Related papers: Bayesian inference with an adaptive proposal densi…
Deterministic compartmental models are predominantly used in the modeling of infectious diseases, though stochastic models are considered more realistic, yet are complicated to estimate due to missing data. In this paper we present a novel…
In an indirect Gaussian sequence space model lower and upper bounds are derived for the concentration rate of the posterior distribution of the parameter of interest shrinking to the parameter value $\theta^\circ$ that generates the data.…
Bayesian methods and their implementations by means of sophisticated Monte Carlo techniques, such as Markov chain Monte Carlo (MCMC) and particle filters, have become very popular in signal processing over the last years. However, in many…
We present MH-MGT, a multivariate technique for sampling from twice-differentiable, log-concave probability density functions. MH-MGT is Metropolis-Hastings sampling using asymmetric, multivariate Gaussian proposal functions constructed…
We study full Bayesian procedures for high-dimensional linear regression. We adopt data-dependent empirical priors introduced in [1]. In their paper, these priors have nice posterior contraction properties and are easy to compute. Our paper…
We present a parameter estimation procedure based on a Bayesian framework by applying a Markov Chain Monte Carlo algorithm to the calibration of the dynamical parameters of a space based gravitational wave detector. The method is based on…
We propose a general class of INteger-valued Generalized AutoRegressive Conditionally Heteroscedastic (INGARCH) processes by allowing time-varying mean and dispersion parameters, which we call time-varying dispersion INGARCH (tv-DINGARCH)…
Uncertainty quantification for large-scale inverse problems remains a challenging task. For linear inverse problems with additive Gaussian noise and Gaussian priors, the posterior is Gaussian but sampling can be challenging, especially for…
Gaussian graphical models are used for determining conditional relationships between variables. This is accomplished by identifying off-diagonal elements in the inverse-covariance matrix that are non-zero. When the ratio of variables (p) to…
This paper develops a Bayesian procedure for estimation and forecasting of the volatility of multivariate time series. The foundation of this work is the matrix-variate dynamic linear model, for the volatility of which we adopt a…
Estimating time-varying correlation matrices is challenging because existing methods may adapt slowly to structural changes, impose insufficient regularization, or produce diffuse posterior uncertainty. In moderate dimensions, an additional…
A Markov switching asymmetric GARCH model which imposes more leverage effect of the negative shocks is considered. The asymptotic behavior of the second moment is investigated and an upper bound for it is calculated. A bayesian strategy…
The declining response rates in probability surveys along with the widespread availability of unstructured data has led to growing research into non-probability samples. Existing robust approaches are not well-developed for non-Gaussian…
We study frequentist properties of a Bayesian high-dimensional multivariate linear regression model with correlated responses. The predictors are separated into many groups and the group structure is pre-determined. Two features of the…
Volatility clustering and spillovers are key features of real-world financial time series when there are a lot of cross-sectional financial assets. While network analysis helps connect stocks that are 'similar' or 'correlated', which is…
Hawkes processes are often applied to model dependence and interaction phenomena in multivariate event data sets, such as neuronal spike trains, social interactions, and financial transactions. In the nonparametric setting, learning the…
A simple and efficient adaptive Markov Chain Monte Carlo (MCMC) method, called the Metropolized Adaptive Subspace (MAdaSub) algorithm, is proposed for sampling from high-dimensional posterior model distributions in Bayesian variable…
We introduce a multivariate stochastic volatility model for asset returns that imposes no restrictions to the structure of the volatility matrix and treats all its elements as functions of latent stochastic processes. When the number of…
Considering the flexibility and applicability of Bayesian modeling, in this work we revise the main characteristics of two hierarchical models in a regression setting. We study the full probabilistic structure of the models along with the…
This article introduces a novel dynamic framework to Bayesian model averaging for time-varying parameter quantile regressions. By employing sequential Markov chain Monte Carlo, we combine empirical estimates derived from dynamically chosen…