Related papers: Bayesian inference for latent factor GARCH models
We give methods for Bayesian inference of directed acyclic graphs, DAGs, and the induced causal effects from passively observed complete data. Our methods build on a recent Markov chain Monte Carlo scheme for learning Bayesian networks,…
The PAC-Bayesian approach is a powerful set of techniques to derive non- asymptotic risk bounds for random estimators. The corresponding optimal distribution of estimators, usually called the Gibbs posterior, is unfortunately intractable.…
Although linear regression models are fundamental tools in statistical science, the estimation results can be sensitive to outliers. While several robust methods have been proposed in frequentist frameworks, statistical inference is not…
Survival models are used to analyze time-to-event data in a variety of disciplines. Proportional hazard models provide interpretable parameter estimates, but proportional hazards assumptions are not always appropriate. Non-parametric models…
We deal with Bayesian inference for Beta autoregressive processes. We restrict our attention to the class of conditionally linear processes. These processes are particularly suitable for forecasting purposes, but are difficult to estimate…
We propose a novel approach to estimating the precision matrix of multivariate Gaussian data that relies on decomposing them into a low-rank and a diagonal component. Such decompositions are very popular for modeling large covariance…
We consider the problem of flexible modeling of higher order hidden Markov models when the number of latent states and the nature of the serial dependence, including the true order, are unknown. We propose Bayesian nonparametric methodology…
We propose a very fast approximate Markov Chain Monte Carlo (MCMC) sampling framework that is applicable to a large class of sparse Bayesian inference problems, where the computational cost per iteration in several models is of order…
Identifying the active factors that have significant impacts on the output of the complex system is an important but challenging variable selection problem in computer experiments. In this paper, a Bayesian hierarchical Gaussian process…
Bayesian inference for factorial hidden Markov models is challenging due to the exponentially sized latent variable space. Standard Monte Carlo samplers can have difficulties effectively exploring the posterior landscape and are often…
We develop an efficient Bayesian sequential inference framework for factor analysis models observed via various data types, such as continuous, binary and ordinal data. In the continuous data case, where it is possible to marginalise over…
This article analyses a new class of advanced particle Markov chain Monte Carlo algorithms recently introduced by Andrieu, Doucet, and Holenstein (2010). We present a natural interpretation of these methods in terms of well known…
Bayesian model selection, with precedents in George and McCulloch (1993) and Abramovich et al. (1998), support credibility measures that relate model uncertainty, but computation can be costly when sparse priors are approximate. We design…
It is common practice to use Laplace approximations to compute marginal likelihoods in Bayesian versions of generalised linear models (GLM). Marginal likelihoods combined with model priors are then used in different search algorithms to…
In this paper, we develop Bayesian Hamiltonian Monte Carlo methods for inference in asymmetric GARCH models under different distributions for the error term. We implemented Zero-variance and Hamiltonian Monte Carlo schemes for parameter…
We study Bayesian methods for large-scale linear inverse problems, focusing on the challenging task of hyperparameter estimation. Typical hierarchical Bayesian formulations that follow a Markov Chain Monte Carlo approach are possible for…
We consider the problem of flexible modeling of higher order Markov chains when an upper bound on the order of the chain is known but the true order and nature of the serial dependence are unknown. We propose Bayesian nonparametric…
Despite having various attractive qualities such as high prediction accuracy and the ability to quantify uncertainty and avoid over-fitting, Bayesian Matrix Factorization has not been widely adopted because of the prohibitive cost of…
Sparsity has become a key concept for solving of high-dimensional inverse problems using variational regularization techniques. Recently, using similar sparsity-constraints in the Bayesian framework for inverse problems by encoding them in…
We consider Bayesian hierarchical models for survival analysis, where the survival times are modeled through an underlying diffusion process which determines the hazard rate. We show how these models can be efficiently treated by means of…