AUEB Stats Seminars 3/11/2023: Bayesian nonparametrics & Random dynamical systems by Konstantinos Kaloudis (Department of Statistics and Actuarial-Financial Mathematics, University of the Aegean)

AUEB STATS SEMINARS 2023

Konstantinos Kaloudis
Department of Statistics and Actuarial-Financial Mathematics, University of the Aegean

Title: Bayesian nonparametrics & Random dynamical systems

FRIDAY, 3/11/2023
13:15

Room T105, Troias Building

ABSTRACT

The normality of the (dynamical) noise process is one of the most common assumptions in the Random dynamical systems literature. In this talk, we will present a unified methodological framework, under the Bayesian nonparametric modeling approach, useful for the approximation of dynamical invariants based on observed time-series data. Specifically, we will use the Dirichlet Process and Geometric Stick-Breaking Process random measures as priors over the noise density. The presented methods can also be used for reconstruction, prediction and noise reduction purposes, under the assumption of a known functional form of the data-generating process and a symmetric (non-gaussian) noise density. Finally, we will discuss a recent extension of our framework, based on the utilization of Bayesian Neural Networks.