Related papers: Local bandwidth selection for kernel density estim…
We propose using an adaptive sampling method to detect changes for a system with multiple lines. The adaptive sampling utilizes the information in responses to learn on which line is more likely to have a change thus allocating more units…
Performing numerical integration when the integrand itself cannot be evaluated point-wise is a challenging task that arises in statistical analysis, notably in Bayesian inference for models with intractable likelihood functions. Markov…
We study the asymptotic behavior of kernel estimators of asymptotic variances (or long-run variances) for a class of adaptive Markov chains. The convergence is studied both in $L^p$ and almost surely. The results also apply to Markov chains…
We propose an adaptive bandwidth selector via cross validation for local M-estimators in locally stationary processes. We prove asymptotic optimality of the procedure under mild conditions on the underlying parameter curves. The results are…
Markov Chain Monte Carlo (MCMC) techniques are now widely used for cosmological parameter estimation. Chains are generated to sample the posterior probability distribution obtained following the Bayesian approach. An important issue is how…
This paper develops a framework for quantile regression in binary longitudinal data settings. A novel Markov chain Monte Carlo (MCMC) method is designed to fit the model and its computational efficiency is demonstrated in a simulation…
We consider the problem of approximating the stationary distribution of an ergodic Markov chain given a set of sampled transitions. Classical simulation-based approaches assume access to the underlying process so that trajectories of…
We propose a new class of learning algorithms that combines variational approximation and Markov chain Monte Carlo (MCMC) simulation. Naive algorithms that use the variational approximation as proposal distribution can perform poorly…
This paper presents a Bayesian sampling approach to bandwidth estimation for the local linear estimator of the regression function in a nonparametric regression model. In the Bayesian sampling approach, the error density is approximated by…
One of the most widely used samplers in practice is the component-wise Metropolis-Hastings (CMH) sampler that updates in turn the components of a vector valued Markov chain using accept-reject moves generated from a proposal distribution.…
In this paper we develop a statistical estimation technique to recover the transition kernel $P$ of a Markov chain $X=(X_m)_{m \in \mathbb N}$ in presence of censored data. We consider the situation where only a sub-sequence of $X$ is…
We introduce a Markov Chain Monte Carlo (MCMC) method that is designed to sample from target distributions with irregular geometry using an adaptive scheme. In cases where targets exhibit non-Gaussian behaviour, we propose that adaption…
We consider a class of small-sample distribution estimators over noisy channels. Our estimators are designed for repetition channels, and rely on properties of the runs of the observed sequences. These runs are modeled via a special type of…
Computational procedures for the stationary probability distribution, the group inverse of the Markovian kernel and the mean first passage times of an irreducible Markov chain, are developed using perturbations. The derivation of these…
Approximate Markov chain Monte Carlo (MCMC) offers the promise of more rapid sampling at the cost of more biased inference. Since standard MCMC diagnostics fail to detect these biases, researchers have developed computable Stein discrepancy…
We introduce a new algorithm for approximate inference that combines reparametrization, Markov chain Monte Carlo and variational methods. We construct a very flexible implicit variational distribution synthesized by an arbitrary Markov…
A method is developed to numerically solve chance constrained optimal control problems. The chance constraints are reformulated as nonlinear constraints that retain the probability properties of the original constraint. The reformulation…
This paper introduces a framework for speeding up Bayesian inference conducted in presence of large datasets. We design a Markov chain whose transition kernel uses an (unknown) fraction of (fixed size) of the available data that is randomly…
A spectral mixture (SM) kernel is a flexible kernel used to model any stationary covariance function. Although it is useful in modeling data, the learning of the SM kernel is generally difficult because optimizing a large number of…
The basic question in perturbation analysis of Markov chains is: how do small changes in the transition kernels of Markov chains translate to chains in their stationary distributions? Many papers on the subject have shown, roughly, that the…