Related papers: Dimensionality Reduction and State Space Systems: …
Accurate forecasts of the US renewable-generation mix are critical for planning transmission upgrades, sizing storage, and setting balancing-market rules. We present a Bayesian Dirichlet ARMA (BDARMA) model for monthly shares of hydro,…
As evidenced by various recent and significant papers within the frequentist literature, along with numerous applications in macroeconomics, genomics, and neuroscience, there continues to be substantial interest to understand the…
Large Bayesian VARs are now widely used in empirical macroeconomics. One popular shrinkage prior in this setting is the natural conjugate prior as it facilitates posterior simulation and leads to a range of useful analytical results. This…
We develop Bayesian predictive stacking for geostatistical models, where the primary inferential objective is to provide inference on the latent spatial random field and conduct spatial predictions at arbitrary locations. We exploit…
This paper develops a Bayesian procedure for estimation and forecasting of the volatility of multivariate time series. The foundation of this work is the matrix-variate dynamic linear model, for the volatility of which we adopt a…
For a Bayesian, real-time forecasting with the posterior predictive distribution can be challenging for a variety of time series models. First, estimating the parameters of a time series model can be difficult with sample-based approaches…
When using R package tmbstan for Bayesian inference, the built-in feature Laplace approximation to the marginal likelihood with random effects integrated out can be switched on and off. There exists no guideline on whether Laplace…
This paper develops a methodology for approximating the posterior first two moments of the posterior distribution in Bayesian inference. Partially specified probability models, which are defined only by specifying means and variances, are…
We study full Bayesian procedures for high-dimensional linear regression. We adopt data-dependent empirical priors introduced in [1]. In their paper, these priors have nice posterior contraction properties and are easy to compute. Our paper…
Dynamical system state estimation and parameter calibration problems are ubiquitous across science and engineering. Bayesian approaches to the problem are the gold standard as they allow for the quantification of uncertainties and enable…
We propose a novel variational Bayes approach to estimate high-dimensional vector autoregression (VAR) models with hierarchical shrinkage priors. Our approach does not rely on a conventional structural VAR representation of the parameter…
In this article a novel approach for training deep neural networks using Bayesian techniques is presented. The Bayesian methodology allows for an easy evaluation of model uncertainty and additionally is robust to overfitting. These are…
We propose a parsimonious class of arbitrage-free, yields-only dynamic term structure models (DTSMs) with unspanned latent risks. To enable sequential estimation and forecasting, we develop a Sequential Monte Carlo framework that combines…
To address the common problem of high dimensionality in tensor regressions, we introduce a generalized tensor random projection method that embeds high-dimensional tensor-valued covariates into low-dimensional subspaces with minimal loss of…
Using theoretical and numerical results, we document the accuracy of commonly applied variational Bayes methods across a range of state space models. The results demonstrate that, in terms of accuracy on fixed parameters, there is a clear…
We study frequentist properties of a Bayesian high-dimensional multivariate linear regression model with correlated responses. The predictors are separated into many groups and the group structure is pre-determined. Two features of the…
Yield curve forecasting is an important problem in finance. In this work we explore the use of Gaussian Processes in conjunction with a dynamic modeling strategy, much like the Kalman Filter, to model the yield curve. Gaussian Processes…
Large Bayesian vector autoregressions with various forms of stochastic volatility have become increasingly popular in empirical macroeconomics. One main difficulty for practitioners is to choose the most suitable stochastic volatility…
The advancement of distributed generation technologies in modern power systems has led to a widespread integration of renewable power generation at customer side. However, the intermittent nature of renewable energy poses new challenges to…
A hierarchical Bayesian framework is introduced for developing tree-based mixture models for time series, partly motivated by applications in finance and forecasting. At the top level, meaningful discrete states are identified as…