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Vector autoregression (VAR) models are widely used for forecasting and macroeconomic analysis, yet they remain limited by their reliance on a linear parameterization. Recent research has introduced nonparametric alternatives, such as…
Bayesian models based on the Dirichlet process and other stick-breaking priors have been proposed as core ingredients for clustering, topic modeling, and other unsupervised learning tasks. Prior specification is, however, relatively…
Bayesian models based on the Dirichlet process and other stick-breaking priors have been proposed as core ingredients for clustering, topic modeling, and other unsupervised learning tasks. However, due to the flexibility of these models,…
In this article a novel approach for training deep neural networks using Bayesian techniques is presented. The Bayesian methodology allows for an easy evaluation of model uncertainty and additionally is robust to overfitting. These are…
In theory, Bayesian nonparametric (BNP) models are well suited to streaming data scenarios due to their ability to adapt model complexity with the observed data. Unfortunately, such benefits have not been fully realized in practice;…
This study extends the Bayesian nonparametric instrumental variable regression model to determine the structural effects of covariates on the conditional quantile of the response variable. The error distribution is nonparametrically…
Nonparametric mixture models based on the Dirichlet process are an elegant alternative to finite models when the number of underlying components is unknown, but inference in such models can be slow. Existing attempts to parallelize…
Undirected graphical models are applied in genomics, protein structure prediction, and neuroscience to identify sparse interactions that underlie discrete data. Although Bayesian methods for inference would be favorable in these contexts,…
In this publication, we combine two Bayesian non-parametric models: the Gaussian Process (GP) and the Dirichlet Process (DP). Our innovation in the GP model is to introduce a variation on the GP prior which enables us to model structured…
Bayesian nonparametrics are a class of probabilistic models in which the model size is inferred from data. A recently developed methodology in this field is small-variance asymptotic analysis, a mathematical technique for deriving learning…
Vector autoregressive (VAR) models assume linearity between the endogenous variables and their lags. This assumption might be overly restrictive and could have a deleterious impact on forecasting accuracy. As a solution, we propose…
Univariate or multivariate ordinal responses are often assumed to arise from a latent continuous parametric distribution, with covariate effects which enter linearly. We introduce a Bayesian nonparametric modeling approach for univariate…
The vector autoregressive (VAR) model is a powerful tool in modeling complex time series and has been exploited in many fields. However, fitting high dimensional VAR model poses some unique challenges: On one hand, the dimensionality,…
Dynamic factor models are often estimated by point-estimation methods, disregarding parameter uncertainty. We propose a method accounting for parameter uncertainty by means of posterior approximation, using variational inference. Our…
Spurred on by recent successes in causal inference competitions, Bayesian nonparametric (and high-dimensional) methods have recently seen increased attention in the causal inference literature. In this paper, we present a comprehensive…
In this paper, we describe a Bayesian nonparametric approach to make inference for a bivariate spherically symmetric distribution. We consider a Dirichlet invariant process prior on the set of all bivariate spherically symmetric…
We propose a large structural VAR which is identified by higher moments without the need to impose economically motivated restrictions. The model scales well to higher dimensions, allowing the inclusion of a larger number of variables. We…
A Bayesian treatment of deep learning allows for the computation of uncertainties associated with the predictions of deep neural networks. We show how the concept of Errors-in-Variables can be used in Bayesian deep regression to also…
Parametric Bayesian modeling offers a powerful and flexible toolbox for machine learning. Yet the model, however detailed, may still be wrong, and this can make inferences untrustworthy. In this paper we introduce a new class of…
We present a non-parametric Bayesian latent variable model capable of learning dependency structures across dimensions in a multivariate setting. Our approach is based on flexible Gaussian process priors for the generative mappings and…