Related papers: GenMarkov: Modeling Generalized Multivariate Marko…

We propose a new flexible tensor model for multiple-equation regression that accounts for latent regime changes. The model allows for dynamic coefficients and multi-dimensional covariates that vary across equations. We assume the…

We consider the problem of defining and fitting models of autoregressive time series of probability distributions on a compact interval of $\mathbb{R}$. An order-$1$ autoregressive model in this context is to be understood as a Markov…

Markov chain Monte Carlo (MCMC) allows one to generate dependent replicates from a posterior distribution for effectively any Bayesian hierarchical model. However, MCMC can produce a significant computational burden. This motivates us to…

This paper develops a framework for quantile regression in binary longitudinal data settings. A novel Markov chain Monte Carlo (MCMC) method is designed to fit the model and its computational efficiency is demonstrated in a simulation…

In this paper we investigate the continuum limits of a class of Markov chains. The investigation of such limits is motivated by the desire to model very large networks. We show that under some conditions, a sequence of Markov chains…

In recent years probabilistic model checking has become an important area of research because of the diffusion of computational systems of stochastic nature. Despite its great success, standard probabilistic model checking suffers the…

In this paper, we introduce Max Markov Chain (MMC), a novel representation for a useful subset of High-order Markov Chains (HMCs) with sparse correlations among the states. MMC is parsimony while retaining the expressiveness of HMCs. Even…

Recent advances in stochastic gradient techniques have made it possible to estimate posterior distributions from large datasets via Markov Chain Monte Carlo (MCMC). However, when the target posterior is multimodal, mixing performance is…

There is a well-established theory linking certain semi-Markov chains and continuous-time random walks to time-fractional equations and anomalous diffusion. In this work, we go beyond the semi-Markov framework by considering some…

This paper presents a Markov chain Monte Carlo method to generate approximate posterior samples in retrospective multiple changepoint problems where the number of changes is not known in advance. The method uses conjugate models whereby the…

In this paper, it is presented a methodology for implementing arbitrarily constructed time-homogenous Markov chains with biochemical systems. Not only discrete but also continuous-time Markov chains are allowed to be computed. By employing…

Markov chain Monte Carlo (MCMC) methods have not been broadly adopted in Bayesian neural networks (BNNs). This paper initially reviews the main challenges in sampling from the parameter posterior of a neural network via MCMC. Such…

Markov Chain Monte Carlo (MCMC) methods have become a cornerstone of many modern scientific analyses by providing a straightforward approach to numerically estimate uncertainties in the parameters of a model using a sequence of random…

Variational quantum algorithms are poised to have significant impact on high-dimensional optimization, with applications in classical combinatorics, quantum chemistry, and condensed matter. Nevertheless, the optimization landscape of these…

Jump stochastic volatility models are central to financial econometrics for volatility forecasting, portfolio risk management, and derivatives pricing. Markov Chain Monte Carlo (MCMC) algorithms are computationally unfeasible for the…

Predicting relative risk (RR) of spatial clusters is a complex task in public health that can be achieved through various statistical and machine-learning methods for different time intervals. However, high-resolution longitudinal data is…

We study a linear recursion with random Markov-dependent coefficients. In a "regular variation in, regular variation out" setup we show that its stationary solution has a multivariate regularly varying distribution. This extends results…

A novel class of non-reversible Markov chain Monte Carlo schemes relying on continuous-time piecewise-deterministic Markov Processes has recently emerged. In these algorithms, the state of the Markov process evolves according to a…

Markov Chain Monte Carlo (MCMC) sampling is computationally expensive, especially for complex models. Alternative methods make simplifying assumptions about the posterior to reduce computational burden, but their impact on predictive…

We present a new framework to derandomise certain Markov chain Monte Carlo (MCMC) algorithms. As in MCMC, we first reduce counting problems to sampling from a sequence of marginal distributions. For the latter task, we introduce a method…