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The rapid development of modern technology facilitates the appearance of numerous unprecedented complex data which do not satisfy the axioms of Euclidean geometry, while most of the statistical hypothesis tests are available in Euclidean or…

We develop a Bayesian vector autoregressive (VAR) model with multivariate stochastic volatility that is capable of handling vast dimensional information sets. Three features are introduced to permit reliable estimation of the model. First,…

Survival data is encountered in a range of disciplines, most notably health and medical research. Although Bayesian approaches to the analysis of survival data can provide a number of benefits, they are less widely used than classical (e.g.…

Although the statistical literature extensively covers continuous-valued time series processes and their parametric, non-parametric and semiparametric estimation, the literature on count data time series is considerably less advanced. Among…

dynamite is an R package for Bayesian inference of intensive panel (time series) data comprising multiple measurements per multiple individuals measured in time. The package supports joint modeling of multiple response variables,…

For a Bayesian, real-time forecasting with the posterior predictive distribution can be challenging for a variety of time series models. First, estimating the parameters of a time series model can be difficult with sample-based approaches…

We propose a multiscale approach to time series autoregression, in which linear regressors for the process in question include features of its own path that live on multiple timescales. We take these multiscale features to be the recent…

We propose a novel approach to Bayesian analysis that is provably robust to outliers in the data and often has computational advantages over standard methods. Our technique is based on splitting the data into non-overlapping subgroups,…

We consider a novel Bayesian approach to estimation, uncertainty quantification, and variable selection for a high-dimensional linear regression model under sparsity. The number of predictors can be nearly exponentially large relative to…

Bayesian Additive Regression Trees (BART) is a Bayesian approach to flexible non-linear regression which has been shown to be competitive with the best modern predictive methods such as those based on bagging and boosting. BART offers some…

Bayesian additive regression trees (BART) (Chipman et. al., 2010) is a powerful predictive model that often outperforms alternative models at out-of-sample prediction. BART is especially well-suited to settings with unstructured predictor…

This paper addresses the problem of fault diagnosis in multistation assembly systems. Fault diagnosis is to identify process faults that cause the excessive dimensional variation of the product using dimensional measurements. For such…

Deep Gaussian processes (DGPs) are multi-layer hierarchical generalisations of Gaussian processes (GPs) and are formally equivalent to neural networks with multiple, infinitely wide hidden layers. DGPs are nonparametric probabilistic models…

The rapid growth of online network platforms generates large-scale network data and it poses great challenges for statistical analysis using the spatial autoregression (SAR) model. In this work, we develop a novel distributed estimation and…

Vector autoregressive (VAR) models assume linearity between the endogenous variables and their lags. This assumption might be overly restrictive and could have a deleterious impact on forecasting accuracy. As a solution, we propose…

This article introduces the R package hermiter which facilitates estimation of univariate and bivariate probability density functions and cumulative distribution functions along with full quantile functions (univariate) and nonparametric…

The joint interpretation of very high resolution SAR and optical images in dense urban area are not trivial due to the distinct imaging geometry of the two types of images. Especially, the inevitable layover caused by the side-looking SAR…

The BayesMortalityPlus package provides a framework for modelling and predicting mortality data. The package includes tools for the construction of life tables based on Heligman-Pollard laws, and also on dynamic linear smoothers.…

To infer the parameters of mechanistic models with intractable likelihoods, techniques such as approximate Bayesian computation (ABC) are increasingly being adopted. One of the main disadvantages of ABC in practical situations, however, is…

Distribution regression, where the goal is to predict a scalar response from a distribution-valued predictor, arises naturally in settings where observations are grouped and outcomes depend on group-level characteristics rather than on…