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Scalable algorithms of posterior approximation allow Bayesian nonparametrics such as Dirichlet process mixture to scale up to larger dataset at fractional cost. Recent algorithms, notably the stochastic variational inference performs local…

This paper proposes a new Bayesian machine learning model that can be applied to large datasets arising in macroeconomics. Our framework sums over many simple two-component location mixtures. The transition between components is determined…

The analysis of the effects of monetary policy shocks using the common econometric models (such as VAR or SVAR) poses several empirical anomalies. However, it is known that in these econometric models the use of a large amount of…

We study the Gaussian sequence compound decision problem and analyze a Bayesian nonparametric estimator from an empirical Bayes, regret-based perspective. Motivated by sharp results for the classical nonparametric maximum likelihood…

As evidenced by various recent and significant papers within the frequentist literature, along with numerous applications in macroeconomics, genomics, and neuroscience, there continues to be substantial interest to understand the…

We revisit macroeconomic time-varying parameter vector autoregressions (TVP-VARs), whose persistent coefficients may adapt too slowly to large, abrupt shifts such as those during major crises. We explore the performance of an…

We propose a regularized factor-augmented vector autoregressive (FAVAR) model that allows for sparsity in the factor loadings. In this framework, factors may only load on a subset of variables which simplifies the factor identification and…

In recent years, we have seen a handful of work on inference algorithms over non-stationary data streams. Given their flexibility, Bayesian non-parametric models are a good candidate for these scenarios. However, reliable streaming…

Detection heterogeneity is inherent to ecological data, arising from factors such as varied terrain or weather conditions, inconsistent sampling effort, or heterogeneity of individuals themselves. Incorporating additional covariates into a…

Interactions among multiple time series of positive random variables are crucial in diverse financial applications, from spillover effects to volatility interdependence. A popular model in this setting is the vector Multiplicative Error…

This paper discusses the practical use of the saddle variational formulation for the weakly-constrained 4D-VAR method in data assimilation. It is shown that the method, in its original form, may produce erratic results or diverge because of…

It has historically been a challenge to perform Bayesian inference in a design-based survey context. The present paper develops a Bayesian model for sampling inference in the presence of inverse-probability weights. We use a hierarchical…

This paper explores hypothesis testing for the parametric forms of the mean and variance functions in regression models under diverging-dimension settings. To mitigate the curse of dimensionality, we introduce weighted residual empirical…

Under a high-dimensional vector autoregressive (VAR) model, we propose a way of efficiently estimating both the stationary graph structure between the nodal time series and their temporal dynamics. The framework is then used to make…

Modern manufacturing systems often experience multiple and unpredictable failure behaviors, yet most existing prognostic models assume a fixed, known set of failure modes with labeled historical data. This assumption limits the use of…

This paper investigates the time-varying impacts of international macroeconomic uncertainty shocks. We use a global vector autoregressive specification with drifting coefficients and factor stochastic volatility in the errors to model six…

Spontaneous reporting system databases are key resources for post-marketing surveillance, providing real-world evidence (RWE) on the adverse events (AEs) of regulated drugs or other medical products. Various statistical methods have been…

The development of parsimonious models for reliable inference and prediction of responses in high-dimensional regression settings is often challenging due to relatively small sample sizes and the presence of complex interaction patterns…

In this article, we introduce the BNPqte R package which implements the Bayesian nonparametric approach of Xu, Daniels and Winterstein (2018) for estimating quantile treatment effects in observational studies. This approach provides…

We show how the notion of message passing can be used to streamline the algebra and computer coding for fast approximate inference in large Bayesian semiparametric regression models. In particular, this approach is amenable to handling…