Related papers: Quasi-Bayesian Inference for Production Frontiers

We consider the problem of inference for the states and parameters of a continuous-time multitype branching process from partially observed time series data. Exact inference for this class of models, typically using sequential Monte Carlo,…

Uncertainty quantification for estimation through stochastic optimization solutions in an online setting has gained popularity recently. This paper introduces a novel inference method focused on constructing confidence intervals with…

In this paper we review important aspects of semiparametric theory and empirical processes that arise in causal inference problems. We begin with a brief introduction to the general problem of causal inference, and go on to discuss…

Mixture models are one of the most widely used statistical tools when dealing with data from heterogeneous populations. This paper considers the long-standing debate over finite mixture and infinite mixtures and brings the two modelling…

This report introduces general ideas and some basic methods of the Bayesian probability theory applied to physics measurements. Our aim is to make the reader familiar, through examples rather than rigorous formalism, with concepts such as:…

The Bayesian approach provides powerful methods for variable selection. The ability to incorporate sparsity through prior beliefs and account for parameter uncertainty allows Bayesian variable selection to consistently identify which of the…

Multi-arm bandit experimental designs are increasingly being adopted over standard randomized trials due to their potential to improve outcomes for study participants, enable faster identification of the best-performing options, and/or…

We consider Bayesian optimization of the output of a network of functions, where each function takes as input the output of its parent nodes, and where the network takes significant time to evaluate. Such problems arise, for example, in…

We present a procedure to diagnose model misspecification in situations where inference is performed using approximate Bayesian computation. We demonstrate theoretically, and empirically that this procedure can consistently detect the…

Bayesian methods have proved powerful in many applications for the inference of model parameters from data. These methods are based on Bayes' theorem, which itself is deceptively simple. However, in practice the computations required are…

Causal inference methods (instrumental variables, difference-in-differences, regression discontinuity, etc.) are primary tools used across many social science milieus. One area where their application has lagged however, is in the study of…

Motivated by parametric models for which the likelihood is analytically unavailable, numerically unstable, or prohibitively expensive to compute or optimize, we develop a prior- and likelihood-free framework for fully probabilistic…

We consider a semiparametric generalized linear model and study estimation of both marginal and quantile effects in this model. We propose an approximate maximum likelihood estimator, and rigorously establish the consistency, the asymptotic…

We present a survey of some of our recent results on Bayesian nonparametric inference for a multitude of stochastic processes. The common feature is that the prior distribution in the cases considered is on suitable sets of piecewise…

We propose a fast inference method for Bayesian nonlinear support vector machines that leverages stochastic variational inference and inducing points. Our experiments show that the proposed method is faster than competing Bayesian…

We propose an estimation methodology for a semiparametric quantile factor panel model. We provide tools for inference that are robust to the existence of moments and to the form of weak cross-sectional dependence in the idiosyncratic error…

In this paper we review recently developed methods for nonparametric Bayesian inference for one-dimensional diffusion models. We discuss different possible prior distributions, computational issues, and asymptotic results.

Bayesian models quantify uncertainty and facilitate optimal decision-making in downstream applications. For most models, however, practitioners are forced to use approximate inference techniques that lead to sub-optimal decisions due to…

The emergent field of probabilistic numerics has thus far lacked clear statistical principals. This paper establishes Bayesian probabilistic numerical methods as those which can be cast as solutions to certain inverse problems within the…

This paper considers the problem of making statistical inferences about a parameter when a narrow interval centred at a given value of the parameter is considered special, which is interpreted as meaning that there is a substantial degree…