Related papers: Fully Bayes factors with a generalized g-prior

We develop a method to perform model averaging in two-stage linear regression systems subject to endogeneity. Our method extends an existing Gibbs sampler for instrumental variables to incorporate a component of model uncertainty. Direct…

Real-life statistical samples are often plagued by selection bias, which complicates drawing conclusions about the general population. When learning causal relationships between the variables is of interest, the sample may be assumed to be…

Varying coefficient models have numerous applications in a wide scope of scientific areas. While enjoying nice interpretability, they also allow flexibility in modeling dynamic impacts of the covariates. But, in the new era of big data, it…

Statisticians often face the choice between using probability models or a paradigm defined by minimising a loss function. Both approaches are useful and, if the loss can be re-cast into a proper probability model, there are many tools to…

The elicitation of power priors, based on the availability of historical data, is realized by raising the likelihood function of the historical data to a fractional power {\delta}, which quantifies the degree of discounting of the…

Existing theoretical work on Bayes-optimal fair classifiers usually considers a single (binary) sensitive feature. In practice, individuals are often defined by multiple sensitive features. In this paper, we characterize the Bayes-optimal…

Many popular Bayesian nonparametric priors can be characterized in terms of exchangeable species sampling sequences. However, in some applications, exchangeability may not be appropriate. We introduce a {novel and probabilistically coherent…

Bayesian inference is applied directly to the problem of unfolding. The outcome is a posterior probability density for the spectrum before smearing, defined in the multi-dimensional space of all possible spectra. Regularization consists in…

Semiparametric mixture models are parametric models with latent variables. They are defined kernel, $p_\theta(x | z)$, where z is the unknown latent variable, and $\theta$ is the parameter of interest. We assume that the latent variables…

Using a collection of simulated an real benchmarks, we compare Bayesian and frequentist regularization approaches under a low informative constraint when the number of variables is almost equal to the number of observations on simulated and…

Bayesian inference requires specification of a single, precise prior distribution, whereas frequentist inference only accommodates a vacuous prior. Since virtually every real-world application falls somewhere in between these two extremes,…

This paper considers estimation of the predictive density for a normal linear model with unknown variance under alpha-divergence loss for -1 <= alpha <= 1. We first give a general canonical form for the problem, and then give general…

We introduce the concept of conjugate prior models for a given likelihood function in Bayesian spatial inversion. The conjugate class of prior models can be selection extended and still remain conjugate. We demonstrate the generality of…

Model misspecification is a long-standing enigma of the Bayesian inference framework as posteriors tend to get overly concentrated on ill-informed parameter values towards the large sample limit. Tempering of the likelihood has been…

We introduce a Bayesian prior distribution, the Logit-Normal continuous analogue of the spike-and-slab (LN-CASS), which enables flexible parameter estimation and variable/model selection in a variety of settings. We demonstrate its use and…

A staple of Bayesian model comparison and hypothesis testing, Bayes factors are often used to quantify the relative predictive performance of two rival hypotheses. The computation of Bayes factors can be challenging, however, and this has…

We consider a class of colored graphical Gaussian models obtained by placing symmetry constraints on the precision matrix in a Bayesian framework. The prior distribution on the precision matrix is the colored $G$-Wishart prior which is the…

Across the empirical sciences, few statistical procedures rival the popularity of the frequentist t-test. In contrast, the Bayesian versions of the t-test have languished in obscurity. In recent years, however, the theoretical and practical…

Inference on high-dimensional parameters in structured linear models is an important statistical problem. This paper focuses on the case of a piecewise polynomial Gaussian sequence model, and we develop a new empirical Bayes solution that…

Model selection criteria are one of the most important tools in statistics. Proofs showing a model selection criterion is asymptotically optimal are tailored to the type of model (linear regression, quantile regression, penalized…