Fast Bayesian Intensity Estimation for the Permanental Process
Abstract
The Cox process is a stochastic process which generalises the Poisson process by letting the underlying intensity function itself be a stochastic process. In this paper we present a fast Bayesian inference scheme for the permanental process, a Cox process under which the square root of the intensity is a Gaussian process. In particular we exploit connections with reproducing kernel Hilbert spaces, to derive efficient approximate Bayesian inference algorithms based on the Laplace approximation to the predictive distribution and marginal likelihood. We obtain a simple algorithm which we apply to toy and real-world problems, obtaining orders of magnitude speed improvements over previous work.
Cite
Text
Walder and Bishop. "Fast Bayesian Intensity Estimation for the Permanental Process." International Conference on Machine Learning, 2017.Markdown
[Walder and Bishop. "Fast Bayesian Intensity Estimation for the Permanental Process." International Conference on Machine Learning, 2017.](https://mlanthology.org/icml/2017/walder2017icml-fast/)BibTeX
@inproceedings{walder2017icml-fast,
title = {{Fast Bayesian Intensity Estimation for the Permanental Process}},
author = {Walder, Christian J. and Bishop, Adrian N.},
booktitle = {International Conference on Machine Learning},
year = {2017},
pages = {3579-3588},
volume = {70},
url = {https://mlanthology.org/icml/2017/walder2017icml-fast/}
}