, in which proposals are made only for new parameters in each move. Results are presented for both synthetic and audio time series.

Robust noise reduction for speech and audio signals

Statistical model-based methods are presented for the reconstruction of autocorrelated signals in impulsive plus continuous noise environments. Signals are modelled as autoregressive and noise sources as discrete and continuous mixtures of Gaussians, allowing for robustness in highly impulsive and non-Gaussian environments. Markov Chain Monte Carlo methods are used for reconstruction of the corrupted waveforms within a Bayesian probabilistic framework and results are presented for contaminated voice and audio signals.

Robust modelling of noisy ARMA signals

In this paper methods are developed for enhancement and analysis of autoregressive moving average (ARMA) signals observed in additive noise which can be represented as mixtures of heavy-tailed non-Gaussian sources and a Gaussian background component. Such models find application in systems such as atmospheric communications channels or early sound recordings which are prone to intermittent impulse noise. Markov Chain Monte Carlo (MCMC) simulation techniques are applied to the joint problem of signal extraction, model parameter estimation and detection of impulses within a fully Bayesian framework. The algorithms require only simple linear iterations for all of the unknowns, including the MA parameters, which is in contrast with existing MCMC methods for analysis of noise-free ARMA models. The methods are illustrated using synthetic data and noise-degraded sound recordings.

Tractable nonparametric bayesian inference in poisson processes with Gaussian process intensities

The inhomogeneous Poisson process is a point process that has varying intensity across its domain (usually time or space). For nonparametric Bayesian modeling, the Gaussian process is a useful way to place a prior distribution on this intensity. The combination of a Poisson process and GP is known as a Gaussian Cox process, or doubly-stochastic Poisson process. Likelihood-based inference in these models requires an intractable integral over an infinite-dimensional random function. In this paper we present the first approach to Gaussian Cox processes in which it is possible to perform inference without introducing approximations or finitedimensional proxy distributions. We call our method the Sigmoidal Gaussian Cox Process, which uses a generative model for Poisson data to enable tractable inference via Markov chain Monte Carlo. We compare our methods to competing methods on synthetic data and apply it to several real-world data sets. Copyright 2009.

Tractable nonparametric Bayesian inference in Poisson processes with Gaussian process intensities

The inhomogeneous Poisson process is a point process that has varying intensity across its domain (usually time or space). For nonparametric Bayesian modeling, the Gaussian process is a useful way to place a prior distribution on this intensity. The combination of a Poisson process and GP is known as a Gaussian Cox process, or doubly-stochastic Poisson process. Likelihood-based inference in these models requires an intractable integral over an infinite-dimensional random function. In this paper we present the first approach to Gaussian Cox processes in which it is possible to perform inference without introducing approximations or finite-dimensional proxy distributions. We call our method the Sigmoidal Gaussian Cox Process, which uses a generative model for Poisson data to enable tractable inference via Markov chain Monte Carlo. We compare our methods to competing methods on synthetic data and apply it to several real-world data sets.

Sequential decision making in general state space models

Many problems in control and signal processing can be formulated as sequential decision problems for general state space models. However, except for some simple models one cannot obtain analytical solutions and has to resort to approximation. In this thesis, we have investigated problems where Sequential Monte Carlo (SMC) methods can be combined with a gradient based search to provide solutions to online optimisation problems. We summarise the main contributions of the thesis as follows. Chapter 4 focuses on solving the sensor scheduling problem when cast as a controlled Hidden Markov Model. We consider the case in which the state, observation and action spaces are continuous. This general case is important as it is the natural framework for many applications. In sensor scheduling, our aim is to minimise the variance of the estimation error of the hidden state with respect to the action sequence. We present a novel SMC method that uses a stochastic gradient algorithm to find optimal actions. This is in contrast to existing works in the literature that only solve approximations to the original problem. In Chapter 5 we presented how an SMC can be used to solve a risk sensitive control problem. We adopt the use of the Feynman-Kac representation of a controlled Markov chain flow and exploit the properties of the logarithmic Lyapunov exponent, which lead to a policy gradient solution for the parameterised problem. The resulting SMC algorithm follows a similar structure with the Recursive Maximum Likelihood(RML) algorithm for online parameter estimation. In Chapters 6, 7 and 8, dynamic Graphical models were combined with with state space models for the purpose of online decentralised inference. We have concentrated more on the distributed parameter estimation problem using two Maximum Likelihood techniques, namely Recursive Maximum Likelihood (RML) and Expectation Maximization (EM). The resulting algorithms can be interpreted as an extension of the Belief Propagation (BP) algorithm to compute likelihood gradients. In order to design an SMC algorithm, in Chapter 8 uses a nonparametric approximations for Belief Propagation. The algorithms were successfully applied to solve the sensor localisation problem for sensor networks of small and medium size.

Learning the Structure of Deep Sparse Graphical Models

Deep belief networks are a powerful way to model complex probability distributions. However, learning the structure of a belief network, particularly one with hidden units, is difficult. The Indian buffet process has been used as a nonparametric Bayesian prior on the directed structure of a belief network with a single infinitely wide hidden layer. In this paper, we introduce the cascading Indian buffet process (CIBP), which provides a nonparametric prior on the structure of a layered, directed belief network that is unbounded in both depth and width, yet allows tractable inference. We use the CIBP prior with the nonlinear Gaussian belief network so each unit can additionally vary its behavior between discrete and continuous representations. We provide Markov chain Monte Carlo algorithms for inference in these belief networks and explore the structures learned on several image data sets.

