Exact Bayesian Gaussian Cox Processes Using Random Integral

• URL: http://arxiv.org/abs/2406.19722v1
• Date: Fri, 28 Jun 2024 08:11:33 GMT
• Title: Exact Bayesian Gaussian Cox Processes Using Random Integral
• Authors: Bingjing Tang, Julia Palacios,
• Abstract summary: Posterior inference of an intensity function involves an intractable integral in the likelihood resulting in doubly intractable posterior distribution. We propose a nonparametric Bayesian approach for estimating the intensity function of an inhomogeneous Poisson process without reliance on large data augmentation or approximations of the likelihood function. We demonstrate the utility of our method in three real-world scenarios including temporal and spatial event data, as well as aggregated time count data collected at multiple resolutions.
• Score: 0.0
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: A Gaussian Cox process is a popular model for point process data, in which the intensity function is a transformation of a Gaussian process. Posterior inference of this intensity function involves an intractable integral (i.e., the cumulative intensity function) in the likelihood resulting in doubly intractable posterior distribution. Here, we propose a nonparametric Bayesian approach for estimating the intensity function of an inhomogeneous Poisson process without reliance on large data augmentation or approximations of the likelihood function. We propose to jointly model the intensity and the cumulative intensity function as a transformed Gaussian process, allowing us to directly bypass the need of approximating the cumulative intensity function in the likelihood. We propose an exact MCMC sampler for posterior inference and evaluate its performance on simulated data. We demonstrate the utility of our method in three real-world scenarios including temporal and spatial event data, as well as aggregated time count data collected at multiple resolutions. Finally, we discuss extensions of our proposed method to other point processes.

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