Related papers: Variational Inference for GARCH-family Models

Conditional heteroscedastic (CH) models are routinely used to analyze financial datasets. The classical models such as ARCH-GARCH with time-invariant coefficients are often inadequate to describe frequent changes over time due to market…

Latent space models are popular for analyzing dynamic network data. We propose a variational approach to estimate the model parameters as well as the latent positions of the nodes in the network. The variational approach is much faster than…

Posterior sampling by Monte Carlo methods provides a more comprehensive solution approach to inverse problems than computing point estimates such as the maximum posterior using optimization methods, at the expense of usually requiring many…

This paper introduces a Bayesian framework that combines Markov chain Monte Carlo (MCMC) sampling, dimensionality reduction, and neural density estimation to efficiently handle inverse problems that (i) must be solved multiple times, and…

Reconstructing the evolutionary history relating a collection of molecular sequences is the main subject of modern Bayesian phylogenetic inference. However, the commonly used Markov chain Monte Carlo methods can be inefficient due to the…

Bayesian neural networks (BNNs) have recently regained a significant amount of attention in the deep learning community due to the development of scalable approximate Bayesian inference techniques. There are several advantages of using a…

We develop a scalable multi-step Monte Carlo algorithm for inference under a large class of nonparametric Bayesian models for clustering and classification. Each step is "embarrassingly parallel" and can be implemented using the same Markov…

We show that the variance of the Monte Carlo estimator that is importance sampled from an exponential family is a convex function of the natural parameter of the distribution. With this insight, we propose an adaptive importance sampling…

This paper presents a novel variational inference framework for deriving a family of Bayesian sparse Gaussian process regression (SGPR) models whose approximations are variationally optimal with respect to the full-rank GPR model enriched…

We develop a variational Bayes approach for dynamic variable selection in high-dimensional regression models with time-varying parameters and predictors that exhibit a predefined group structure. Through comprehensive simulation studies, we…

In predictive modeling with simulation or machine learning, it is critical to accurately assess the quality of estimated values through output analysis. In recent decades output analysis has become enriched with methods that quantify the…

Gaussian process (GP) models form a core part of probabilistic machine learning. Considerable research effort has been made into attacking three issues with GP models: how to compute efficiently when the number of data is large; how to…

The nature of available economic data has changed fundamentally in the last decade due to the economy's digitisation. With the prevalence of often black box data-driven machine learning methods, there is a necessity to develop interpretable…

Generative adversarial networks (GANs) have given us a great tool to fit implicit generative models to data. Implicit distributions are ones we can sample from easily, and take derivatives of samples with respect to model parameters. These…

While stochastic variational inference is relatively well known for scaling inference in Bayesian probabilistic models, related methods also offer ways to circumnavigate the approximation of analytically intractable expectations. The key…

Multilevel Monte Carlo is a key tool for approximating integrals involving expensive scientific models. The idea is to use approximations of the integrand to construct an estimator with improved accuracy over classical Monte Carlo. We…

Variational Bayesian inference is an important machine-learning tool that finds application from statistics to robotics. The goal is to find an approximate probability density function (PDF) from a chosen family that is in some sense…

This paper discusses the efficient Bayesian estimation of a multivariate factor stochastic volatility (Factor MSV) model with leverage. We propose a novel approach to construct the sampling schemes that converges to the posterior…

This paper proposes an innovative threshold measurement equation to be employed in a Realized-GARCH framework. The proposed framework incorporates a nonlinear threshold regression specification to consider the leverage effect and model the…

We introduce priors and algorithms to perform Bayesian inference in Gaussian models defined by acyclic directed mixed graphs. Such a class of graphs, composed of directed and bi-directed edges, is a representation of conditional…