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Precision matrices are crucial in many fields such as social networks, neuroscience, and economics, representing the edge structure of Gaussian graphical models (GGMs), where a zero in an off-diagonal position of the precision matrix…
Data dispersed across multiple files are commonly integrated through probabilistic linkage methods, where even minimal error rates in record matching can significantly contaminate subsequent statistical analyses. In regression problems, we…
We consider Bayesian estimation of a $p\times p$ precision matrix, when $p$ can be much larger than the available sample size $n$. It is well known that consistent estimation in such ultra-high dimensional situations requires regularization…
We introduce a variational Bayesian neural network where the parameters are governed via a probability distribution on random matrices. Specifically, we employ a matrix variate Gaussian \cite{gupta1999matrix} parameter posterior…
We reconsider a nonparametric density model based on Gaussian processes. By augmenting the model with latent P\'olya--Gamma random variables and a latent marked Poisson process we obtain a new likelihood which is conjugate to the model's…
Gravitational wave astronomy typically relies on rigorous, computationally expensive Bayesian analyses. Several methods have been developed to perform rapid Bayesian inference, but they are not yet used to inform our full analyses. We…
We introduce a new scalable approximation for Gaussian processes with provable guarantees which hold simultaneously over its entire parameter space. Our approximation is obtained from an improved sample complexity analysis for sparse…
Finite mixture models are frequently used to uncover latent structures in high-dimensional datasets (e.g.\ identifying clusters of patients in electronic health records). The inference of such structures can be performed in a Bayesian…
One of the most compelling features of Gaussian process (GP) regression is its ability to provide well-calibrated posterior distributions. Recent advances in inducing point methods have sped up GP marginal likelihood and posterior mean…
We introduce a new empirical Bayes approach for large-scale multiple linear regression. Our approach combines two key ideas: (i) the use of flexible "adaptive shrinkage" priors, which approximate the nonparametric family of scale mixture of…
Most of previous works and applications of Bayesian factor model have assumed the normal likelihood regardless of its validity. We propose a Bayesian factor model for heavy-tailed high-dimensional data based on multivariate Student-$t$…
Inference on high-dimensional parameters in structured linear models is an important statistical problem. This paper focuses on the case of a piecewise polynomial Gaussian sequence model, and we develop a new empirical Bayes solution that…
We introduce a novel adaptive Gaussian Process Regression (GPR) methodology for efficient construction of surrogate models for Bayesian inverse problems with expensive forward model evaluations. An adaptive design strategy focuses on…
Current causal discovery approaches require restrictive model assumptions in the absence of interventional data to ensure structure identifiability. These assumptions often do not hold in real-world applications leading to a loss of…
Many statistical problems include model parameters that are defined as the solutions to optimization sub-problems. These include classical approaches such as profile likelihood as well as modern applications involving flow networks or…
An efficient algorithm is proposed for Bayesian model calibration, which is commonly used to estimate the model parameters of non-linear, computationally expensive models using measurement data. The approach is based on Bayesian statistics:…
We consider the problem of estimating complex statistical latent variable models using variational Bayes methods. These methods are used when exact posterior inference is either infeasible or computationally expensive, and they approximate…
We consider the problem of learning the structure of a high dimensional precision matrix under sparsity assumptions. We propose to use a shrinkage prior, called the DL-graphical prior based on the Dirichlet-Laplace prior used for the…
Gaussian Process (GP) models provide a flexible framework for prediction and uncertainty quantification. For most covariance functions, however, exact GP prediction with $n$ points scales as $\mathcal{O}(n^3)$, making it prohibitively…
In the present work, we consider variable selection and shrinkage for the Gaussian dynamic linear regression within a Bayesian framework. In particular, we propose a novel method that allows for time-varying sparsity, based on an extension…