Related papers: Approximate Bayesian inference and forecasting in …
We consider the problem of inference for the states and parameters of a continuous-time multitype branching process from partially observed time series data. Exact inference for this class of models, typically using sequential Monte Carlo,…
In this article, we propose new Bayesian methods for selecting and estimating a sparse coefficient vector for skewed heteroscedastic response. Our novel Bayesian procedures effectively estimate the median and other quantile functions,…
A Bayesian approach is used to estimate the covariance matrix of Gaussian data. Ideas from Gaussian graphical models and model selection are used to construct a prior for the covariance matrix that is a mixture over all decomposable graphs.…
Our article considers a Gaussian variational approximation of the posterior density in a high-dimensional state space model. The variational parameters to be optimized are the mean vector and the covariance matrix of the approximation. The…
The MAP problem in Bayesian networks is notoriously intractable, even when approximated. In an earlier paper we introduced the Most Frugal Explanation heuristic approach to solving MAP, by partitioning the set of intermediate variables…
Approximation algorithms are widely used in many engineering problems. To obtain a data set for approximation a factorial design of experiments is often used. In such case the size of the data set can be very large. Therefore, one of the…
Graphical models are ubiquitous tools to describe the interdependence between variables measured simultaneously such as large-scale gene or protein expression data. Gaussian graphical models (GGMs) are well-established tools for…
Variational Bayesian (VB) methods produce posterior inference in a time frame considerably smaller than traditional Markov Chain Monte Carlo approaches. Although the VB posterior is an approximation, it has been shown to produce good…
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 interpretation of sparse variational approximations for Gaussian processes using inducing points, which can lead to more scalable algorithms than previous methods. It is based on decomposing a Gaussian process as a sum of…
Modern statistical applications involving large data sets have focused attention on statistical methodologies which are both efficient computationally and able to deal with the screening of large numbers of different candidate models. Here…
We consider jointly estimating the coefficient matrix and the error precision matrix in high-dimensional multivariate linear regression models. Bayesian methods in this context often face computational challenges, leading to previous…
This paper investigates the sensitivity of forecast performance measures to taking a real time versus pseudo out-of-sample perspective. We use monthly vintages for the United States (US) and the Euro Area (EA) and estimate a set of vector…
Sparse variational approximations are popular methods for scaling up inference and learning in Gaussian processes to larger datasets. For $N$ training points, exact inference has $O(N^3)$ cost; with $M \ll N$ features, state of the art…
To infer the parameters of mechanistic models with intractable likelihoods, techniques such as approximate Bayesian computation (ABC) are increasingly being adopted. One of the main disadvantages of ABC in practical situations, however, is…
Inverse problems involving partial differential equations (PDEs) are widely used in science and engineering. Although such problems are generally ill-posed, different regularisation approaches have been developed to ameliorate this problem.…
This paper develops a class of Bayesian non- and semiparametric methods for estimating regression curves and surfaces. The main idea is to model the regression as locally linear, and then place suitable local priors on the local parameters.…
We propose a novel sampling framework for inference in probabilistic models: an active learning approach that converges more quickly (in wall-clock time) than Markov chain Monte Carlo (MCMC) benchmarks. The central challenge in…
VAR models are a type of multi-equation model that have been widely applied in econometrics. With the arrival of Big Data, huge amounts of data are being collected in numerous fields, making feasible the application of these kind of…
The vector autoregressive (VAR) model has been widely used for modeling temporal dependence in a multivariate time series. For large (and even moderate) dimensions, the number of AR coefficients can be prohibitively large, resulting in…