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Recent decades have seen an interest in prediction problems for which Bayesian methodology has been used ubiquitously. Sampling from or approximating the posterior predictive distribution in a Bayesian model allows one to make inferential…
We introduce a flexible empirical Bayes approach for fitting Bayesian generalized linear models. Specifically, we adopt a novel mean-field variational inference (VI) method and the prior is estimated within the VI algorithm, making the…
Parameter estimates for associated genetic variants, report ed in the initial discovery samples, are often grossly inflated compared to the values observed in the follow-up replication samples. This type of bias is a consequence of the…
Exponential random graph models (ERGMs) are a widely used framework for network data, enabling hypothesis testing on the structural mechanisms underlying observed networks. Bayesian ERGMs provide principled uncertainty quantification and…
We propose a novel class of dynamic shrinkage processes for Bayesian time series and regression analysis. Building upon a global-local framework of prior construction, in which continuous scale mixtures of Gaussian distributions are…
In this paper, we introduce a new probability distribution, the Lasso distribution. We derive several fundamental properties of the distribution, including closed-form expressions for its moments and moment-generating function.…
The non-convexity and intractability of distributionally robust chance constraints make them challenging to cope with. From a data-driven perspective, we propose formulating it as a robust optimization problem to ensure that the…
Bayesian likelihood-free methods implement Bayesian inference using simulation of data from the model to substitute for intractable likelihood evaluations. Most likelihood-free inference methods replace the full data set with a summary…
Inference in the presence of outliers is an important field of research as outliers are ubiquitous and may arise across a variety of problems and domains. Bayesian optimization is method that heavily relies on probabilistic inference. This…
In this paper we analyze, for a model of linear regression with gaussian covariates, the performance of a Bayesian estimator given by the mean of a log-concave posterior distribution with gaussian prior, in the high-dimensional limit where…
Bayesian inference promises a framework for principled uncertainty quantification of neural network predictions. Barriers to adoption include the difficulty of fully characterizing posterior distributions on network parameters and the…
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…
It is desirable to have accurate uncertainty estimation from a single deterministic forward-pass model, as traditional methods for uncertainty quantification are computationally expensive. However, this is difficult because single…
Models with intractable likelihood functions arise in areas including network analysis and spatial statistics, especially those involving Gibbs random fields. Posterior parameter es timation in these settings is termed a doubly-intractable…
Formulating a statistical inverse problem as one of inference in a Bayesian model has great appeal, notably for what this brings in terms of coherence, the interpretability of regularisation penalties, the integration of all uncertainties,…
We propose a new approach to Bayesian prediction that caters for models with a large number of parameters and is robust to model misspecification. Given a class of high-dimensional (but parametric) predictive models, this new approach…
Performing exact posterior inference in complex generative models is often difficult or impossible due to an expensive to evaluate or intractable likelihood function. Approximate Bayesian computation (ABC) is an inference framework that…
Probabilistic models analyze data by relying on a set of assumptions. Data that exhibit deviations from these assumptions can undermine inference and prediction quality. Robust models offer protection against mismatch between a model's…
Poisson log-linear models are ubiquitous in many applications, and one of the most popular approaches for parametric count regression. In the Bayesian context, however, there are no sufficient specific computational tools for efficient…
Empirical Bayes small area estimation based on the well-known Fay-Herriot model may produce unreliable estimates when outlying areas exist. Existing robust methods against outliers or model misspecification are generally inefficient when…