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State-space models (SSMs) are a highly expressive model class for learning patterns in time series data and for system identification. Deterministic versions of SSMs (e.g. LSTMs) proved extremely successful in modeling complex time series…
Our paper deals with inferring simulator-based statistical models given some observed data. A simulator-based model is a parametrized mechanism which specifies how data are generated. It is thus also referred to as generative model. We…
Sparse regularized regression methods are now widely used in genome-wide association studies (GWAS) to address the multiple testing burden that limits discovery of potentially important predictors. Linear mixed models (LMMs) have become an…
We propose a general framework for non-normal multivariate data analysis called multivariate covariance generalized linear models (McGLMs), designed to handle multivariate response variables, along with a wide range of temporal and spatial…
interpretable, and well understood models that are routinely employed even though, as is revealed through prior and posterior predictive checks, these can poorly characterise the spatial heterogeneity in the underlying process of interest.…
Estimating spatial regression models on large, irregularly structured datasets poses significant computational hurdles. While Pairwise Likelihood (PL) methods offer a pathway to simplify these estimations, the efficient selection of…
Hidden Markov models (HMMs) are powerful tools for analysing time series data that depend on discrete underlying but unobserved states. As such, they have gained prominence across numerous empirical disciplines, in particular ecology,…
Supervised topic models with a logistic likelihood have two issues that potentially limit their practical use: 1) response variables are usually over-weighted by document word counts; and 2) existing variational inference methods make…
We propose a new approach for the modeling large datasets of nonstationary spatial processes that combines a latent low rank process and a sparse covariance model. The low rank component coefficients are endowed with a flexible graphical…
Finite mixture models are among the most popular statistical models used in different data science disciplines. Despite their broad applicability, inference under these models typically leads to computationally challenging non-convex…
We develop new flexible univariate models for light-tailed and heavy-tailed data, which extend a hierarchical representation of the generalized Pareto (GP) limit for threshold exceedances. These models can accommodate departure from…
Gaussian state space models have been used for decades as generative models of sequential data. They admit an intuitive probabilistic interpretation, have a simple functional form, and enjoy widespread adoption. We introduce a unified…
Spatio-temporal prediction aims to forecast and gain insights into the ever-changing dynamics of urban environments across both time and space. Its purpose is to anticipate future patterns, trends, and events in diverse facets of urban…
The purpose of this paper is to provide a discussion, with illustrating examples, on Bayesian forecasting for dynamic generalized linear models (DGLMs). Adopting approximate Bayesian analysis, based on conjugate forms and on Bayes linear…
We introduce a generalized additive model for location, scale, and shape (GAMLSS) next of kin aiming at distribution-free and parsimonious regression modelling for arbitrary outcomes. We replace the strict parametric distribution…
The standard regression tree method applied to observations within clusters poses both methodological and implementation challenges. Effectively leveraging these data requires methods that account for both individual-level and sample-level…
The multivariate adaptive regression spline (MARS) approach of Friedman (1991) and its Bayesian counterpart (Francom et al. 2018) are effective approaches for the emulation of computer models. The traditional assumption of Gaussian errors…
Variable selection remains a difficult problem, especially for generalized linear mixed models (GLMMs). While some frequentist approaches to simultaneously select joint fixed and random effects exist, primarily through the use of…
This paper tackles the challenge of parameter calibration in stochastic models, particularly in scenarios where the likelihood function is unavailable in an analytical form. We introduce a gradient-based simulated parameter estimation…
This article introduces a nonlinear generalized matrix factor model (GMFM) that allows for mixed-type variables, extending the scope of linear matrix factor models (LMFM) that are so far limited to handling continuous variables. We…