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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…
The doubly robust estimator, which models both the propensity score and outcomes, is a popular approach to estimate the average treatment effect in the potential outcome setting. The primary appeal of this estimator is its theoretical…
Generalized linear models (GLMs) form one of the most popular classes of models in statistics. The gamma variant is used, for instance, in actuarial science for the modelling of claim amounts in insurance. A flaw of GLMs is that they are…
We introduce a numerically tractable formulation of Bayesian joint models for longitudinal and survival data. The longitudinal process is modelled using generalised linear mixed models, while the survival process is modelled using a…
Background. Designing trials to reduce treatment duration is important in several therapeutic areas, including TB and antibiotics. We recently proposed a new randomised trial design to overcome some of the limitations of standard two-arm…
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,…
Load forecasts have become an integral part of energy security. Due to the various influencing factors that can be considered in such a forecast, there is also a wide range of models that attempt to integrate these parameters into a system…
We introduce a novel and scalable Bayesian framework for multivariate-density-density regression (DDR), designed to model relationships between multivariate distributions. Our approach addresses the critical issue of distributions residing…
Nonlinear mixed effects models have become a standard platform for analysis when data is in the form of continuous and repeated measurements of subjects from a population of interest, while temporal profiles of subjects commonly follow a…
Experimental calibration of dynamic thermal models is required for model predictive control and characterization of building energy performance. In these applications, the uncertainty assessment of the parameter estimates is decisive; this…
During the last decade, lattice-Boltzmann (LB) simulations have been improved to become an efficient tool for determining the permeability of porous media samples. However, well known improvements of the original algorithm are often not…
This paper presents a robust version of the stratified sampling method when multiple uncertain input models are considered for stochastic simulation. Various variance reduction techniques have demonstrated their superior performance in…
In this paper we perform Bayesian estimation of stochastic volatility models with heavy tail distributions using Metropolis adjusted Langevin (MALA) and Riemman manifold Langevin (MMALA) methods. We provide analytical expressions for the…
In many clinical trials studying neurodegenerative diseases such as Parkinson's disease (PD), multiple longitudinal outcomes are collected to fully explore the multidimensional impairment caused by this disease. If the outcomes deteriorate…
Joint models (JM) for longitudinal and survival data have gained increasing interest and found applications in a wide range of clinical and biomedical settings. These models facilitate the understanding of the relationship between outcomes…
Impact localisation on composite aircraft structures remains a significant challenge due to operational and environmental uncertainties, such as variations in temperature, impact mass, and energy levels. This study proposes a novel Gaussian…
The study of dependence between random variables under external influences is a challenging problem in multivariate analysis. We address this by proposing a novel semi-parametric approach for conditional copula models using Bayesian…
Forecasting electricity demand plays a critical role in ensuring reliable and cost-efficient operation of the electricity supply. With the global transition to distributed renewable energy sources and the electrification of heating and…
The posterior in probabilistic programs with stochastic support decomposes as a weighted sum of the local posterior distributions associated with each possible program path. We show that making predictions with this full posterior…
We study the non-linear dynamics and failure statistics of a coupled-field fatigue damage evolution model. We develop a methodology to derive averaged damage evolution rate laws from such models. We show that such rate laws reduce…