Related papers: A Bayesian Multivariate Functional Dynamic Linear …
We introduce a class of Bayesian matrix dynamic factor models that accommodates time-varying volatility, outliers, and cross-sectional correlation in the idiosyncratic components. For model comparison, we employ an importance-sampling…
Probabilistic modeling of multidimensional spatiotemporal data is critical to many real-world applications. As real-world spatiotemporal data often exhibits complex dependencies that are nonstationary and nonseparable, developing effective…
Bayesian computation for filtering and forecasting analysis is developed for a broad class of dynamic models. The ability to scale-up such analyses in non-Gaussian, nonlinear multivariate time series models is advanced through the…
Many fMRI analyses examine functional connectivity, or statistical dependencies among remote brain regions. Yet popular methods for studying whole-brain functional connectivity often yield results that are difficult to interpret. Factor…
The problem of estimating trend and seasonal variation in time-series data has been studied over several decades, although mostly using single time series. This paper studies the problem of estimating these components from functional data,…
The problem of joint estimation of multiple graphical models from high dimensional data has been studied in the statistics and machine learning literature, due to its importance in diverse fields including molecular biology, neuroscience…
Collected data, which is used for analysis or prediction tasks, often have a hierarchical structure, for example, data from various people performing the same task. Modeling the data's structure can improve the reliability of the derived…
We introduce efficient MCMC algorithms for Bayesian inference for single-factor models with correlated residuals where the residuals' distribution is a Gaussian graphical model. We call this family of models single-factor graphical models.…
In this paper we consider several continuous-time multivariate non-Gaussian models applied to finance and proposed in the literature in the last years. We study the models focusing on the parsimony of the number of parameters, the…
Regression is an essential and fundamental methodology in statistical analysis. The majority of the literature focuses on linear and nonlinear regression in the context of the Euclidean space. However, regression models in non-Euclidean…
Linear mixed models (LMMs) are instrumental for regression analysis with structured dependence, such as grouped, clustered, or multilevel data. However, selection among the covariates--while accounting for this structured…
We discuss efficient Bayesian estimation of dynamic covariance matrices in multivariate time series through a factor stochastic volatility model. In particular, we propose two interweaving strategies (Yu and Meng, Journal of Computational…
Multilevel compositional data, such as data sampled over time that are non-negative and sum to a constant value, are common in various fields. However, there is currently no software specifically built to model compositional data in a…
We tackle the problem of multiscale regression for predictors that are spatially or temporally indexed, or with a pre-specified multiscale structure, with a Bayesian modular approach. The regression function at the finest scale is expressed…
Multivariate stochastic volatility models with skew distributions are proposed. Exploiting Cholesky stochastic volatility modeling, univariate stochastic volatility processes with leverage effect and generalized hyperbolic skew…
Modelling a large bundle of curves arises in a broad spectrum of real applications. However, existing literature relies primarily on the critical assumption of independent curve observations. In this paper, we provide a general theory for…
We propose an interdisciplinary framework that combines Bayesian predictive inference, a well-established tool in Machine Learning, with Formal Methods rooted in the computer science community. Bayesian predictive inference allows for…
Bayesian networks are a versatile and powerful tool to model complex phenomena and the interplay of their components in a probabilistically principled way. Moving beyond the comparatively simple case of completely observed, static data,…
We discuss Bayesian nonparametric procedures for the regression analysis of compositional responses, that is, data supported on a multivariate simplex. The procedures are based on a modified class of multivariate Bernstein polynomials and…
Multifractal analysis (MFA) provides a framework for the global characterization of image textures by describing the spatial fluctuations of their local regularity based on the multifractal spectrum. Several works have shown the interest of…