Related papers: A Comparison of Bayesian Inference Techniques for …

In this paper, we study the trade-offs of different inference approaches for Bayesian matrix factorisation methods, which are commonly used for predicting missing values, and for finding patterns in the data. In particular, we consider…

Two popular classes of methods for approximate inference are Markov chain Monte Carlo (MCMC) and variational inference. MCMC tends to be accurate if run for a long enough time, while variational inference tends to give better approximations…

Variational Autoencoders (VAEs) are powerful generative models for learning latent representations. Standard VAEs generate dispersed and unstructured latent spaces by utilizing all dimensions, which limits their interpretability, especially…

We discuss efficient Bayesian estimation of dynamic covariance matrices in multivariate time series through a factor stochastic volatility model. In particular, we propose two interweaving strategies (Yu and Meng, Journal of Computational…

This paper discusses the efficient Bayesian estimation of a multivariate factor stochastic volatility (Factor MSV) model with leverage. We propose a novel approach to construct the sampling schemes that converges to the posterior…

Choosing between classical and Bayesian sparse regression methods involves a real trade-off: penalized estimators like Lasso run in milliseconds but give no uncertainty estimates,while Horseshoe and Spike-and-Slab priors produce full…

Gaussian and discrete non-Gaussian spatial datasets are common across fields like public health, ecology, geosciences, and social sciences. Bayesian spatial generalized linear mixed models (SGLMMs) are a flexible class of models for…

Bayesian inference often faces a trade-off between computational speed and sampling accuracy. We propose an adaptive workflow that integrates rapid amortized inference with gold-standard MCMC techniques to achieve a favorable combination of…

Variational Bayes (VB), a method originating from machine learning, enables fast and scalable estimation of complex probabilistic models. Thus far, applications of VB in discrete choice analysis have been limited to mixed logit models with…

We propose a novel Bayesian inference framework for distributed differentially private linear regression. We consider a distributed setting where multiple parties hold parts of the data and share certain summary statistics of their portions…

Hawkes processes are often applied to model dependence and interaction phenomena in multivariate event data sets, such as neuronal spike trains, social interactions, and financial transactions. In the nonparametric setting, learning the…

Bayesian inference with Markov Chain Monte Carlo (MCMC) is challenging when the likelihood function is irregular and expensive to compute. We explore several sampling algorithms that make use of subset evaluations to reduce computational…

We propose Subsampling MCMC, a Markov Chain Monte Carlo (MCMC) framework where the likelihood function for $n$ observations is estimated from a random subset of $m$ observations. We introduce a highly efficient unbiased estimator of the…

In this paper we consider the parameter estimation problem associated to partially-observed time changed SDEs, with observations that are given at discrete times. In particular we consider both likelihood and Bayesian estimation. We develop…

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…

Statistical models can involve implicitly defined quantities, such as solutions to nonlinear ordinary differential equations (ODEs), that unavoidably need to be numerically approximated in order to evaluate the model. The approximation…

This article focuses on covariance estimation for multi-study data. Popular approaches employ factor-analytic terms with shared and study-specific loadings that decompose the variance into (i) a shared low-rank component, (ii)…

Variational inference (VI) is a method to approximate the computationally intractable posterior distributions that arise in Bayesian statistics. Typically, VI fits a simple parametric distribution to the target posterior by minimizing an…

Performing Bayesian inference via Markov chain Monte Carlo (MCMC) can be exceedingly expensive when posterior evaluations invoke the evaluation of a computationally expensive model, such as a system of partial differential equations. In…

Matrix factorization methods - including Factor analysis (FA), and Principal Components Analysis (PCA) - are widely used for inferring and summarizing structure in multivariate data. Many matrix factorization methods exist, corresponding to…