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Motivated by the increasing use of and rapid changes in array technologies, we consider the prediction problem of fitting a linear regression relating a continuous outcome $Y$ to a large number of covariates $\mathbf {X}$, for example,…
Bayesian analysis plays a crucial role in estimating distribution of unknown parameters for given data and model. Due to the curse of dimensionality, it becomes difficult for high-dimensional problems, especially when multiple modes exist.…
State filtering is a key problem in many signal processing applications. From a series of noisy measurement, one would like to estimate the state of some dynamic system. Existing techniques usually adopt a Gaussian noise assumption which…
Numerous temporal inference tasks such as fault monitoring and anomaly detection exhibit a persistence property: for example, if something breaks, it stays broken until an intervention. When modeled as a Dynamic Bayesian Network,…
We consider online prediction of a latent dynamic spatiotemporal process and estimation of the associated model parameters based on noisy data. The problem is motivated by the analysis of spatial data arriving in real-time and the current…
Doubly-stochastic point processes model the occurrence of events over a spatial domain as an inhomogeneous Poisson process conditioned on the realization of a random intensity function. They are flexible tools for capturing spatial…
Numerical resolution of high-dimensional nonlinear PDEs remains a huge challenge due to the curse of dimensionality. Starting from the weak formulation of the Lawson-Euler scheme, this paper proposes a stochastic particle method (SPM) by…
State-space models have been used in many applications, including econometrics, engineering, medical research, etc. The maximum likelihood estimation (MLE) of the static parameter of general state-space models is not straightforward because…
Stochastic differential equation mixed-effects models (SDEMEMs) are flexible hierarchical models that are able to account for random variability inherent in the underlying time-dynamics, as well as the variability between experimental units…
This paper devises a fully Bayesian sample size determination method for hierarchical model-based small area estimation with a decision risk approach. A new loss function specified around a desired maximum posterior variance target…
Bayesian neural networks (BNNs) have received an increased interest in the last years. In BNNs, a complete posterior distribution of the unknown weight and bias parameters of the network is produced during the training stage. This…
We present a Bayesian data fusion method to approximate a posterior distribution from an ensemble of particle estimates that only have access to subsets of the data. Our approach relies on approximate probabilistic inference of model…
This paper surveys some well-established approaches on the approximation of Bayes factors used in Bayesian model choice, mostly as covered in Chen et al. (2000). Our focus here is on methods that are based on importance sampling strategies…
The aim of this paper is to devise a turbulence model for the particle method Smoothed Particle Hydrodynamics (SPH) which makes few assumptions, conserves linear and angular momentum, satisfies a discrete version of Kelvin's circulation…
The stochastic partial differential equation (SPDE) approach is widely used for modeling large spatial datasets. It is based on representing a Gaussian random field $u$ on $\mathbb{R}^d$ as the solution of an elliptic SPDE $L^\beta u =…
Bayesian methods have been very successful in quantifying uncertainty in physics-based problems in parameter estimation and prediction. In these cases, physical measurements y are modeled as the best fit of a physics-based model…
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:…
We introduce a novel stochastic version of the non-reversible, rejection-free Bouncy Particle Sampler (BPS), a Markov process whose sample trajectories are piecewise linear. The algorithm is based on simulating first arrival times in a…
Modeling nonstationary processes is of paramount importance to many scientific disciplines including environmental science, ecology, and finance, among others. Consequently, flexible methodology that provides accurate estimation across a…
This paper proposes a robust Bayesian accelerated failure time model for censored survival data. We develop a new family of life-time distributions using a scale mixture of the generalized gamma distributions, where we propose a novel super…