Related papers: Geometric ergodicity of Gibbs samplers for Bayesia…

We analyze the complexity of Gibbs samplers for inference in crossed random effect models used in modern analysis of variance. We demonstrate that for certain designs the plain vanilla Gibbs sampler is not scalable, in the sense that its…

The quantile varying coefficient (VC) model can flexibly capture dynamical patterns of regression coefficients. In addition, due to the quantile check loss function, it is robust against outliers and heavy-tailed distributions of the…

Sparse regression based on global-local shrinkage priors are increasingly used for Bayesian modeling of modern high-dimensional data, but scaling up the Gibbs sampler for posterior inference remains a challenge. While much effort has gone…

The Bayesian elastic net regression model is characterized by the regression coefficient prior distribution, the negative log density of which corresponds to the elastic net penalty function. While Markov chain Monte Carlo (MCMC) methods…

The target measure $\mu$ is the distribution of a random vector in a box $\cB$, a Cartesian product of bounded intervals. The Gibbs sampler is a Markov chain with invariant measure $\mu$. A ``coupling from the past'' construction of the…

We study parameter inference in large-scale latent variable models. We first propose an unified treatment of online inference for latent variable models from a non-canonical exponential family, and draw explicit links between several…

Standard simultaneous autoregressive (SAR) models typically assume normally distributed errors, an assumption often violated in real-world datasets that frequently exhibit non-normal, skewed, or heavy-tailed characteristics. New SAR models…

Extreme floods cause casualties, and widespread damage to property and vital civil infrastructure. We here propose a Bayesian approach for predicting extreme floods using the generalized extreme-value (GEV) distribution within gauged and…

This paper addresses the issue of inversion in cases where (1) the observation system is modeled by a linear transformation and additive noise, (2) the problem is ill-posed and regularization is introduced in a Bayesian framework by an a…

The geographically weighted regression (GWR) is a well-known statistical approach to explore spatial non-stationarity of the regression relationship in spatial data analysis. In this paper, we discuss a Bayesian recourse of GWR. Bayesian…

We introduce a symmetric random scan Gibbs sampler for scalable Bayesian variable selection that eliminates storage of the full cross-product matrix by computing required quantities on-the-fly. Data-informed proposal weights, constructed…

In many conventional scientific investigations with high or ultra-high dimensional feature spaces, the relevant features, though sparse, are large in number compared with classical statistical problems, and the magnitude of their effects…

We consider covariance estimation in the multivariate generalized Gaussian distribution (MGGD) and elliptically symmetric (ES) distribution. The maximum likelihood optimization associated with this problem is non-convex, yet it has been…

For linear models with a diverging number of parameters, it has recently been shown that modified versions of Bayesian information criterion (BIC) can identify the true model consistently. However, in many cases there is little…

The analysis of gravitational wave data involves many model selection problems. The most important example is the detection problem of selecting between the data being consistent with instrument noise alone, or instrument noise and a…

The dual tasks of quantum Hamiltonian learning and quantum Gibbs sampling are relevant to many important problems in physics and chemistry. In the low temperature regime, algorithms for these tasks often suffer from intractabilities, for…

We develop a practical way of addressing the Errors-In-Variables (EIV) problem in the Generalized Method of Moments (GMM) framework. We focus on the settings in which the variability of the EIV is a fraction of that of the mismeasured…

In some applied scenarios, the availability of complete data is restricted, often due to privacy concerns; only aggregated, robust and inefficient statistics derived from the data are made accessible. These robust statistics are not…

A nonparanormal graphical model is a semiparametric generalization of a Gaussian graphical model for continuous variables in which it is assumed that the variables follow a Gaussian graphical model only after some unknown smooth monotone…

We analyze the generalization and robustness of the batched weighted average algorithm for V-geometrically ergodic Markov data. This algorithm is a good alternative to the empirical risk minimization algorithm when the latter suffers from…