Related papers: Local Projections vs. VARs: Lessons From Thousands…
This paper introduces a novel theory-coherent shrinkage prior for Time-Varying Parameter VARs (TVP-VARs). The prior centers the time-varying parameters on a path implied a priori by an underlying economic theory, chosen to describe the…
There is currently an increasing interest in large vector autoregressive (VAR) models. VARs are popular tools for macroeconomic forecasting and use of larger models has been demonstrated to often improve the forecasting ability compared to…
Vehicular visible light positioning (VLP) methods find relative locations of vehicles by estimating the positions of intensity-modulated head/tail lights of one vehicle (target) with respect to another (ego). Estimation is done in two…
Vector autoregressions (VARs) are popular model for analyzing multivariate economic time series. However, VARs can be over-parameterized if the numbers of variables and lags are moderately large. Tensor VAR, a recent solution to…
The goal of this paper is to extend the nonparametric estimation of Impulse Response Functions (IRF) by means of local projections in the nonlinear dynamic framework. We discuss the existence of a nonlinear autoregressive representation for…
Latent Gaussian models (LGMs) are widely used in statistics and machine learning. Bayesian inference in non-conjugate LGMs is difficult due to intractable integrals involving the Gaussian prior and non-conjugate likelihoods. Algorithms…
Gaussian graphical models are used for determining conditional relationships between variables. This is accomplished by identifying off-diagonal elements in the inverse-covariance matrix that are non-zero. When the ratio of variables (p) to…
Time-varying parameter (TVP) regressions commonly assume that time-variation in the coefficients is determined by a simple stochastic process such as a random walk. While such models are capable of capturing a wide range of dynamic…
Variational autoencoders (VAEs), that are built upon deep neural networks have emerged as popular generative models in computer vision. Most of the work towards improving variational autoencoders has focused mainly on making the…
Causal inference in multivariate time series is challenging due to the fact that the sampling rate may not be as fast as the timescale of the causal interactions. In this context, we can view our observed series as a subsampled version of…
With our ability to record more neurons simultaneously, making sense of these data is a challenge. Functional connectivity is one popular way to study the relationship between multiple neural signals. Correlation-based methods are a set of…
We propose Learned Accept/Reject Sampling (LARS), a method for constructing richer priors using rejection sampling with a learned acceptance function. This work is motivated by recent analyses of the VAE objective, which pointed out that…
Research in NLP is often supported by experimental results, and improved reporting of such results can lead to better understanding and more reproducible science. In this paper we analyze three statistical estimators for expected validation…
Deep Gaussian Processes (DGPs) are multi-layer, flexible extensions of Gaussian processes but their training remains challenging. Sparse approximations simplify the training but often require optimization over a large number of inducing…
In data science, vector autoregression (VAR) models are popular in modeling multivariate time series in the environmental sciences and other applications. However, these models are computationally complex with the number of parameters…
Projection predictive inference is a decision theoretic Bayesian approach that decouples model estimation from decision making. Given a reference model previously built including all variables present in the data, projection predictive…
This paper considers a time-varying vector error-correction model that allows for different time series behaviours (e.g., unit-root and locally stationary processes) to interact with each other to co-exist. From practical perspectives, this…
This paper proposes a local projection residual bootstrap method to construct confidence intervals for impulse response coefficients of AR(1) models. Our bootstrap method is based on the local projection (LP) approach and involves a…
Prediction performance does not always reflect the estimation behaviour of a method. High error in estimation may necessarily not result in high prediction error, but can lead to an unreliable prediction if test data lie in a slightly…
High-dimensional Bayesian optimization (BO) tasks such as molecular design often require 10,000 function evaluations before obtaining meaningful results. While methods like sparse variational Gaussian processes (SVGPs) reduce computational…