Gaussian process

About: Gaussian process is a research topic. Over the lifetime, 18944 publications have been published within this topic receiving 486645 citations. The topic is also known as: Gaussian stochastic process.

Modelling sparse generalized longitudinal observations with latent Gaussian processes

Abstract: Summary In longitudinal data analysis one frequently encounters non-Gaussian data that are repeatedly collected for a sample of individuals over time The repeated observations could be binomial, Poisson or of another discrete type or could be continuousThe timings of the repeated measurements are often sparse and irregular We introduce a latent Gaussian process model for such data, establishing a connection to functional data analysis The functional methods proposed are non-parametric and computationally straightforward as they do not involve a likelihood We develop functional principal components analysis for this situation and demonstrate the prediction of individual trajectories from sparse observations This method can handle missing data and leads to predictions of the functional principal component scores which serve as random effects in this modelThese scores can then be used for further statistical analysis, such as inference, regression, discriminant analysis or clustering We illustrate these non-parametric methods with longitudinal data on primary biliary cirrhosis and show in simulations that they are competitive in comparisons with generalized estimating equations and generalized linear mixed models

Hidden messages in heavy-tails: DCT-domain watermark detection using alpha-stable models

Abstract: This paper addresses issues that arise in copyright protection systems of digital images, which employ blind watermark verification structures in the discrete cosine transform (DCT) domain. First, we observe that statistical distributions with heavy algebraic tails, such as the alpha-stable family, are in many cases more accurate modeling tools for the DCT coefficients of JPEG-analyzed images than families with exponential tails such as the generalized Gaussian. Motivated by our modeling results, we then design a new processor for blind watermark detection using the Cauchy member of the alpha-stable family. The Cauchy distribution is chosen because it is the only non-Gaussian symmetric alpha-stable distribution that exists in closed form and also because it leads to the design of a nearly optimum detector with robust detection performance. We analyze the performance of the new detector in terms of the associated probabilities of detection and false alarm and we compare it to the performance of the generalized Gaussian detector by performing experiments with various test images.

Testing for threshold autoregression

Abstract: We consider the problem of determining whether a threshold autoregressive model fits a stationary time series significantly better than an autoregressive model does. A test statistic $\lambda$ which is equivalent to the (conditional) likelihood ratio test statistic when the noise is normally distributed is proposed. Essentially, $\lambda$ is the normalized reduction in sum of squares due to the piecewise linearity of the autoregressive function. It is shown that, under certain regularity conditions, the asymptotic null distribution of $\lambda$ is given by a functional of a central Gaussian process, i.e., with zero mean function. Contiguous alternative hypotheses are then considered. The asymptotic distribution of $\lambda$ under the contiguous alternative is shown to be given by the same functional of a noncentral Gaussian process. These results are then illustrated with a special case of the test, in which case the asymptotic distribution of $\lambda$ is related to a Brownian bridge.

Least mean p-power error criterion for adaptive FIR filter

Abstract: An adaptive FIR filter based on the least mean p-power error (MPE) criterion is investigated. First, some useful properties of MPE function are studied. Three main results are as follows: 1) MPE function is a convex function of filter coefficients; so it has no local minima. 2) When input process and desired process are both Gaussian processes, then MPE function has the same optimum solution as the conventional Wiener solution for any p. 3) When input process and desired process are non-Gaussian processes, then MPE function may have better optimum solution than Wiener solution. Next, a least mean p-power (LMP) error adaptive algorithm is derived and some application examples are presented. Consequently, when the signal is corrupted by an impulsive noise, the adaptive algorithm with p=1 is preferred. Furthermore, when the signal is corrupted by noise or interference, the adaptive algorithm with proper choice of p may be preferred. >

Gaussian entanglement of formation

Abstract: We introduce a Gaussian version of the entanglement of formation adapted to bipartite Gaussian states by considering decompositions into pure Gaussian states only. We show that this quantity is an entanglement monotone under Gaussian operations and provide a simplified computation for states of arbitrary many modes. For the case of one mode per site the remaining variational problem can be solved analytically. If the considered state is in addition symmetric with respect to interchanging the two modes, we prove additivity of the considered entanglement measure. Moreover, in this case and considering only a single copy, our entanglement measure coincides with the true entanglement of formation.