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Analyzing large samples of high-dimensional data under dependence is a challenging statistical problem as long time series may have change points, most importantly in the mean and the marginal covariances, for which one needs valid tests.…
Sampling from matrix generalized inverse Gaussian (MGIG) distributions is required in Markov Chain Monte Carlo (MCMC) algorithms for a variety of statistical models. However, an efficient sampling scheme for the MGIG distributions has not…
Structured additive distributional regression models offer a versatile framework for estimating complete conditional distributions by relating all parameters of a parametric distribution to covariates. Although these models efficiently…
Inference in general Ising models is difficult, due to high treewidth making tree-based algorithms intractable. Moreover, when interactions are strong, Gibbs sampling may take exponential time to converge to the stationary distribution. We…
Causal discovery can be a powerful tool for investigating causality when a system can be observed but is inaccessible to experiments in practice. Despite this, it is rarely used in any scientific or medical fields. One of the major hurdles…
Subsampling is a general statistical method developed in the 1990s aimed at estimating the sampling distribution of a statistic $\hat \theta _n$ in order to conduct nonparametric inference such as the construction of confidence intervals…
Hypoelliptic diffusion processes can be used to model a variety of phenomena in applications ranging from molecular dynamics to audio signal analysis. We study parameter estimation for such processes in situations where we observe some…
A general methodology is introduced for the construction and effective application of control variates to estimation problems involving data from reversible MCMC samplers. We propose the use of a specific class of functions as control…
Gibbs sampling is a Markov chain Monte Carlo method that is often used for learning and inference on graphical models. Minibatching, in which a small random subset of the graph is used at each iteration, can help make Gibbs sampling scale…
Quantum annealers are emerging as programmable, dynamical experimental platforms for probing strongly correlated spin systems. Yet key thermal assumptions, chiefly a Gibbs-distributed output ensemble, remain unverified in the large-scale…
We present a new notion of probabilistic duality for random variables involving mixture distributions. Using this notion, we show how to implement a highly-parallelizable Gibbs sampler for weakly coupled discrete pairwise graphical models…
Gibbs sampling is a common procedure used to fit finite mixture models. However, it is known to be slow to converge when exploring correlated regions of a parameter space and so blocking correlated parameters is sometimes implemented in…
The analysis of experimental data with mixed-effects models requires decisions about the specification of the appropriate random-effects structure. Recently, Barr, Levy, Scheepers, and Tily, 2013 recommended fitting `maximal' models with…
Gaussian graphical models have been used to study intrinsic dependence among several variables, but the Gaussianity assumption may be restrictive in many applications. A nonparanormal graphical model is a semiparametric generalization for…
Gibbs samplers are popular algorithms to approximate posterior distributions arising from Bayesian hierarchical models. Despite their popularity and good empirical performances, however, there are still relatively few quantitative results…
Bayesian analysis of data from the general linear mixed model is challenging because any nontrivial prior leads to an intractable posterior density. However, if a conditionally conjugate prior density is adopted, then there is a simple…
Gaussian process classification is a popular method with a number of appealing properties. We show how to scale the model within a variational inducing point framework, outperforming the state of the art on benchmark datasets. Importantly,…
Sampling from the full posterior distribution of high-dimensional non-linear, non-Gaussian latent dynamical models presents significant computational challenges. While Particle Gibbs (also known as conditional sequential Monte Carlo) is…
We consider the problem of large-scale inference on the row or column variables of data in the form of a matrix. Often this data is transposable, meaning that both the row variables and column variables are of potential interest. An example…
In Smyl et al. [Local and global trend Bayesian exponential smoothing models. International Journal of Forecasting, 2024.], a generalised exponential smoothing model was proposed that is able to capture strong trends and volatility in time…