Optimality of Poisson processes intensity learning with Gaussian processes

MaRDI QIDQ2788391zbMATH OpenFDO

Authors Alisa A. Kirichenko, Harry van Zanten

Publication date 19 February 2016

Published in Journal of Machine Learning Research (JMLR) (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1409.5103, http://jmlr.csail.mit.edu/papers/v16/kirichenko15a.html

zbMATH Keywords

inhomogeneous Poisson processadaptation to smoothnessGaussian process prioroptimal ratesBayesian intensity learning

Mathematics Subject Classification ID

Bayesian inference (62F15) Learning and adaptive systems in artificial intelligence (68T05) Gaussian processes (60G15) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Abstract: In this paper we provide theoretical support for the so-called "Sigmoidal Gaussian Cox Process" approach to learning the intensity of an inhomogeneous Poisson process on a $d$-dimensional domain. This method was proposed by Adams, Murray and MacKay (ICML, 2009), who developed a tractable computational approach and showed in simulation and real data experiments that it can work quite satisfactorily. The results presented in the present paper provide theoretical underpinning of the method. In particular, we show how to tune the priors on the hyper parameters of the model in order for the procedure to automatically adapt to the degree of smoothness of the unknown intensity and to achieve optimal convergence rates.

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(8)

• Adaptive policies for perimeter surveillance problems
• Nonparametric Bayesian intensity estimation for covariate-driven inhomogeneous point processes
• Efficient Bayesian inference of sigmoidal Gaussian Cox processes
• Rate-optimal Bayesian intensity smoothing for inhomogeneous Poisson processes
• Gaussian process methods for covariate-based intensity estimation
• Poisson intensity estimation with reproducing kernels
• Cox process functional learning
• GP-ETAS: semiparametric Bayesian inference for the spatio-temporal epidemic type aftershock sequence model

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