Related papers: Inference in Bayesian Additive Vector Autoregressi…

High-dimensional vector autoregressive (VAR) models provide a flexible framework for characterizing dynamic dependence in multivariate spatio-temporal systems, but their unrestricted estimation becomes infeasible when multiple variables are…

This paper introduces BART-RDD, a sum-of-trees regression model built around a novel regression tree prior, which incorporates the special covariate structure of regression discontinuity designs. Specifically, the tree splitting process is…

Bayesian Causal Forests (BCF) is a causal inference machine learning model based on a highly flexible non-parametric regression and classification tool called Bayesian Additive Regression Trees (BART). Motivated by data from the Trends in…

In this paper we propose BVAR-connect, a variational inference approach to a Bayesian multi-subject vector autoregressive (VAR) model for inference on effective brain connectivity based on resting-state functional MRI data. The modeling…

This study introduces Variational Automatic Relevance Determination (VARD), a novel approach tailored for fitting sparse additive regression models in high-dimensional settings. VARD distinguishes itself by its ability to independently…

In contemporary neuroscience, a key area of interest is dynamic effective connectivity, which is crucial for understanding the dynamic interactions and causal relationships between different brain regions. Dynamic effective connectivity can…

We discuss efficient Bayesian estimation of dynamic covariance matrices in multivariate time series through a factor stochastic volatility model. In particular, we propose two interweaving strategies (Yu and Meng, Journal of Computational…

Some applied researchers hesitate to use nonparametric methods, worrying that they will lose power in small samples or overfit the data when simpler models are sufficient. We argue that at least some of these concerns are unfounded when…

We consider a statistical model for pairs of traded assets, based on a Cointegrated Vector Auto Regression (CVAR) Model. We extend standard CVAR models to incorporate estimation of model parameters in the presence of price series level…

There is a dearth of robust methods to estimate the causal effects of multiple treatments when the outcome is binary. This paper uses two unique sets of simulations to propose and evaluate the use of Bayesian Additive Regression Trees…

Flow network models can capture the underlying physics and operational constraints of many networked systems including the power grid and transportation and water networks. However, analyzing reliability of systems using computationally…

As a special infinite-order vector autoregressive (VAR) model, the vector autoregressive moving average (VARMA) model can capture much richer temporal patterns than the widely used finite-order VAR model. However, its practicality has long…

This article proposes Multinomial Probit Bayesian Additive Regression Trees (MPBART) as a multinomial probit extension of BART - Bayesian Additive Regression Trees (Chipman et al (2010)). MPBART is flexible to allow inclusion of predictors…

This paper introduces a novel approach, the bivariate generalized autoregressive (BGAR) model, for modeling and forecasting bivariate time series data. The BGAR model generalizes the bivariate vector autoregressive (VAR) models by allowing…

This work affords new insights into Bayesian CART in the context of structured wavelet shrinkage. The main thrust is to develop a formal inferential framework for Bayesian tree-based regression. We reframe Bayesian CART as a g-type prior…

While considerable advances have been made in estimating high-dimensional structured models from independent data using Lasso-type models, limited progress has been made for settings when the samples are dependent. We consider estimating…

Prior work has shown that combining bootstrap imputation with tree-based machine learning variable selection methods can provide good performances achievable on fully observed data when covariate and outcome data are missing at random…

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…

We propose a vector auto-regressive (VAR) model with a low-rank constraint on the transition matrix. This new model is well suited to predict high-dimensional series that are highly correlated, or that are driven by a small number of hidden…

Additive regression trees are flexible non-parametric models and popular off-the-shelf tools for real-world non-linear regression. In application domains, such as bioinformatics, where there is also demand for probabilistic predictions with…