Related papers: Efficient MCMC implementation of multi-state mark-…

Despite the enormous success of Hamiltonian Monte Carlo and related Markov Chain Monte Carlo (MCMC) methods, sampling often still represents the computational bottleneck in scientific applications. Availability of parallel resources can…

Bayesian inference in hidden Markov models (HMMs) can be challenging due to the presence of multimodality in the likelihood function, and consequently in the joint posterior distribution, even after correcting for label switching. The…

Bayesian inference provides a principled framework for learning from complex data and reasoning under uncertainty. It has been widely applied in machine learning tasks such as medical diagnosis, drug design, and policymaking. In these…

Most capture-recapture models assume that individuals either do not emigrate or emigrate permanently from the sampling area during the sampling period. This assumption is violated when individuals temporarily leave the sampling area and…

An irreversible Markov-chain Monte Carlo (MCMC) algorithm with skew detailed balance conditions originally proposed by Turitsyn et al. is extended to general discrete systems on the basis of the Metropolis-Hastings scheme. To evaluate the…

This paper develops a novel sequential Monte Carlo (SMC) approach for joint state and parameter estimation that can deal efficiently with abruptly changing parameters which is a common case when tracking maneuvering targets. The approach…

The Hidden Markov Model (HMM) is a widely-used statistical model for handling sequential data. However, the presence of missing observations in real-world datasets often complicates the application of the model. The EM algorithm and Gibbs…

In the case of a linear state space model, we implement an MCMC sampler with two phases. In the learning phase, a self-tuning sampler is used to learn the parameter mean and covariance structure. In the estimation phase, the parameter mean…

We consider Markov chain Monte Carlo (MCMC) algorithms for Bayesian high-dimensional regression with continuous shrinkage priors. A common challenge with these algorithms is the choice of the number of iterations to perform. This is…

In adaptive-sampling control, the control frequency can be adjusted during task execution. Ensuring that these changes do not jeopardize the safety of the system being controlled requires attention. We introduce robust M-step hold model…

We propose a general and flexible capture-recapture model in continuous time. Our model incorporates time-heterogeneity, observed and unobserved individual heterogeneity, and behavioral response to capture. Behavioral response can possibly…

Hamiltonian Monte Carlo (HMC) has been progressively incorporated within the statistician's toolbox as an alternative sampling method in settings when standard Metropolis-Hastings is inefficient. HMC generates a Markov chain on an augmented…

Hidden Markov models (HMMs) are popular models to identify a finite number of latent states from sequential data. However, fitting them to large data sets can be computationally demanding because most likelihood maximization techniques…

We introduce a two-parameter ensemble of random discrete-time Markov models that simultaneously captures critical slowing down and broken detailed balance. Extending a previously studied heterogeneous Markov ensemble, we incorporate…

In this paper, we consider the implications of the fact that parallel raw-power can be exploited by a generic Metropolis--Hastings algorithm if the proposed values are independent. In particular, we present improvements to the independent…

State space models contain time-indexed parameters, termed states, as well as static parameters, simply termed parameters. The problem of inferring both static parameters as well as states simultaneously, based on time-indexed observations,…

The quantile varying coefficient (VC) model can flexibly capture dynamical patterns of regression coefficients. In addition, due to the quantile check loss function, it is robust against outliers and heavy-tailed distributions of the…

In MCMC methods, such as the Metropolis-Hastings (MH) algorithm, the Gibbs sampler, or recent adaptive methods, many different strategies can be proposed, often associated in practice to unknown rates of convergence. In this paper we…

Data sets comprised of sequences of curves sampled at high frequencies in time are increasingly common in practice, but they can exhibit complicated dependence structures that cannot be modelled using common methods of Functional Data…

We discuss the semiparametric modeling of mark-recapture-recovery data where the temporal and/or individual variation of model parameters is explained via covariates. Typically, in such analyses a fixed (or mixed) effects parametric model…