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This work introduces a new method designed for Bayesian deep learning called scalable Bayesian Monte Carlo (SBMC). The method is comprised of a model and an algorithm. The model interpolates between a point estimator and the posterior. The…

Stacking, a potent ensemble learning method, leverages a meta-model to harness the strengths of multiple base models, thereby enhancing prediction accuracy. Traditional stacking techniques typically utilize established learning models, such…

This study presents a comparative analysis of Monte Carlo (MC) and quasi-Monte Carlo (QMC) methods in the context of derivative pricing, emphasizing convergence rates and the curse of dimensionality. After a concise overview of traditional…

We propose a class of weighted $L_2$-type tests of fit to the Gamma distribution. Our novel procedure is based on a fixed point property of a new transformation connected to a Steinian characterization of the family of Gamma distributions.…

Determinantal points processes are a promising but relatively under-developed tool in machine learning and statistical modelling, being the canonical statistical example of distributions with repulsion. While their mathematical formulation…

This work introduces the Matrix Minimum Covariance Determinant (MMCD) method, a novel robust location and covariance estimation procedure designed for data that are naturally represented in the form of a matrix. Unlike standard robust…

In recent years, power analysis has become widely used in applied sciences, with the increasing importance of the replicability issue. When distribution-free methods, such as Partial Least Squares (PLS)-based approaches, are considered,…

We introduce a low dimensional function of the site frequency spectrum that is tailor-made for distinguishing coalescent models with multiple mergers from Kingman coalescent models with population growth, and use this function to construct…

Sampling-based model predictive control (MPC) has the potential for use in a wide variety of robotic systems. However, its unstable updates and poor convergence render it unsuitable for real-time control of robotic systems. This study…

We consider the recently introduced application of the Deck of Cards Method (DCM) to ordinal regression proposing two extensions related to two main research trends in Multiple Criteria Decision Aiding, namely scaling and ordinal regression…

This paper presents a graphical method for comparing performance of Markov Chain Monte Carlo methods. Most researchers present comparisons of MCMC methods using tables of figures of merit; this paper presents a graphical alternative. It…

Recommender systems are seen as an effective tool to address information overload, but it is widely known that the presence of various biases makes direct training on large-scale observational data result in sub-optimal prediction…

We propose a new framework for Hamiltonian Monte Carlo (HMC) on truncated probability distributions with smooth underlying density functions. Traditional HMC requires computing the gradient of potential function associated with the target…

We introduce a new procedure for testing the significance of a set of regression coefficients in a Gaussian linear model with $n \geq d$. Our method, the $L$-test, provides the same statistical validity guarantee as the classical $F$-test,…

The past decades have seen enormous improvements in computational inference based on statistical models, with continual enhancement in a wide range of computational tools, in competition. In Bayesian inference, first and foremost, MCMC…

Markov chain Monte Carlo (MCMC) is a powerful methodology for the approximation of posterior distributions. However, the iterative nature of MCMC does not naturally facilitate its use with modern highly parallel computation on HPC and cloud…

In this survey paper we discuss some tools and methods which are of use in quasi-Monte Carlo (QMC) theory. We group them in chapters on Numerical Analysis, Harmonic Analysis, Algebra and Number Theory, and Probability Theory. We do not…

Updating $\textit{a priori}$ information given some observed data is the core tenet of Bayesian inference. Bayesian transfer learning extends this idea by incorporating information from a related dataset to improve the inference on the…

Sampling-based approaches are widely used in systems without analytic models to estimate risk or find optimal control. However, gathering sufficient data in such scenarios can be prohibitively costly. On the other hand, in many situations,…

We introduce a new approach for decoupling trends (drift) and changepoints (shifts) in time series. Our locally adaptive model-based approach for robustly decoupling combines Bayesian trend filtering and machine learning based…