相关论文: Dynamic Variable Selection with Spike-and-Slab Pro…

We develop a Bayesian variable selection method, called SVEN, based on a hierarchical Gaussian linear model with priors placed on the regression coefficients as well as on the model space. Sparsity is achieved by using degenerate spike…

Successful forecasting models strike a balance between parsimony and flexibility. This is often achieved by employing suitable shrinkage priors that penalize model complexity but also reward model fit. In this note, we modify the stochastic…

This paper proposes a variational Bayes algorithm for computationally efficient posterior and predictive inference in time-varying parameter (TVP) models. Within this context we specify a new dynamic variable/model selection strategy for…

Many existing shrinkage approaches for time-varying parameter (TVP) models assume constant innovation variances across time points, inducing sparsity by shrinking these variances toward zero. However, this assumption falls short when states…

In this paper, we study the Bayesian multi-task variable selection problem, where the goal is to select activated variables for multiple related data sets simultaneously. Our proposed method generalizes the spike-and-slab prior to multiple…

The impracticality of posterior sampling has prevented the widespread adoption of spike-and-slab priors in high-dimensional applications. To alleviate the computational burden, optimization strategies have been proposed that quickly find…

Discovering governing equations from data is important to many scientific and engineering applications. Despite promising successes, existing methods are still challenged by data sparsity and noise issues, both of which are ubiquitous in…

Combining a continuous "slab" density with discrete "spike" mass at zero, spike-and-slab priors provide important tools for inducing sparsity and carrying out variable selection in Bayesian models. However, the presence of discrete mass…

Variable selection in ultra-high dimensional regression problems has become an important issue. In such situations, penalized regression models may face computational problems and some pre screening of the variables may be necessary. A…

Prediction of dynamical time series with additive noise using support vector machines or kernel based regression has been proved to be consistent for certain classes of discrete dynamical systems. Consistency implies that these methods are…

We propose score dynamics (SD), a general framework for learning accelerated evolution operators with large timesteps from molecular-dynamics simulations. SD is centered around scores, or derivatives of the transition log-probability with…

High-dimensional data sets have become ubiquitous in the past few decades, often with many more covariates than observations. In the frequentist setting, penalized likelihood methods are the most popular approach for variable selection and…

In this chapter, we review variance selection for time-varying parameter (TVP) models for univariate and multivariate time series within a Bayesian framework. We show how both continuous as well as discrete spike-and-slab shrinkage priors…

The Gaussian process latent variable model (GP-LVM) is a popular approach to non-linear probabilistic dimensionality reduction. One design choice for the model is the number of latent variables. We present a spike and slab prior for the…

The identification and modeling of time-varying systems is a fundamental challenge in signal processing and system identification. To address this challenge, we propose a class of time-varying state-space model (SSM) based neural networks…

We introduce a new version of deep state-space models (DSSMs) that combines a recurrent neural network with a state-space framework to forecast time series data. The model estimates the observed series as functions of latent variables that…

This paper introduces a novel Bayesian approach for variable selection in high-dimensional and potentially sparse regression settings. Our method replaces the indicator variables in the traditional spike and slab prior with continuous,…

Multi-output Gaussian process (MGP) is commonly used as a transfer learning method to leverage information among multiple outputs. A key advantage of MGP is providing uncertainty quantification for prediction, which is highly important for…

Conjugate priors allow for fast inference in large dimensional vector autoregressive (VAR) models but, at the same time, introduce the restriction that each equation features the same set of explanatory variables. This paper proposes a…

Recent developments in computers and automated data collection strategies have greatly increased the interest in statistical modeling of dynamic networks. Many of the statistical models employed for inference on large-scale dynamic networks…