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Mean field variational Bayes (MFVB) is a popular posterior approximation method due to its fast runtime on large-scale data sets. However, it is well known that a major failing of MFVB is that it underestimates the uncertainty of model…
Mean field variational Bayes (MFVB) is a popular posterior approximation method due to its fast runtime on large-scale data sets. However, it is well known that a major failing of MFVB is that it underestimates the uncertainty of model…
Mean-field Variational Bayes (MFVB) is an approximate Bayesian posterior inference technique that is increasingly popular due to its fast runtimes on large-scale datasets. However, even when MFVB provides accurate posterior means for…
The Mean Field Variational Bayes (MFVB) method is one of the most computationally efficient techniques for Bayesian inference. However, its use has been restricted to models with conjugate priors or those that require analytical…
Variational Bayes (VB) is a recent approximate method for Bayesian inference. It has the merit of being a fast and scalable alternative to Markov Chain Monte Carlo (MCMC) but its approximation error is often unknown. In this paper, we…
In Bayesian analysis, the posterior follows from the data and a choice of a prior and a likelihood. One hopes that the posterior is robust to reasonable variation in the choice of prior and likelihood, since this choice is made by the…
Variational Bayes (VB), a method originating from machine learning, enables fast and scalable estimation of complex probabilistic models. Thus far, applications of VB in discrete choice analysis have been limited to mixed logit models with…
The spatial error model (SEM) is a type of simultaneous autoregressive (SAR) model for analysing spatially correlated data. Markov chain Monte Carlo (MCMC) is one of the most widely used Bayesian methods for estimating SEM, but it has…
Non-linear hierarchical models are commonly used in many disciplines. However, inference in the presence of non-nested effects and on large datasets is challenging and computationally burdensome. This paper provides two contributions to…
Variational Bayes (VB) has shown itself to be a powerful approximation method in many application areas. This paper describes some diagnostics methods which can assess how well the VB approximates the true posterior, particularly with…
Bayesian methods have proved powerful in many applications for the inference of model parameters from data. These methods are based on Bayes' theorem, which itself is deceptively simple. However, in practice the computations required are…
Linear regression with measurement error in the covariates is a heavily studied topic, however, the statistics/econometrics literature is almost silent to estimating a multi-equation model with measurement error. This paper considers a…
Despite the popularism of Bayesian neural networks in recent years, its use is somewhat limited in complex and big data situations due to the computational cost associated with full posterior evaluations. Variational Bayes (VB) provides a…
While Bayesian methods are extremely popular in statistics and machine learning, their application to massive datasets is often challenging, when possible at all. Indeed, the classical MCMC algorithms are prohibitively slow when both the…
We conduct non-asymptotic analysis on the mean-field variational inference for approximating posterior distributions in complex Bayesian models that may involve latent variables. We show that the mean-field approximation to the posterior…
Variational Bayes (VB) is a scalable alternative to Markov chain Monte Carlo (MCMC) for Bayesian posterior inference. Though popular, VB comes with few theoretical guarantees, most of which focus on well-specified models. However, models…
Variational regression methods are an increasingly popular tool for their efficient estimation of complex. Given the mixed model representation of penalized effects, additive regression models with smoothed effects and scalar-on-function…
Variational inference (VI) is a popular method for approximating intractable posterior distributions in Bayesian inference and probabilistic machine learning. In this paper, we introduce a general framework for quantifying the statistical…
The multinomial probit model is often used to analyze choice behaviour. However, estimation with existing Markov chain Monte Carlo (MCMC) methods is computationally costly, which limits its applicability to large choice data sets. This…
Variational Bayes (VB) is rapidly becoming a popular tool for Bayesian inference in statistical modeling. However, the existing VB algorithms are restricted to cases where the likelihood is tractable, which precludes the use of VB in many…