Related papers: MCMC computations for Bayesian mixture models usin…

Employing Bayesian inference to calibrate constitutive model parameters has grown substantially in recent years. Among the available techniques, Markov Chain Monte Carlo (MCMC) sampling remains one of the most widely used approaches for…

This paper outlines a Bayesian approach to estimate finite mixtures of Tobit models. The method consists of an MCMC approach that combines Gibbs sampling with data augmentation and is simple to implement. I show through simulations that the…

The martingale posterior framework is a generalization of Bayesian inference where one elicits a sequence of one-step ahead predictive densities instead of the likelihood and prior. Posterior sampling then involves the imputation of unseen…

In mixture model-based clustering applications, it is common to fit several models from a family and report clustering results from only the `best' one. In such circumstances, selection of this best model is achieved using a model selection…

Mixture models provide a flexible representation of heterogeneity in a finite number of latent classes. From the Bayesian point of view, Markov Chain Monte Carlo methods provide a way to draw inferences from these models. In particular,…

Bayesian deep learning counts on the quality of posterior distribution estimation. However, the posterior of deep neural networks is highly multi-modal in nature, with local modes exhibiting varying generalization performance. Given a…

This paper investigates the combination of model predictive control (MPC) concepts and posterior sampling techniques and proposes a simple constraint tightening technique to introduce cautiousness during explorative learning episodes. The…

Markov Chain Monte Carlo (MCMC) methods have revolutionised Bayesian data analysis over the years by making the direct computation of posterior probability densities feasible on modern workstations. However, the calculation of the prior…

In the context of nonparametric Bayesian estimation a Markov chain Monte Carlo algorithm is devised and implemented to sample from the posterior distribution of the drift function of a continuously or discretely observed one-dimensional…

Financial studies require volatility based models which provides useful insights on risks related to investments. Stochastic volatility models are one of the most popular approaches to model volatility in such studies. The asset returns…

Markov jump processes and continuous time Bayesian networks are important classes of continuous time dynamical systems. In this paper, we tackle the problem of inferring unobserved paths in these models by introducing a fast auxiliary…

In this article we consider Bayesian estimation of static parameters for a class of partially observed McKean-Vlasov diffusion processes with discrete-time observations over a fixed time interval. This problem features several obstacles to…

The distance dependent Chinese Restaurant Process (ddCRP) provides a flexible prior distribution for clustering observations, incorporating covariate information through pairwise distances and accommodating a rich variety of cluster…

We propose the Bayesian bridge estimator for regularized regression and classification. Two key mixture representations for the Bayesian bridge model are developed: (1) a scale mixture of normals with respect to an alpha-stable random…

When working with multimodal Bayesian posterior distributions, Markov chain Monte Carlo (MCMC) algorithms have difficulty moving between modes, and default variational or mode-based approximate inferences will understate posterior…

Because of their multimodality, mixture posterior distributions are difficult to sample with standard Markov chain Monte Carlo (MCMC) methods. We propose a strategy to enhance the sampling of MCMC in this context, using a biasing procedure…

A general methodology is presented for the construction and effective use of control variates for reversible MCMC samplers. The values of the coefficients of the optimal linear combination of the control variates are computed, and adaptive,…

We consider the problem of estimating rare event probabilities, focusing on systems whose evolution is governed by differential equations with uncertain input parameters. If the system dynamics is expensive to compute, standard sampling…

Gibbs-type priors are widely used as key components in several Bayesian nonparametric models. By virtue of their flexibility and mathematical tractability, they turn out to be predominant priors in species sampling problems, clustering and…

We propose a sequential Monte Carlo (SMC) method to efficiently and accurately compute cut-Bayesian posterior quantities of interest, variations of standard Bayesian approaches constructed primarily to account for model misspecification. We…