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Gaussian process modulated renewal processes

Abstract:

Renewal processes are generalizations of the Poisson process on the real line whose intervals are drawn i.i.d. from some distribution. Modulated renewal processes allow these interevent distributions to vary with time, allowing the introduction of nonstationarity. In this work, we take a nonparametric Bayesian approach, modelling this nonstationarity with a Gaussian process. Our approach is based on the idea of uniformization, which allows us to draw exact samples from an otherwise intractabl...

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Journal:
Advances in Neural Information Processing Systems 24: 25th Annual Conference on Neural Information Processing Systems 2011, NIPS 2011
Publication date:
2011-01-01
URN:
uuid:772f7ff2-aa88-4b9b-9a64-461a57a621b9
Source identifiers:
353214
Local pid:
pubs:353214
Language:
English

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