Abstract We derive an explicit representation of the transitions of the Heston stochastic volatility model and use it for fast and accurate simulation of the model. Of particular i...
A framework for the regularized estimation of nonuniform dimensionality and density in high dimensional data is introduced in this work. This leads to learning stratifications, th...
We introduce a mixture of probabilistic canonical correlation analyzers model for analyzing local correlations, or more generally mutual statistical dependencies, in cooccurring d...
Abstract. The underdetermined blind audio source separation problem is often addressed in the time-frequency domain by assuming that each time-frequency point is an independently d...
In this paper, we introduce a new method for tracking multiple objects. The method combines Kalman filtering and the Expectation Maximization (EM) algorithm in a novel way to dea...