Related papers: Bayesian model selection consistency and oracle in…

Compromise estimation entails using a weighted average of outputs from several candidate models, and is a viable alternative to model selection when the choice of model is not obvious. As such, it is a tool used by both frequentists and…

Some statistical models are specified via a data generating process for which the likelihood function cannot be computed in closed form. Standard likelihood-based inference is then not feasible but the model parameters can be inferred by…

We propose Bayesian Conformal Prediction (BCP), a framework that combines Bayesian posterior predictive distributions with PAC-style conformal risk control to produce prediction sets with finite-sample coverage guarantees. Standard…

This article introduces a subbagging (subsample aggregating) approach for variable selection in regression within the context of big data. The proposed subbagging approach not only ensures that variable selection is scalable given the…

We review common situations in Bayesian latent variable models where the prior distribution that a researcher specifies differs from the prior distribution used during estimation. These situations can arise from the positive definite…

The Lasso has attracted the attention of many authors these last years. While many efforts have been made to prove that the Lasso behaves like a variable selection procedure at the price of strong (though unavoidable) assumptions on the…

This work proposes a Bayesian inference method for the reduced-order modeling of time-dependent systems. Informed by the structure of the governing equations, the task of learning a reduced-order model from data is posed as a Bayesian…

Models with intractable likelihood functions arise in areas including network analysis and spatial statistics, especially those involving Gibbs random fields. Posterior parameter es timation in these settings is termed a doubly-intractable…

The sample mean is often used to aggregate different unbiased estimates of a parameter, producing a final estimate that is unbiased but possibly high-variance. This paper introduces the Bayesian median of means, an aggregation rule that…

Motivated by examples from genetic association studies, this paper considers the model selection problem in a general complex linear model system and in a Bayesian framework. We discuss formulating model selection problems and incorporating…

There are many issues that can cause problems when attempting to infer model parameters from data. Data and models are both imperfect, and as such there are multiple scenarios in which standard methods of inference will lead to misleading…

Suppose $X_1,\dots, X_n$ is a random sample from a bounded and decreasing density $f_0$ on $[0,\infty)$. We are interested in estimating such $f_0$, with special interest in $f_0(0)$. This problem is encountered in various statistical…

This paper studies the multiplicity-correction effect of standard Bayesian variable-selection priors in linear regression. Our first goal is to clarify when, and how, multiplicity correction happens automatically in Bayesian analysis, and…

Modern imaging techniques heavily rely on Bayesian statistical models to address difficult image reconstruction and restoration tasks. This paper addresses the objective evaluation of such models in settings where ground truth is…

Estimating racial disparities in loan-approval probabilities when race is unobserved is routinely required for fair lending compliance. In such cases, race probabilities-typically from Bayesian Improved Surname Geocoding (BISG)-stand in for…

Bayesian variable selection often assumes normality, but the effects of model misspecification are not sufficiently understood. There are sound reasons behind this assumption, particularly for large $p$: ease of interpretation, analytical…

We provide a brief overview of both Bayes and classical model selection. We argue tentatively that model selection has at least two major goals, that of finding the correct model or predicting well, and that in general both these goals may…

Optimal Bayesian feature selection (OBFS) is a multivariate supervised screening method designed from the ground up for biomarker discovery. In this work, we prove that Gaussian OBFS is strongly consistent under mild conditions, and provide…

Double descent is a phenomenon of over-parameterized statistical models such as deep neural networks which have a re-descending property in their risk function. As the complexity of the model increases, risk exhibits a U-shaped region due…

We consider Bayesian variable selection in sparse high-dimensional regression, where the number of covariates $p$ may be large relative to the samples size $n$, but at most a moderate number $q$ of covariates are active. Specifically, we…