Related papers: Unbiased Parameter Inference for a Class of Partia…
Identifying dynamical system (DS) is a vital task in science and engineering. Traditional methods require numerous calls to the DS solver, rendering likelihood-based or least-squares inference frameworks impractical. For efficient parameter…
We introduce a general distributional framework that results in a unifying description and characterization of a rich variety of continuous-time stochastic processes. The cornerstone of our approach is an innovation model that is driven by…
Inverse optimal control can be used to characterize behavior in sequential decision-making tasks. Most existing work, however, is limited to fully observable or linear systems, or requires the action signals to be known. Here, we introduce…
$\alpha$-stable distributions are utilised as models for heavy-tailed noise in many areas of statistics, finance and signal processing engineering. However, in general, neither univariate nor multivariate $\alpha$-stable models admit closed…
We show that a probabilistic version of the classical forward-stepwise variable inclusion procedure can serve as a general data-augmentation scheme for model space distributions in (generalized) linear models. This latent variable…
Bayesian inference in state-space models is challenging due to high-dimensional state trajectories. A viable approach is particle Markov chain Monte Carlo, combining MCMC and sequential Monte Carlo to form "exact approximations" to…
Inference for continuous-time Markov chains (CTMCs) becomes challenging when the process is only observed at discrete time points. The exact likelihood is intractable, and existing methods often struggle even in medium-dimensional…
Approaches to Bayesian inference for problems with intractable likelihoods have become increasingly important in recent years. Approximate Bayesian computation (ABC) and "likelihood free" Markov chain Monte Carlo techniques are popular…
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…
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…
We consider the problem of estimating parameter sensitivity for Markovian models of reaction networks. Sensitivity values measure the responsiveness of an output to the model parameters. They help in analyzing the network, understanding its…
Stochastic reaction network models are often used to explain and predict the dynamics of gene regulation in single cells. These models usually involve several parameters, such as the kinetic rates of chemical reactions, that are not…
Complex systems are sometimes subject to non Gaussian alpha stable Levy fluctuations. A new method is devised to estimate this uncertain parameter and other system parameters, using observations on either mean exit time or escape…
We consider the development of unbiased estimators, to approximate the stationary distribution of Mckean-Vlasov stochastic differential equations (MVSDEs). These are an important class of processes, which frequently appear in applications…
Implicit sampling is a weighted sampling method that is used in data assimilation, where one sequentially updates estimates of the state of a stochastic model based on a stream of noisy or incomplete data. Here we describe how to use…
We consider state and parameter estimation for a dynamical system having both time-varying and time-invariant parameters. It has been shown that the robustness of the Markov Chain Monte Carlo (MCMC) algorithm for estimating time-invariant…
The linear regression models are widely used statistical techniques in numerous practical applications. The standard regression model requires several assumptions about the regres- sors and the error term. The regression parameters are…
Prominent features of simulated moving bed (SMB) chromatography processes in the downstream processing is based on the determination of operating conditions. However, effects of different types of uncertainties have to be studied and…
We consider the problem of approximating the product of $n$ expectations with respect to a common probability distribution $\mu$. Such products routinely arise in statistics as values of the likelihood in latent variable models. Motivated…
Conditional independence and graphical models are crucial concepts for sparsity and statistical modeling in higher dimensions. For L\'evy processes, a widely applied class of stochastic processes, these notions have not been studied. By the…