Related papers: The ARR2 prior: flexible predictive prior definiti…
The lasso and elastic net linear regression models impose a double-exponential prior distribution on the model parameters to achieve regression shrinkage and variable selection, allowing the inference of robust models from large data sets.…
In the context of a high-dimensional linear regression model, we propose the use of an empirical correlation-adaptive prior that makes use of information in the observed predictor variable matrix to adaptively address high collinearity,…
Variable selection over a potentially large set of covariates in a linear model is quite popular. In the Bayesian context, common prior choices can lead to a posterior expectation of the regression coefficients that is a sparse (or nearly…
Bayesian predictive inference propagates parameter uncertainty to quantities of interest through the posterior-predictive distribution. In practice, this is typically performed using a two-stage procedure: first approximating the posterior…
Currently several Bayesian approaches are available to estimate large sparse precision matrices, including Bayesian graphical Lasso (Wang, 2012), Bayesian structure learning (Banerjee and Ghosal, 2015), and graphical horseshoe (Li et al.,…
Understanding the time-varying structure of complex temporal systems is one of the main challenges of modern time series analysis. In this paper, we show that every uniformly-positive-definite-in-covariance and sufficiently short-range…
We develop a fully Bayesian framework for function-on-scalars regression with many predictors. The functional data response is modeled nonparametrically using unknown basis functions, which produces a flexible and data-adaptive functional…
Autoregressive models have emerged as a powerful paradigm for visual content creation, but often overlook the intrinsic structural properties of visual data. Our prior work, IAR, initiated a direction to address this by reorganizing the…
Vector autogressions (VARs) are widely applied when it comes to modeling and forecasting macroeconomic variables. In high dimensions, however, they are prone to overfitting. Bayesian methods, more concretely shrinkage priors, have shown to…
Isotonic regression or monotone function estimation is a problem of estimating function values under monotonicity constraints, which appears naturally in many scientific fields. This paper proposes a new Bayesian method with global-local…
The autoregressive process of order $p$ (AR($p$)) is a central model in time series analysis. A Bayesian approach requires the user to define a prior distribution for the coefficients of the AR($p$) model. Although it is easy to write down…
We propose Learned Accept/Reject Sampling (LARS), a method for constructing richer priors using rejection sampling with a learned acceptance function. This work is motivated by recent analyses of the VAE objective, which pointed out that…
As an alternative to variable selection or shrinkage in high dimensional regression, we propose to randomly compress the predictors prior to analysis. This dramatically reduces storage and computational bottlenecks, performing well when the…
In this paper I present a new approach for regression of time series using their own samples. This is a celebrated problem known as Auto-Regression. Dealing with outlier or missed samples in a time series makes the problem of estimation…
It is well known that Bridge regression enjoys superior theoretical properties when compared to traditional LASSO. However, the current latent variable representation of its Bayesian counterpart, based on the exponential power prior, is…
We consider a prior for nonparametric Bayesian estimation which uses finite random series with a random number of terms. The prior is constructed through distributions on the number of basis functions and the associated coefficients. We…
We propose a new method for conducting Bayesian prediction that delivers accurate predictions without correctly specifying the unknown true data generating process. A prior is defined over a class of plausible predictive models. After…
Applications of high-dimensional regression often involve multiple sources or types of covariates. We propose methodology for this setting, emphasizing the "wide data" regime with large total dimensionality p and sample size n<<p. We focus…
Autoregressive cokriging models have been widely used to emulate multiple computer models with different levels of fidelity. The dependence structures are modeled via Gaussian processes at each level of fidelity, where covariance structures…
INteger Auto-Regressive (INAR) processes are usually defined by specifying the innovations and the operator, which often leads to difficulties in deriving marginal properties of the process. In many practical situations, a major modeling…