Related papers: Bayesian Time Varying Coefficient Model with Appli…

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…

As a regression technique in spatial statistics, the spatiotemporally varying coefficient model (STVC) is an important tool for discovering nonstationary and interpretable response-covariate associations over both space and time. However,…

The Cox regression model is a commonly used model in survival analysis. In public health studies, clinical data are often collected from medical service providers of different locations. There are large geographical variations in the…

Linear mixed effects models are widely used in statistical modelling. We consider a mixed effects model with Bayesian variable selection in the random effects using spike-and-slab priors and developed a variational Bayes inference scheme…

We present a flexible Bayesian semiparametric mixed model for longitudinal data analysis in the presence of potentially high-dimensional categorical covariates. Building on a novel hidden Markov tensor decomposition technique, our proposed…

In this paper, we use augmented the hierarchical latent variable model to model multi-period time series, where the dynamics of time series are governed by factors or trends in multiple periods. Previous methods based on stacked recurrent…

We propose an interdisciplinary framework that combines Bayesian predictive inference, a well-established tool in Machine Learning, with Formal Methods rooted in the computer science community. Bayesian predictive inference allows for…

The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure…

Learning and understanding car-following (CF) behaviors are crucial for microscopic traffic simulation. Traditional CF models, though simple, often lack generalization capabilities, while many data-driven methods, despite their robustness,…

This paper introduces a Bayesian vector autoregression (BVAR) with stochastic volatility-in-mean and time-varying skewness. Unlike previous approaches, the proposed model allows both volatility and skewness to directly affect macroeconomic…

One of the challenges in model-based control of stochastic dynamical systems is that the state transition dynamics are involved, and it is not easy or efficient to make good-quality predictions of the states. Moreover, there are not many…

We propose a fast and theoretically grounded method for Bayesian variable selection and model averaging in latent variable regression models. Our framework addresses three interrelated challenges: (i) intractable marginal likelihoods, (ii)…

Reliable uncertainty estimation for time series prediction is critical in many fields, including physics, biology, and manufacturing. At Uber, probabilistic time series forecasting is used for robust prediction of number of trips during…

This paper introduces a linear state-space model with time-varying dynamics. The time dependency is obtained by forming the state dynamics matrix as a time-varying linear combination of a set of matrices. The time dependency of the weights…

To study the impact of climate variables on morbidity of some diseases in Mexico, we propose a spatio-temporal varying coefficients regression model. For that we introduce a new spatio-temporal dependent process prior, in a Bayesian…

This paper is a note on the use of Bayesian nonparametric mixture models for continuous time series. We identify a key requirement for such models, and then establish that there is a single type of model which meets this requirement. As it…

Collected data, which is used for analysis or prediction tasks, often have a hierarchical structure, for example, data from various people performing the same task. Modeling the data's structure can improve the reliability of the derived…

Spatially and temporally varying coefficient (STVC) models are currently attracting attention as a flexible tool to explore the spatio-temporal patterns in regression coefficients. However, these models often struggle with balancing…

We discuss the issue of estimating large-scale vector autoregressive (VAR) models with stochastic volatility in real-time situations where data are sampled at different frequencies. In the case of a large VAR with stochastic volatility, the…

Finite mixtures of matrix normal distributions are a powerful tool for classifying three-way data in unsupervised problems. The distribution of each component is assumed to be a matrix variate normal density. The mixture model can be…