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Ensemble learning is a mainstay in modern data science practice. Conventional ensemble algorithms assign to base models a set of deterministic, constant model weights that (1) do not fully account for individual models varying accuracy across data subgroups, nor (2) provide uncertainty estimates for the ensemble prediction. These shortcomings can yield predictions that are precise but biased, which can negatively impact the performance of the algorithm in real-word applications. In this work, we present an adaptive, probabilistic approach to ensemble learning using a transformed Gaussian process as a prior for the ensemble weights. Given input features, our method optimally combines base models based on their predictive accuracy in the feature space, and provides interpretable estimates of the uncertainty associated with both model selection, as reflected by the ensemble weights, and the overall ensemble predictions. Furthermore, to ensure that this quantification of the model uncertainty is accurate, we propose additional machinery to non-parametrically model the ensembles predictive cumulative density function (CDF) so that it is consistent with the empirical distribution of the data. We apply the proposed method to data simulated from a nonlinear regression model, and to generate a spatial prediction model and associated prediction uncertainties for fine particle levels in eastern Massachusetts, USA.
A nonparametric Bayes approach is proposed for the problem of estimating a sparse sequence based on Gaussian random variables. We adopt the popular two-group prior with one component being a point mass at zero, and the other component being a mixture
Ensemble learning is a mainstay in modern data science practice. Conventional ensemble algorithms assigns to base models a set of deterministic, constant model weights that (1) do not fully account for variations in base model accuracy across subgrou
While there is an increasing amount of literature about Bayesian time series analysis, only a few Bayesian nonparametric approaches to multivariate time series exist. Most methods rely on Whittles Likelihood, involving the second order structure of a
Although combination antiretroviral therapy (ART) is highly effective in suppressing viral load for people with HIV (PWH), many ART agents may exacerbate central nervous system (CNS)-related adverse effects including depression. Therefore, understand
Classification is the task of assigning a new instance to one of a set of predefined categories based on the attributes of the instance. A classification tree is one of the most commonly used techniques in the area of classification. In this paper, w