Related papers: Using Markov chain Monte Carlo methods for estimat…
The hybrid Monte Carlo (HMC) algorithm is used for Bayesian analysis of the generalized autoregressive conditional heteroscedasticity (GARCH) model. The HMC algorithm is one of Markov chain Monte Carlo (MCMC) algorithms and it updates all…
This paper proposes and compares two new sampling schemes for sparse deconvolution using a Bernoulli-Gaussian model. To tackle such a deconvolution problem in a blind and unsupervised context, the Markov Chain Monte Carlo (MCMC) framework…
Kernel methods have revolutionized the fields of pattern recognition and machine learning. Their success, however, critically depends on the choice of kernel parameters. Using Gaussian process (GP) classification as a working example, this…
The Laser Interferometer Space Antenna (LISA) will produce a data stream containing a vast number of overlapping sources: from strong signals generated by the coalescence of massive black hole binary systems to much weaker radiation form…
Markov jump processes and continuous time Bayesian networks are important classes of continuous time dynamical systems. In this paper, we tackle the problem of inferring unobserved paths in these models by introducing a fast auxiliary…
The Laser Interferometer Space Antenna will be able to detect the inspiral and merger of Super Massive Black Hole Binaries (SMBHBs) anywhere in the Universe. Standard matched filtering techniques can be used to detect and characterize these…
Latent position network models are a versatile tool in network science; applications include clustering entities, controlling for causal confounders, and defining priors over unobserved graphs. Estimating each node's latent position is…
We present the first application of a hierarchical Markov Chain Monte Carlo (MCMC) follow-up on continuous gravitational-wave candidates from real-data searches. The follow-up uses an MCMC sampler to draw parameter-space points from the…
Markov chain Monte Carlo (MCMC) is a powerful tool for sampling from complex probability distributions. Despite its versatility, MCMC often suffers from strong autocorrelation and the negative sign problem, leading to slowing down the…
Markov Chain Monte Carlo (MCMC) methods have revolutionised Bayesian data analysis over the years by making the direct computation of posterior probability densities feasible on modern workstations. However, the calculation of the prior…
The class of $\alpha$-stable distributions enjoys multiple practical applications in signal processing, finance, biology and other areas because it allows to describe interesting and complex data patterns, such as asymmetry or heavy tails,…
We consider the inverse reinforcement learning problem, that is, the problem of learning from, and then predicting or mimicking a controller based on state/action data. We propose a statistical model for such data, derived from the…
Radial velocity (RV) planet searches are increasingly finding planets with small velocity amplitudes, with long orbital periods, or in multiple planet systems. Bayesian inference has the potential to improve the interpretation of existing…
Most applications of Bayesian Inference for parameter estimation and model selection in astrophysics involve the use of Monte Carlo techniques such as Markov Chain Monte Carlo (MCMC) and nested sampling. However, these techniques are time…
We elaborate the idea behind Markov chain Monte Carlo (MCMC) methods in a mathematically coherent, yet simple and understandable way. To this end, we proof a pivotal convergence theorem for finite Markov chains and a minimal version of the…
We present a fast Markov Chain Monte-Carlo exploration of cosmological parameter space. We perform a joint analysis of results from recent CMB experiments and provide parameter constraints, including sigma_8, from the CMB independent of…
This article analyses a new class of advanced particle Markov chain Monte Carlo algorithms recently introduced by Andrieu, Doucet, and Holenstein (2010). We present a natural interpretation of these methods in terms of well known…
Bayesian statistics and Markov Chain Monte Carlo (MCMC) algorithms have found their place in the field of Cosmology. They have become important mathematical and numerical tools, especially in parameter estimation and model comparison. In…
Spatial generalized linear mixed-effects models are popularly used to analyze spatially indexed univariate responses. However, with modern technology, it is common to observe vector-valued mixed-type responses, e.g., a combination of…
The emergence of big data has led to so-called convergence complexity analysis, which is the study of how Markov chain Monte Carlo (MCMC) algorithms behave as the sample size, $n$, and/or the number of parameters, $p$, in the underlying…