Related papers: Adaptive empirical Bayesian smoothing splines
Bayesian inference often faces a trade-off between computational speed and sampling accuracy. We propose an adaptive workflow that integrates rapid amortized inference with gold-standard MCMC techniques to achieve a favorable combination of…
Empirical Bayes is a versatile approach to `learn from a lot' in two ways: first, from a large number of variables and second, from a potentially large amount of prior information, e.g. stored in public repositories. We review applications…
Empirical Bayes small area estimation based on the well-known Fay-Herriot model may produce unreliable estimates when outlying areas exist. Existing robust methods against outliers or model misspecification are generally inefficient when…
We present a Bayesian nonparametric model for conditional distribution estimation using Bayesian additive regression trees (BART). The generative model we use is based on rejection sampling from a base model. Typical of BART models, our…
We consider a Bayesian approach to variable selection in the presence of high dimensional covariates based on a hierarchical model that places prior distributions on the regression coefficients as well as on the model space. We adopt the…
We consider the problem of constructing Bayesian based confidence sets for linear functionals in the inverse Gaussian white noise model. We work with a scale of Gaussian priors indexed by a regularity hyper-parameter and apply the…
We extend the work of Hahn and Carvalho (2015) and develop a doubly-regularized sparse regression estimator by synthesizing Bayesian regularization with penalized least squares within a decision-theoretic framework. In contrast to existing…
Approximate Bayesian inference on the basis of summary statistics is well-suited to complex problems for which the likelihood is either mathematically or computationally intractable. However the methods that use rejection suffer from the…
Bayesian optimization is normally performed within fixed variable bounds. In cases like hyperparameter tuning for machine learning algorithms, setting the variable bounds is not trivial. It is hard to guarantee that any fixed bounds will…
This paper develops a Bayesian framework for robust causal inference from longitudinal observational data. Many contemporary methods rely on structural assumptions, such as factor models, to adjust for unobserved confounding, but they can…
Trajectory reconstruction is the process of inferring the path of a moving object between successive observations. In this paper, we propose a smoothing spline -- which we name the V-spline -- that incorporates position and velocity…
Complex simulator-based models are now routinely used to perform inference across the sciences and engineering, but existing inference methods are often unable to account for outliers and other extreme values in data which occur due to…
Bayesian models quantify uncertainty and facilitate optimal decision-making in downstream applications. For most models, however, practitioners are forced to use approximate inference techniques that lead to sub-optimal decisions due to…
This paper develops a methodology for robust Bayesian inference through the use of disparities. Metrics such as Hellinger distance and negative exponential disparity have a long history in robust estimation in frequentist inference. We…
Parameter estimates for associated genetic variants, report ed in the initial discovery samples, are often grossly inflated compared to the values observed in the follow-up replication samples. This type of bias is a consequence of the…
We propose a new empirical Bayes approach for inference in the $p \gg n$ normal linear model. The novelty is the use of data in the prior in two ways, for centering and regularization. Under suitable sparsity assumptions, we establish a…
We show that it is feasible to carry out exact Bayesian inference for non-Gaussian state space models using an adaptive Metropolis Hastings sampling scheme with the likelihood approximated by the particle filter. Furthermore, an adapyive…
The process of calibrating computer models of natural phenomena is essential for applications in the physical sciences, where plenty of domain knowledge can be embedded into simulations and then calibrated against real observations. Current…
The non-parametric estimation of average causal effects in observational studies often relies on controlling for confounding covariates through smoothing regression methods such as kernel, splines or local polynomial regression. Such…
We propose a fast and theoretically grounded method for Bayesian variable selection and model averaging in latent variable regression models. Our framework addresses three interrelated challenges: (i) intractable marginal likelihoods, (ii)…