Related papers: On the large-sample limits of some Bayesian model …

Selecting the number of regimes in Hidden Markov models is an important problem. There are many criteria that are used to select this number, such as Akaike information criterion (AIC), Bayesian information criterion (BIC), integrated…

In Bayesian statistics, the marginal likelihood, also known as the evidence, is used to evaluate model fit as it quantifies the joint probability of the data under the prior. In contrast, non-Bayesian models are typically compared using…

This paper studies the model selection problem in a large class of causal time series models, which includes both the ARMA or AR($\infty$) processes, as well as the GARCH or ARCH($\infty$), APARCH, ARMA-GARCH and many others processes. To…

We consider Bayesian model selection in generalized linear models that are high-dimensional, with the number of covariates p being large relative to the sample size n, but sparse in that the number of active covariates is small compared to…

We consider a Bayesian approach to variable selection in the presence of high dimensional covariates based on a hierarchical model that places prior distributions on the regression coefficients as well as on the model space. We adopt the…

Stochastic blockmodels and variants thereof are among the most widely used approaches to community detection for social networks and relational data. A stochastic blockmodel partitions the nodes of a network into disjoint sets, called…

Large sample behavior of dynamic information borrowing (DIB) estimators is investigated. Asymptotic properties of several DIB approaches (adaptive risk minimization, adaptive LASSO, Bayesian procedures with empirical power prior, fully…

Standard Bayesian analyses can be difficult to perform when the full likelihood, and consequently the full posterior distribution, is too complex and difficult to specify or if robustness with respect to data or to model misspecifications…

We present a Bayesian sequential decision-making formulation of the information filtering problem, in which an algorithm presents items (news articles, scientific papers, tweets) arriving in a stream, and learns relevance from user feedback…

Varying coefficient models have numerous applications in a wide scope of scientific areas. While enjoying nice interpretability, they also allow flexibility in modeling dynamic impacts of the covariates. But, in the new era of big data, it…

Bayesian coresets speed up posterior inference in the large-scale data regime by approximating the full-data log-likelihood function with a surrogate log-likelihood based on a small, weighted subset of the data. But while Bayesian coresets…

Bayesian model selection with improper priors is not well-defined because of the dependence of the marginal likelihood on the arbitrary scaling constants of the within-model prior densities. We show how this problem can be evaded by…

It can be important in Bayesian analyses of complex models to construct informative prior distributions which reflect knowledge external to the data at hand. Nevertheless, how much prior information an analyst can elicit from an expert will…

We emphasize that it is possible to improve the principle of unbiased risk estimation for model selection by addressing excess risk deviations in the design of penalization procedures. Indeed, we propose a modification of Akaike's…

Sparse estimation of the precision matrix under high-dimensional scaling constitutes a canonical problem in statistics and machine learning. Numerous regression and likelihood based approaches, many frequentist and some Bayesian in nature…

By providing a framework of accounting for the shared ancestry inherent to all life, phylogenetics is becoming the statistical foundation of biology. The importance of model choice continues to grow as phylogenetic models continue to…

Non-concave penalized maximum likelihood methods, such as the Bridge, the SCAD, and the MCP, are widely used because they not only do parameter estimation and variable selection simultaneously but also have a high efficiency as compared to…

A central issue of many statistical learning problems is to select an appropriate model from a set of candidate models. Large models tend to inflate the variance (or overfitting), while small models tend to cause biases (or underfitting)…

How do we compare between hypotheses that are entirely consistent with observations? The marginal likelihood (aka Bayesian evidence), which represents the probability of generating our observations from a prior, provides a distinctive…

We consider the problem of chance constrained optimization where it is sought to optimize a function and satisfy constraints, both of which are affected by uncertainties. The real world declinations of this problem are particularly…