Modelling Non-Smooth Signals with Complex Spectral Structure
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Abstract (arXiv)
The Gaussian Process Convolution Model (GPCM; Tobar et al., 2015a) is a model for signals with complex spectral structure. A significant limitation of the GPCM is that it assumes a rapidly decaying spectrum: it can only model smooth signals. Moreover, inference in the GPCM currently requires (1) a mean-field assumption, resulting in poorly calibrated uncertainties, and (2) a tedious variational optimisation of large covariance matrices. We redesign the GPCM model to induce a richer distribution over the spectrum with relaxed assumptions about smoothness: the Causal Gaussian Process Convolution Model (CGPCM) introduces a causality assumption into the GPCM, and the Rough Gaussian Process Convolution Model (RGPCM) can be interpreted as a Bayesian nonparametric generalisation of the fractional Ornstein-Uhlenbeck process. We also propose a more effective variational inference scheme, going beyond the mean-field assumption: we design a Gibbs sampler which directly samples from the optimal variational solution, circumventing any variational optimisation entirely. The proposed variations of the GPCM are validated in experiments on synthetic and real-world data, showing promising results.
Key facts. Cited by 2 papers in the map (data through 7 Oct 2026). Builds on 11 of its 32 references that are in the map. First posted on arXiv 14 Mar 2022.
Builds on
11 of 32 references.
References · 11
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Citing papers per year: 2022: 2.
2 papers.
- 2022Non-Gaussian Process Regressioncited by 2
- 2022Shallow and Deep Nonparametric Convolutions for Gaussian Processescited by 1
- 2022Non-Gaussian Process Regression7 Sep 2022
- 2022Shallow and Deep Nonparametric Convolutions for Gaussian Processes17 Jun 2022