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Gaussian processes (GPs) are a good choice for function approximation as they are flexible, robust to over-fitting, and provide well-calibrated predictive uncertainty. Deep Gaussian processes (DGPs) are multi-layer generalisations of GPs,…
This paper introduces a novel process for both factor and idiosyncratic volatility matrices whose eigenvalues follow the vector auto-regressive (VAR) model. We call it the factor and idiosyncratic VAR (FIVAR) model. The FIVAR model accounts…
This paper introduces a straightforward sieve-based approach for estimating and conducting inference on regression parameters in panel data models with interactive fixed effects. The method's key assumption is that factor loadings can be…
Several causal parameters in short panel data models are functionals of a nested nonparametric instrumental variable regression (nested NPIV). Recent examples include mediated, time varying, and long term treatment effects identified using…
Inferential (or soft) sensors are used in industry to infer the values of imprecisely and rarely measured (or completely unmeasured) variables from variables measured online (e.g., pressures, temperatures). The main challenge, akin to…
This paper concerns statistical inference for the components of a high-dimensional regression parameter despite possible endogeneity of each regressor. Given a first-stage linear model for the endogenous regressors and a second-stage linear…
This chapter reviews the instrumental variable quantile regression model of Chernozhukov and Hansen (2005). We discuss the key conditions used for identification of structural quantile effects within this model which include the…
A frequentist asymptotic expansion method for error estimation is employed for a network of gravitational wave detectors to assess the amount of information that can be extracted from gravitational wave observations. Mathematically we…
Mendelian randomization (MR) is a widely-used method to estimate the causal relationship between a risk factor and disease. A fundamental part of any MR analysis is to choose appropriate genetic variants as instrumental variables.…
We develop an automated variational method for inference in models with Gaussian process (GP) priors and general likelihoods. The method supports multiple outputs and multiple latent functions and does not require detailed knowledge of the…
The increasing use of vine copulas in high-dimensional settings, where the number of parameters is often of the same order as the sample size, calls for asymptotic theory beyond the traditional fixed-$p$, large-$n$ framework. We establish…
Models of gravitational waveforms play a critical role in detecting and characterizing the gravitational waves (GWs) from compact binary coalescences. Waveforms from numerical relativity (NR), while highly accurate, are too computationally…
Variational inference (VI) is a computationally efficient and scalable methodology for approximate Bayesian inference. It strikes a balance between accuracy of uncertainty quantification and practical tractability. It excels at generative…
Instrumental variable methods provide a powerful approach to estimating causal effects in the presence of unobserved confounding. But a key challenge when applying them is the reliance on untestable "exclusion" assumptions that rule out any…
This paper develops a first-stage linear regression representation for the instrumental variables (IV) quantile regression (QR) model. The quantile first-stage is analogous to the least squares case, i.e., a linear projection of the…
We show how to use Stein variational gradient descent (SVGD) to carry out inference in Gaussian process (GP) models with non-Gaussian likelihoods and large data volumes. Markov chain Monte Carlo (MCMC) is extremely computationally intensive…
This paper introduces unified models for high-dimensional factor-based Ito process, which can accommodate both continuous-time Ito diffusion and discrete-time stochastic volatility (SV) models by embedding the discrete SV model in the…
We provide a justification for why, and when, endogeneity will not cause bias in the interpretation of the coefficients in a regression model. This technique can be a viable alternative to, or even used alongside, the instrumental variable…
We study linear quantile regression models when regressors and/or dependent variable are not directly observed but estimated in an initial first step and used in the second step quantile regression for estimating the quantile parameters.…
Variational empirical Bayes (VEB) methods provide a practically attractive approach to fitting large, sparse, multiple regression models. These methods usually use coordinate ascent to optimize the variational objective function, an…