Related papers: Large SVARs
We develop a Bayesian vector autoregressive (VAR) model with multivariate stochastic volatility that is capable of handling vast dimensional information sets. Three features are introduced to permit reliable estimation of the model. First,…
We propose a general algorithmic framework for Bayesian model selection. A spike-and-slab Laplacian prior is introduced to model the underlying structural assumption. Using the notion of effective resistance, we derive an EM-type algorithm…
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…
In this paper we propose an identification method for latent-variable graphical models associated to autoregressive (AR) Gaussian stationary processes. The identification procedure exploits the approximation of AR processes through…
The graphical lasso is a widely used algorithm for fitting undirected Gaussian graphical models. However, for inference on functionals of edge values in the learned graph, standard tools lack formal statistical guarantees, such as control…
Recognizing Traffic Signs using intelligent systems can drastically reduce the number of accidents happening world-wide. With the arrival of Self-driving cars it has become a staple challenge to solve the automatic recognition of Traffic…
In this paper, we study the estimation and inference of change points under a functional linear regression model with changes in the slope function. We present a novel Functional Regression Binary Segmentation (FRBS) algorithm which is…
While inference-time scaling has significantly enhanced generative quality in large language and diffusion models, its application to vector-quantized (VQ) visual autoregressive modeling (VAR) remains unexplored. We introduce VAR-Scaling,…
Vector autoregressive (VAR) models are widely used in multivariate time series analysis for describing the short-time dynamics of the data. The reduced-rank VAR models are of particular interest when dealing with high-dimensional and highly…
In this work, we design a machine learning based method, online adaptive primal support vector regression (SVR), to model the implied volatility surface (IVS). The algorithm proposed is the first derivation and implementation of an online…
Sparse model estimation is a topic of high importance in modern data analysis due to the increasing availability of data sets with a large number of variables. Another common problem in applied statistics is the presence of outliers in the…
Structured additive distributional regression models offer a versatile framework for estimating complete conditional distributions by relating all parameters of a parametric distribution to covariates. Although these models efficiently…
Simulations are ubiquitous in machine learning. Especially in graph learning, simulations of Directed Acyclic Graphs (DAG) are being deployed for evaluating new algorithms. In the literature, it was recently argued that…
A common goal in modern biostatistics is to form a biomarker signature from high dimensional gene expression data that is predictive of some outcome of interest. After learning this biomarker signature, an important question to answer is…
The vector autoregressive (VAR) model is a powerful tool in modeling complex time series and has been exploited in many fields. However, fitting high dimensional VAR model poses some unique challenges: On one hand, the dimensionality,…
Inference networks of traditional Variational Autoencoders (VAEs) are typically amortized, resulting in relatively inaccurate posterior approximation compared to instance-wise variational optimization. Recent semi-amortized approaches were…
We consider Bayesian linear regression with sparsity-inducing prior and design efficient sampling algorithms leveraging posterior contraction properties. A quasi-likelihood with Gaussian spike-and-slab (that is favorable both statistically…
We study the properties of the classical \emph{projection} method to conduct simultaneous inference about the coefficients of the structural impulse-response function and their identified set in Structural Vector Autoregressions. We show…
Semantic segmentation networks (SSNs) are central to safety-critical applications such as medical imaging and autonomous driving, where robustness under uncertainty is essential. However, existing probabilistic verification methods often…
Variational inference using the reparameterization trick has enabled large-scale approximate Bayesian inference in complex probabilistic models, leveraging stochastic optimization to sidestep intractable expectations. The reparameterization…