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Sparse convex clustering is to cluster observations and conduct variable selection simultaneously in the framework of convex clustering. Although a weighted $L_1$ norm is usually employed for the regularization term in sparse convex…
The widespread adoption of randomized controlled trials (A/B Tests) for decision-making has introduced a pervasive "Winner's Curse": experiments selected for launch often exhibit upwardly biased effect estimates and invalid confidence…
The multivariate extended skew-normal distribution allows for accommodating raw data which are skewed and heavy tailed, and has at least three appealing statistical properties, namely closure under conditioning, affine transformations, and…
We consider the problem of simultaneous variable selection and constant coefficient identification in high-dimensional varying coefficient models based on B-spline basis expansion. Both objectives can be considered as some type of model…
There is a wide variety of models in which the dimension of the parameter space is unknown. For example, in factor analysis the number of latent factors is typically not known and has to be inferred from the observed data. Although…
The emergence of Big Data raises the question of how to model economic relations when there is a large number of possible explanatory variables. We revisit the issue by comparing the possibility of using dense or sparse models in a Bayesian…
We consider nonparametric Bayesian estimation inference using a rescaled smooth Gaussian field as a prior for a multidimensional function. The rescaling is achieved using a Gamma variable and the procedure can be viewed as choosing an…
Factors models are routinely used to analyze high-dimensional data in both single-study and multi-study settings. Bayesian inference for such models relies on Markov Chain Monte Carlo (MCMC) methods which scale poorly as the number of…
In Bayesian regression models with categorical predictors, constraints are needed to ensure identifiability when using all $K$ levels of a factor. The sum-to-zero constraint is particularly useful as it allows coefficients to represent…
Nonresponse weighting adjustment using propensity score is a popular method for handling unit nonresponse. However, including all available auxiliary variables into the propensity model can lead to inefficient and inconsistent estimation,…
This paper focuses on Bayesian shrinkage for covariance matrix estimation. We examine posterior properties and frequentist risks of Bayesian estimators based on new hierarchical inverse-Wishart priors. More precisely, we give the existence…
Stochastic variational inference (SVI) is emerging as the most promising candidate for scaling inference in Bayesian probabilistic models to large datasets. However, the performance of these methods has been assessed primarily in the…
We consider the problem of model selection when grouping structure is inherent within the regressors. Using a Bayesian approach, we model the mean vector by a one-group global-local shrinkage prior belonging to a broad class of such priors…
Penalized regression methods, such as $L_1$ regularization, are routinely used in high-dimensional applications, and there is a rich literature on optimality properties under sparsity assumptions. In the Bayesian paradigm, sparsity is…
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.,…
Conjugate priors allow for fast inference in large dimensional vector autoregressive (VAR) models but, at the same time, introduce the restriction that each equation features the same set of explanatory variables. This paper proposes a…
High-dimensional variable selection, with many more covariates than observations, is widely documented in standard regression models, but there are still few tools to address it in non-linear mixed-effects models where data are collected…
We propose a fast and theoretically grounded method for Bayesian variable selection and model averaging in latent variable regression models. Our framework addresses three interrelated challenges: (i) intractable marginal likelihoods, (ii)…
Bayesian inference is useful to obtain a predictive distribution with a small generalization error. However, since posterior distributions are rarely evaluated analytically, we employ the variational Bayesian inference or sampling method to…
The proposed approach extends the confidence posterior distribution to the semi-parametric empirical Bayes setting. Whereas the Bayesian posterior is defined in terms of a prior distribution conditional on the observed data, the confidence…