Tree-Structured Stick Breaking Processes for Hierarchical Data

Many data are naturally modeled by an unobserved hierarchical structure. In this paper we propose a flexible nonparametric prior over unknown data hierarchies. The approach uses nested stick-breaking processes to allow for trees of unbounded width and depth, where data can live at any node and are infinitely exchangeable. One can view our model as providing infinite mixtures where the components have a dependency structure corresponding to an evolutionary diffusion down a tree. By using a stick-breaking approach, we can apply Markov chain Monte Carlo methods based on slice sampling to perform Bayesian inference and simulate from the posterior distribution on trees. We apply our method to hierarchical clustering of images and topic modeling of text data.

Copula Processes

We define a copula process which describes the dependencies between arbitrarily many random variables independently of their marginal distributions. As an example, we develop a stochastic volatility model, Gaussian Copula Process Volatility (GCPV), to predict the latent standard deviations of a sequence of random variables. To make predictions we use Bayesian inference, with the Laplace approximation, and with Markov chain Monte Carlo as an alternative. We find both methods comparable. We also find our model can outperform GARCH on simulated and financial data. And unlike GARCH, GCPV can easily handle missing data, incorporate covariates other than time, and model a rich class of covariance structures.

Bayesian approach to signal modelling

In this paper, an introduction to Bayesian methods in signal processing will be given. The paper starts by considering the important issues of model selection and parameter estimation and derives analytic expressions for the model probabilities of two simple models. The idea of marginal estimation of certain model parameter is then introduced and expressions are derived for the marginal probability densities for frequencies in white Gaussian noise and a Bayesian approach to general changepoint analysis is given. Numerical integration methods are introduced based on Markov chain Monte Carlo techniques and the Gibbs sampler in particular.

The Bayesian Approach to Signal Modelling

In this paper, an introduction to Bayesian methods in signal processing will be given. The paper starts by considering the important issues of model selection and parameter estimation and derives analytic expressions for the model probabilities of two simple models. The idea of marginal estimation of certain model parameter is then introduced and expressions are derived for the marginal probabilitiy densities for frequencies in white Gaussian noise and a Bayesian approach to general changepoint analysis is given. Numerical integration methods are introduced based on Markov chain Monte Carlo techniques and the Gibbs sampler in particular.

Gaussian Process Regression Networks

We introduce a new regression framework, Gaussian process regression networks (GPRN), which combines the structural properties of Bayesian neural networks with the non-parametric flexibility of Gaussian processes. This model accommodates input dependent signal and noise correlations between multiple response variables, input dependent length-scales and amplitudes, and heavy-tailed predictive distributions. We derive both efficient Markov chain Monte Carlo and variational Bayes inference procedures for this model. We apply GPRN as a multiple output regression and multivariate volatility model, demonstrating substantially improved performance over eight popular multiple output (multi-task) Gaussian process models and three multivariate volatility models on benchmark datasets, including a 1000 dimensional gene expression dataset.

The Gaussian process density sampler

We present the Gaussian Process Density Sampler (GPDS), an exchangeable generative model for use in nonparametric Bayesian density estimation. Samples drawn from the GPDS are consistent with exact, independent samples from a fixed density function that is a transformation of a function drawn from a Gaussian process prior. Our formulation allows us to infer an unknown density from data using Markov chain Monte Carlo, which gives samples from the posterior distribution over density functions and from the predictive distribution on data space. We can also infer the hyperparameters of the Gaussian process. We compare this density modeling technique to several existing techniques on a toy problem and a skullreconstruction task.

The Gaussian mixture MCMC particle algorithm for dynamic cluster tracking

We present a novel filtering algorithm for tracking multiple clusters of coordinated objects. Based on a Markov chain Monte Carlo (MCMC) mechanism, the new algorithm propagates a discrete approximation of the underlying filtering density. A dynamic Gaussian mixture model is utilized for representing the time-varying clustering structure. This involves point process formulations of typical behavioral moves such as birth and death of clusters as well as merging and splitting. For handling complex, possibly large scale scenarios, the sampling efficiency of the basic MCMC scheme is enhanced via the use of a Metropolis within Gibbs particle refinement step. As the proposed methodology essentially involves random set representations, a new type of estimator, termed the probability hypothesis density surface (PHDS), is derived for computing point estimates. It is further proved that this estimator is optimal in the sense of the mean relative entropy. Finally, the algorithm's performance is assessed and demonstrated in both synthetic and realistic tracking scenarios. © 2012 Elsevier Ltd. All rights reserved.

Linear gaussian computations for near-exact Bayesian Monte Carlo inference in skewed alpha-stable time series models

In this paper we study parameter estimation for time series with asymmetric α-stable innovations. The proposed methods use a Poisson sum series representation (PSSR) for the asymmetric α-stable noise to express the process in a conditionally Gaussian framework. That allows us to implement Bayesian parameter estimation using Markov chain Monte Carlo (MCMC) methods. We further enhance the series representation by introducing a novel approximation of the series residual terms in which we are able to characterise the mean and variance of the approximation. Simulations illustrate the proposed framework applied to linear time series, estimating the model parameter values and model order P for an autoregressive (AR(P)) model driven by asymmetric α-stable innovations. © 2012 IEEE.