Related papers: A simple Bayesian state-space model for the collec…
When random effects are correlated with sample design variables, the usual approach of employing individual survey weights (constructed to be inversely proportional to the unit survey inclusion probabilities) to form a pseudo-likelihood no…
Value-at-Risk (VaR) and Expected Shortfall (ES) are widely used in the financial sector to measure the market risk and manage the extreme market movement. The recent link between the quantile score function and the Asymmetric Laplace…
The use of cumulative incidence functions for characterizing the risk of one type of event in the presence of others has become increasingly popular over the past decade. The problems of modeling, estimation and inference have been treated…
To investigate intervention effects on rare events, meta-analysis techniques are commonly applied in order to assess the accumulated evidence. When it comes to adverse effects in clinical trials, these are often most adequately handled…
According to different typologies of activity and priority, risks can assume diverse meanings and it can be assessed in different ways. In general risk is measured in terms of a probability combination of an event (frequency) and its…
Understanding variable dependence, particularly eliciting their statistical properties given a set of covariates, provides the mathematical foundation in practical operations management such as risk analysis and decision-making given…
There is increasing interest in flexible parametric models for the analysis of time-to-event data, yet Bayesian approaches that offer incorporation of prior knowledge remain underused. A flexible Bayesian parametric model has recently been…
Generalized linear models (GLMs) using a regression procedure to fit relationships between predictor and target variables are widely used in automobile insurance data. Here, in the process of ratemaking and in order to compute the premiums…
In modern computer experiment applications, one often encounters the situation where various models of a physical system are considered, each implemented as a simulator on a computer. An important question in such a setting is determining…
Risk aggregation is a popular method used to estimate the sum of a collection of financial assets or events, where each asset or event is modelled as a random variable. Applications, in the financial services industry, include insurance,…
Mendelian randomization (MR) is a pivotal tool in genetics, genomics, and epidemiology, leveraging genetic variants as instrumental variables to infer causal relationships between exposures and outcomes. Traditional MR methods, while…
This article develops a random effects quantile regression model for panel data that allows for increased distributional flexibility, multivariate heterogeneity, and time-invariant covariates in situations where mean regression may be…
This article addresses the problem of efficient Bayesian inference in dynamic systems using particle methods and makes a number of contributions. First, we develop a correlated pseudo-marginal (CPM) approach for Bayesian inference in state…
We introduce the BMRMM package implementing Bayesian inference for a class of Markov renewal mixed models which can characterize the stochastic dynamics of a collection of sequences, each comprising alternative instances of categorical…
The use of cumulative incidence functions for characterizing the risk of one type of event in the presence of others has become increasingly popular over the past decade. The problems of modeling, estimation and inference have been treated…
The multilevel model (MLM) is the popular approach to describe dependences of hierarchically clustered observations. A main feature is the capability to estimate (cluster-specific) random effect parameters, while their distribution…
Distributional reinforcement learning (RL) -- in which agents learn about all the possible long-term consequences of their actions, and not just the expected value -- is of great recent interest. One of the most important affordances of a…
Environmental epidemiology has traditionally examined single exposure one at a time. Advances in exposure assessment and statistical methods now enable studies of multiple exposures and their combined health impacts. Bayesian Kernel Machine…
We introduce a novel procedure for obtaining cross-validated predictive estimates for Bayesian hierarchical regression models (BHRMs). Bayesian hierarchical models are popular for their ability to model complex dependence structures and…
The development of Distributional Reinforcement Learning (DRL) has introduced a natural way to incorporate risk sensitivity into value-based and actor-critic methods by employing risk measures other than expectation in the value function.…