38 research outputs found
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 an 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 also apply it to several real-world data sets
Rate-optimal Bayesian intensity smoothing for inhomogeneous Poisson processes
We apply nonparametric Bayesian methods to study the problem of estimating
the intensity function of an inhomogeneous Poisson process. We exhibit a prior
on intensities which both leads to a computationally feasible method and enjoys
desirable theoretical optimality properties. The prior we use is based on
B-spline expansions with free knots, adapted from well-established methods used
in regression, for instance. We illustrate its practical use in the Poisson
process setting by analyzing count data coming from a call centre.
Theoretically we derive a new general theorem on contraction rates for
posteriors in the setting of intensity function estimation. Practical choices
that have to be made in the construction of our concrete prior, such as
choosing the priors on the number and the locations of the spline knots, are
based on these theoretical findings. The results assert that when properly
constructed, our approach yields a rate-optimal procedure that automatically
adapts to the regularity of the unknown intensity function