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Bayesian neural networks (BNNs) hold great promise as a flexible and principled solution to deal with uncertainty when learning from finite data. Among approaches to realize probabilistic inference in deep neural networks, variational Bayes…
Cryptocurrencies, such as Bitcoin, are one of the most controversial and complex technological innovations in today's financial system. This study aims to forecast the movements of Bitcoin prices at a high degree of accuracy. To this aim,…
Exponential random graph models (ERGMs) are very flexible for modeling network formation but pose difficult estimation challenges due to their intractable normalizing constant. Existing methods, such as MCMC-MLE, rely on sequential…
Making inference with spatial extremal dependence models can be computationally burdensome since they involve intractable and/or censored likelihoods. Building on recent advances in likelihood-free inference with neural Bayes estimators,…
Accurate null depth retrieval is critical in nulling interferometry. However, achieving accurate null depth calibration is challenging due to various noise sources, instrumental imperfections, and the complexity of real observational…
Neural Networks (NNs) have been extensively used for a wide spectrum of real-world regression tasks, where the goal is to predict a numerical outcome such as revenue, effectiveness, or a quantitative result. In many such tasks, the point…
Bayesian inference methods rely on numerical algorithms for both model selection and parameter inference. In general, these algorithms require a high computational effort to yield reliable estimates. One of the major challenges in…
Real-time nonlinear Bayesian filtering algorithms are overwhelmed by data volume, velocity and increasing complexity of computational models. In this paper, we propose a novel ensemble based nonlinear Bayesian filtering approach which only…
Variational Bayes (VB) is a popular estimation method for Bayesian inference. However, most existing VB algorithms are restricted to cases where the likelihood is tractable, which precludes their use in many important situations. Tran et…
Bayesian modelling allows for the quantification of predictive uncertainty which is crucial in safety-critical applications. Yet for many machine learning (ML) algorithms, it is difficult to construct or implement their Bayesian…
Hawkes Processes have undergone increasing popularity as default tools for modeling self- and mutually exciting interactions of discrete events in continuous-time event streams. A Maximum Likelihood Estimation (MLE) unconstrained…
The topic of deep learning has seen a surge of interest in recent years both within and outside of the field of Statistics. Deep models leverage both nonlinearity and interaction effects to provide superior predictions in many cases when…
Regularization of inverse problems is of paramount importance in computational imaging. The ability of neural networks to learn efficient image representations has been recently exploited to design powerful data-driven regularizers. While…
Recently, the pure camera-based Bird's-Eye-View (BEV) perception removes expensive Lidar sensors, making it a feasible solution for economical autonomous driving. However, most existing BEV solutions either suffer from modest performance or…
We present mathematical and conceptual foundations for the task of robust amplitude estimation using engineered likelihood functions (ELFs), a framework introduced in Wang et al. [PRX Quantum 2, 010346 (2021)] that uses Bayesian inference…
Active learning methods for neural networks are usually based on greedy criteria which ultimately give a single new design point for the evaluation. Such an approach requires either some heuristics to sample a batch of design points at one…
We present a novel Bayesian inference tool that uses a neural network to parameterise efficient Markov Chain Monte-Carlo (MCMC) proposals. The target distribution is first transformed into a diagonal, unit variance Gaussian by a series of…
This paper is a supplement to our recent paper ``Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models". We introduce the class of regime-switching L\'evy models with memory,…
Naive Bayes is a popular probabilistic model appreciated for its simplicity and interpretability. However, the usual form of the related classifier suffers from two major problems. First, as caring about the observations' law, it cannot…
Uncertainty quantification is crucial in time series prediction, and quantile regression offers a valuable mechanism for uncertainty quantification which is useful for extreme value forecasting. Although deep learning models have been…