Linear Time GPs for Inferring Latent Trajectories from Neural Spike
  Trains
Matthew Dowling Yuan Zhao Il Memming Park
Latent Gaussian process (GP) models are widely used in neuroscience to
uncover hidden state evolutions from sequential observations, mainly in neural
activity recordings. While latent GP models provide a principled and powerful
solution in theory, the intractable posterior in non-conjugate settings
necessitates approximate inference schemes, which may lack scalability. In this
work, we propose cvHM, a general inference framework for latent GP models
leveraging Hida-Mat\'ern kernels and conjugate computation variational
inference (CVI). With cvHM, we are able to perform variational inference of
latent neural trajectories with linear time complexity for arbitrary
likelihoods. The reparameterization of stationary kernels using Hida-Mat\'ern
GPs helps us connect the latent variable models that encode prior assumptions
through dynamical systems to those that encode trajectory assumptions through
GPs. In contrast to previous work, we use bidirectional information filtering,
leading to a more concise implementation. Furthermore, we employ the Whittle
approximate likelihood to achieve highly efficient hyperparameter learning.