Related papers: Bayesian inference with an adaptive proposal densi…

This paper focuses on variational inference with intractable likelihood functions that can be unbiasedly estimated. A flexible variational approximation based on Gaussian mixtures is developed, by adopting the mixture population Monte Carlo…

Markov Chain Monte Carlo approach is frequently used within Bayesian framework to sample the target posterior distribution. Its efficiency strongly depends on the proposal used to build the chain. The best jump proposal is the one that…

We develop an iterative framework for Bayesian inference problems where the posterior distribution may involve computationally intensive models, intractable gradients, significant posterior concentration, and pronounced non-Gaussianity. Our…

Gaussian graphical model is one of the powerful tools to analyze conditional independence between two variables for multivariate Gaussian-distributed observations. When the dimension of data is moderate or high, penalized likelihood methods…

We consider nonparametric Bayesian estimation inference using a rescaled smooth Gaussian field as a prior for a multidimensional function. The rescaling is achieved using a Gamma variable and the procedure can be viewed as choosing an…

We consider Bayesian inference problems with computationally intensive likelihood functions. We propose a Gaussian process (GP) based method to approximate the joint distribution of the unknown parameters and the data. In particular, we…

High-dimensional linear models have been widely studied, but the developments in high-dimensional generalized linear models, or GLMs, have been slower. In this paper, we propose an empirical or data-driven prior leading to an empirical…

In order to cluster or partition data, we often use Expectation-and-Maximization (EM) or Variational approximation with a Gaussian Mixture Model (GMM), which is a parametric probability density function represented as a weighted sum of…

This article focuses on inference in logistic regression for high-dimensional binary outcomes. A popular approach induces dependence across the outcomes by including latent factors in the linear predictor. Bayesian approaches are useful for…

In recent times empirical likelihood has been widely applied under Bayesian framework. Markov chain Monte Carlo (MCMC) methods are frequently employed to sample from the posterior distribution of the parameters of interest. However,…

A standard model of (conditional) heteroscedasticity, i.e., the phenomenon that the variance of a process changes over time, is the Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) model, which is especially important for…

The analysis of data from multiple experiments, such as observations of several individuals, is commonly approached using mixed-effects models, which account for variation between individuals through hierarchical representations. This makes…

Local volatility is a versatile option pricing model due to its state dependent diffusion coefficient. Calibration is, however, non-trivial as it involves both proposing a hypothesis model of the latent function and a method for fitting it…

We propose a method to improve the efficiency and accuracy of amortized Bayesian inference by leveraging universal symmetries in the joint probabilistic model of parameters and data. In a nutshell, we invert Bayes' theorem and estimate the…

This paper advances the local projections (LP) method by addressing its inefficiency in high-frequency economic and financial data with volatility clustering. We incorporate a generalized autoregressive conditional heteroskedasticity…

Sampling from heavy-tailed and multimodal distributions is challenging when neither the target density nor the proposal density can be evaluated, as in $\alpha$-stable L\'evy-driven fractional Langevin algorithms. While the target…

The Bayesian lasso is well-known as a Bayesian alternative for Lasso. Although the advantage of the Bayesian lasso is capable of full probabilistic uncertain quantification for parameters, the corresponding posterior distribution can be…

We propose a new approach to mixed-frequency regressions in a high-dimensional environment that resorts to Group Lasso penalization and Bayesian techniques for estimation and inference. In particular, to improve the prediction properties of…

In time-series analyses, particularly for finance, generalized autoregressive conditional heteroscedasticity (GARCH) models are widely applied statistical tools for modelling volatility clusters (i.e., periods of increased or decreased…

We introduce a flexible empirical Bayes approach for fitting Bayesian generalized linear models. Specifically, we adopt a novel mean-field variational inference (VI) method and the prior is estimated within the VI algorithm, making the…