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Matthew Hofkes

Publications and source records attributed to Matthew Hofkes.

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Hybrid Bayesian Smoothing on Surfaces

Modeling spatial processes that exhibit both smooth and rough features poses a significant challenge. This is especially true in fields where complex physical variables are observed across spatial domains. Traditional spatial techniques, such as Gaussian processes (GPs), are ill-suited to capture sharp transitions and discontinuities in spatial fields. In this paper, we propose a new approach incorporating non-Gaussian processes (NGPs) into a hybrid model which identifies both smooth and rough components. Specifically, we model the rough process using scaled mixtures of Gaussian distributions in a Bayesian hierarchical model (BHM). Our motivation comes from the Community Earth System Model Large Ensemble (CESM-LE), where we seek to emulate climate sensitivity fields that exhibit complex spatial patterns, including abrupt transitions at ocean-land boundaries. We demonstrate that traditional GP models fail to capture such abrupt changes and that our proposed hybrid model, implemented through a full Gibbs sampler. This significantly improves model interpretability and accurate recovery of process parameters. Through a multi-factor simulation study, we evaluate the performance of several scaled mixtures designed to model the rough process. The results highlight the advantages of using these heavier tailed priors as a replacement to the Bayesian fused LASSO. One prior in particular, the normal Jeffrey's prior stands above the rest. We apply our model to the CESM-LE dataset, demonstrating its ability to better represent the mean function and its uncertainty in climate sensitivity fields. This work combines the strengths of GPs for smooth processes with the flexibility of NGPs for abrupt changes. We provide a computationally efficient Gibbs sampler and include additional strategies for accelerating Monte Carlo Markov Chain (MCMC) sampling.

stat.ME

Hybrid Smoothing for Anomaly Detection in Time Series

Many industrial and engineering processes monitored as times series have smooth trends that indicate normal behavior and occasionally anomalous patterns that can indicate a problem. This kind of behavior can be modeled by a smooth trend, such as a spline or Gaussian process, and a disruption based on a sparser representation. Our approach is to expand the process signal into two sets of basis functions: one set uses L2 penalties on the coefficients, and the other set uses L1 penalties to control sparsity. From a frequentist perspective, this results in a hybrid smoother that combines cubic smoothing splines and the LASSO. As a Bayesian hierarchical model (BHM), this is equivalent to priors giving a Gaussian process and a Laplace distribution for anomaly coefficients. For the hybrid smoother, we propose two new ways of determining the penalty parameters that use effective degrees of freedom and contrast this with the BHM that uses loosely informative inverse gamma priors. Several reformulations are used to make sampling the BHM posterior more efficient, including some novel features in orthogonalizing and regularizing the model basis functions. This methodology is motivated by a substantive application, offline monitoring of a water treatment process for municipal water filtration. We also test the robustness of these methods with a Monte Carlo study designed to inspect a range trended time series under an array of conditions and compare this new approach to multiple existing modern methods. Both the hybrid smoother and the full BHM give comparable results with small false positive and false negative rates. Besides being successful in the water treatment application, this work can be easily extended to other Gaussian process models and other features that represent process disruptions in offline data.

stat.ME