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Gaussian graphical models (GGMs) are well-established tools for probabilistic exploration of dependence structures using precision matrices. We develop a Bayesian method to incorporate covariate information in this GGMs setup in a nonlinear…
Exponential-family random graph models (ERGMs) are probabilistic network models that are parametrized by sufficient statistics based on structural (i.e., graph-theoretic) properties. The ergm package for the R statistical computing system…
$\textit{Pymc-learn}$ is a Python package providing a variety of state-of-the-art probabilistic models for supervised and unsupervised machine learning. It is inspired by $\textit{scikit-learn}$ and focuses on bringing probabilistic machine…
ergodicity is an open-source Python library for computational work on stochastic dynamics, with particular emphasis on non-ergodicity, time-average behavior, heavy-tailed processes, and decision making under uncertainty. The package brings…
Generalized autoregressive score (GAS) models are a class of observation-driven time series models that employ the score to dynamically update time-varying parameters of the underlying probability distribution. GAS models have been…
The recently proposed generalized epidemic modeling framework (GEMF) \cite{sahneh2013generalized} lays the groundwork for systematically constructing a broad spectrum of stochastic spreading processes over complex networks. This article…
This article introduces the R package hermiter which facilitates estimation of univariate and bivariate probability density functions and cumulative distribution functions along with full quantile functions (univariate) and nonparametric…
Undirected graphical models are used extensively in the biological and social sciences to encode a pattern of conditional independences between variables, where the absence of an edge between two nodes $a$ and $b$ indicates that the…
We propose a novel algebraic framework for treating probability distributions represented by their cumulants such as the mean and covariance matrix. As an example, we consider the unsupervised learning problem of finding the subspace on…
The distribution of the sum of dependent risks is a crucial aspect in actuarial sciences, risk management and in many branches of applied probability. In this paper, we obtain analytic expressions for the probability density function (pdf)…
Non-random sample selection is a commonplace amongst many empirical studies and it appears when an output variable of interest is available only for a restricted non-random sub-sample of data. We introduce an extension of the generalized…
Identifying systemic risk patterns in geopolitical, economic, financial, environmental, transportation, epidemiological systems and their impacts is the key to risk management. This paper proposes a new nonlinear time series model:…
We propose a method for post-processing an ensemble of multivariate forecasts in order to obtain a joint predictive distribution of weather. Our method utilizes existing univariate post-processing techniques, in this case ensemble Bayesian…
The R package merlin performs flexible joint modelling of hierarchical multi-outcome data. Increasingly, multiple longitudinal biomarker measurements, possibly censored time-to-event outcomes and baseline characteristics are available.…
Semi-competing risks refer to the setting where primary scientific interest lies in estimation and inference with respect to a non-terminal event, the occurrence of which is subject to a terminal event. In this paper, we present the R…
In this paper we consider the problem of computing tail probabilities of the distribution of a random sum of positive random variables. We assume that the individual variables follow a reproducible natural exponential family (NEF)…
High-cardinality categorical features are pervasive in actuarial data (e.g. occupation in commercial property insurance). Standard categorical encoding methods like one-hot encoding are inadequate in these settings. In this work, we present…
In recent years, theoretical results and simulation evidence have shown Bayesian additive regression trees to be a highly-effective method for nonparametric regression. Motivated by cost-effectiveness analyses in health economics, where…
The Generalized Additive Model (GAM) is a powerful tool and has been well studied. This model class helps to identify additive regression structure. Via available test procedures one may identify the regression structure even sharper if…
We present a Bayesian nonparametric model for conditional distribution estimation using Bayesian additive regression trees (BART). The generative model we use is based on rejection sampling from a base model. Typical of BART models, our…