Related papers: Bayesian Smoothing and Feature Selection Using var…
Time-varying parameter VARs with stochastic volatility are routinely used for structural analysis and forecasting in settings involving a few endogenous variables. Applying these models to high-dimensional datasets has proved to be…
Functional data analysis finds widespread application across various fields. While functional data are intrinsically infinite-dimensional, in practice, they are observed only at a finite set of points, typically over a dense grid. As a…
In practical regression applications, multiple covariates are often measured, but not all may be associated with the response variable. Identifying and including only the relevant covariates in the model is crucial for improving prediction…
This paper provides an entire inference procedure for the autoregressive model under (conditional) heteroscedasticity of unknown form with a finite variance. We first establish the asymptotic normality of the weighted least absolute…
Bayesian additive regression trees (BART) (Chipman et. al., 2010) is a powerful predictive model that often outperforms alternative models at out-of-sample prediction. BART is especially well-suited to settings with unstructured predictor…
In this paper, a novel approach to visual salience detection via Neural Response Divergence (NeRD) is proposed, where synaptic portions of deep neural networks, previously trained for complex object recognition, are leveraged to compute low…
As a special infinite-order vector autoregressive (VAR) model, the vector autoregressive moving average (VARMA) model can capture much richer temporal patterns than the widely used finite-order VAR model. However, its practicality has long…
Randomized smoothing is a defensive technique to achieve enhanced robustness against adversarial examples which are small input perturbations that degrade the performance of neural network models. Conventional randomized smoothing adds…
We propose a Bayesian vector autoregressive (VAR) model for mixed-frequency data. Our model is based on the mean-adjusted parametrization of the VAR and allows for an explicit prior on the 'steady states' (unconditional means) of the…
In this paper we develop the randomized Sharded Bayesian Additive Regression Trees (SBT) model. We introduce a randomization auxiliary variable and a sharding tree to decide partitioning of data, and fit each partition component to a…
We introduce a deterministic variational formulation for training Bayesian last layer neural networks. This yields a sampling-free, single-pass model and loss that effectively improves uncertainty estimation. Our variational Bayesian last…
Fine stratification survey is useful in many applications as its point estimator is unbiased, but the variance estimator under the design cannot be easily obtained, particularly when the sample size per stratum is as small as one unit. One…
Iterative method selection is crucial for solving sparse linear systems because these methods inherently lack robustness. Though image-based selection approaches have shown promise, their feature extraction techniques might encode distinct…
Training deep reinforcement learning (RL) agents necessitates overcoming the highly unstable nonconvex stochastic optimization inherent in the trial-and-error mechanism. To tackle this challenge, we propose a physics-inspired optimization…
Bayesian Additive Regression Trees(BART) is a Bayesian nonparametric approach which has been shown to be competitive with the best modern predictive methods such as random forest and Gradient Boosting Decision Tree.The sum of trees…
This article describes a full Bayesian treatment for simultaneous fixed-effect selection and parameter estimation in high-dimensional generalized linear mixed models. The approach consists of using a Bayesian adaptive Lasso penalty for…
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,…
We study a mean-field spike and slab variational Bayes (VB) approximation to Bayesian model selection priors in sparse high-dimensional linear regression. Under compatibility conditions on the design matrix, oracle inequalities are derived…
The reduced-rank vector autoregressive (VAR) model can be interpreted as a supervised factor model, where two factor modelings are simultaneously applied to response and predictor spaces. This article introduces a new model, called vector…
We present a new class of methods for high-dimensional nonparametric regression and classification called sparse additive models (SpAM). Our methods combine ideas from sparse linear modeling and additive nonparametric regression. We derive…