Related papers: Bayesian hierarchical modelling of sparse count pr…

Bayesian forecasting is developed in multivariate time series analysis for causal inference. Causal evaluation of sequentially observed time series data from control and treated units focuses on the impacts of interventions using…

We propose a Machine Learning approach for optimal macroeconomic density forecasting in a high-dimensional setting where the underlying model exhibits a known group structure. Our approach is general enough to encompass specific forecasting…

Sparse modeling for signal processing and machine learning has been at the focus of scientific research for over two decades. Among others, supervised sparsity-aware learning comprises two major paths paved by: a) discriminative methods and…

Economists use quantitative trade and spatial models to make counterfactual predictions. Because such predictions often inform policy decisions, it is important to communicate the uncertainty surrounding them. Three key challenges arise in…

Mislabeled, duplicated, or biased data in real-world scenarios can lead to prolonged training and even hinder model convergence. Traditional solutions prioritizing easy or hard samples lack the flexibility to handle such a variety…

Sparsity-promoting priors have become increasingly popular over recent years due to an increased number of regression and classification applications involving a large number of predictors. In time series applications where observations are…

We consider the problem of purchasing data for machine learning or statistical estimation. The data analyst has a budget to purchase datasets from multiple data providers. She does not have any test data that can be used to evaluate the…

Datasets are rarely a realistic approximation of the target population. Say, prevalence is misrepresented, image quality is above clinical standards, etc. This mismatch is known as sampling bias. Sampling biases are a major hindrance for…

We develop sampling algorithms to fit Bayesian hierarchical models, the computational complexity of which scales linearly with the number of observations and the number of parameters in the model. We focus on crossed random effect and…

Meta-analysis is widely used to integrate results from multiple experiments to obtain generalized insights. Since meta-analysis datasets are often heteroscedastic due to varying subgroups and temporal heterogeneity arising from experiments…

Bayesian coresets have emerged as a promising approach for implementing scalable Bayesian inference. The Bayesian coreset problem involves selecting a (weighted) subset of the data samples, such that the posterior inference using the…

Forecasting enterprise-wide revenue is critical to many companies and presents several challenges and opportunities for significant business impact. This case study is based on model developments to address these challenges for forecasting…

Standard Gaussian Process (GP) regression, a powerful machine learning tool, is computationally expensive when it is applied to large datasets, and potentially inaccurate when data points are sparsely distributed in a high-dimensional…

In all areas of human knowledge, datasets are increasing in both size and complexity, creating the need for richer statistical models. This trend is also true for economic data, where high-dimensional and nonlinear/nonparametric inference…

Two key challenges in modern statistical applications are the large amount of information recorded per individual, and that such data are often not collected all at once but in batches. These batch effects can be complex, causing…

We examine the problem of making reconciled forecasts of large collections of related time series through a behavioural/Bayesian lens. Our approach explicitly acknowledges and exploits the 'connectedness' of the series in terms of…

Strategic planning in a corporate environment is often based on experience and intuition, although internal data is usually available and can be a valuable source of information. Predicting merger & acquisition (M&A) events is at the heart…

While existing mathematical descriptions can accurately account for phenomena at microscopic scales (e.g. molecular dynamics), these are often high-dimensional, stochastic and their applicability over macroscopic time scales of physical…

With continued advances in Geographic Information Systems and related computational technologies, statisticians are often required to analyze very large spatial datasets. This has generated substantial interest over the last decade, already…

This paper proposes a hierarchical Bayesian multitask learning model that is applicable to the general multi-task binary classification learning problem where the model assumes a shared sparsity structure across different tasks. We derive a…