统计计算
The Bayesian approach to inverse problems typically relies on posterior sampling approaches, such as Markov chain Monte Carlo, for which the generation of each sample requires one or more evaluations of the parameter-to-observable map or…
The concept of "tidy data" offers a powerful framework for structuring data to ease manipulation, modeling and visualization. However, most R functions, both those built-in and those found in third-party packages, produce output that is not…
Single-Instruction, Multiple-Data (SIMD) random number generators (RNGs) take advantage of vector units to offer significant performance gain over non-vectorized libraries, but they often rely on batch production of deviates from…
Most of the existing algorithms for approximate Bayesian computation (ABC) assume that it is feasible to simulate pseudo-data from the model at each iteration. However, the computational cost of these simulations can be prohibitive for high…
In this article we consider a Bayesian inverse problem associated to elliptic partial differential equations (PDEs) in two and three dimensions. This class of inverse problems is important in applications such as hydrology, but the…
We propose a general technique for improving alternating optimization (AO) of nonconvex functions. Starting from the solution given by AO, we conduct another sequence of searches over subspaces that are both meaningful to the optimization…
Biips is a software platform for automatic Bayesian inference with interacting particle systems. Biips allows users to define their statistical model in the probabilistic programming BUGS language, as well as to add custom functions or…
In the multiple changepoint setting, various search methods have been proposed which involve optimising either a constrained or penalised cost function over possible numbers and locations of changepoints using dynamic programming. Such…
We consider the numerical approximation of the filtering problem in high dimensions, that is, when the hidden state lies in $\mathbb{R}^d$ with $d$ large. For low dimensional problems, one of the most popular numerical procedures for…
In this note we propose a vectorized implementation of the non-parametric bootstrap for statistics based on sample moments. Basically, we adopt the multinomial sampling formulation of the non-parametric bootstrap, and compute bootstrap…
In this paper, we introduce efficient ensemble Markov Chain Monte Carlo (MCMC) sampling methods for Bayesian computations in the univariate stochastic volatility model. We compare the performance of our ensemble MCMC methods with an…
Multivariate GARCH models are important tools to describe the dynamics of multivariate times series of financial returns. Nevertheless, these models have been much less used in practice due to the lack of reliable software. This paper…
Isotonic regression is a shape-constrained nonparametric regression in which the regression is an increasing step function. For $n$ data points, the number of steps in the isotonic regression may be as large as $n$. As a result, standard…
Approximate Bayesian computation (ABC) performs statistical inference for otherwise intractable probability models by accepting parameter proposals when corresponding simulated datasets are sufficiently close to the observations. Producing…
Nested sampling is an iterative integration procedure that shrinks the prior volume towards higher likelihoods by removing a "live" point at a time. A replacement point is drawn uniformly from the prior above an ever-increasing likelihood…
Markov chain Monte Carlo (MCMC) simulations are modeled as driven by true random numbers. We consider variance bounding Markov chains driven by a deterministic sequence of numbers. The star-discrepancy provides a measure of efficiency of…
The randomized $p$-value, (nonrandomized) mid-$p$-value and abstract randomized $p$-value have all been recommended for testing a null hypothesis whenever the test statistic has a discrete distribution. This paper provides a unifying…
Expected-posterior priors (EPP) have been proved to be extremely useful for testing hypothesis on the regression coefficients of normal linear models. One of the advantages of using EPPs is that impropriety of baseline priors causes no…
Recently developed particle flow algorithms provide an alternative to importance sampling for drawing particles from a posterior distribution, and a number of particle filters based on this principle have been proposed. Samples are drawn…
Contrary to standard statistical models, unnormalised statistical models only specify the likelihood function up to a constant. While such models are natural and popular, the lack of normalisation makes inference much more difficult. Here…