相关论文: Dynamic quantile linear models: a Bayesian approac…

We propose a flexible nonparametric Bayesian modelling framework for multivariate time series of count data based on tensor factorisations. Our models can be viewed as infinite state space Markov chains of known maximal order with…

We introduce a class of Bayesian matrix dynamic factor models that accommodates time-varying volatility, outliers, and cross-sectional correlation in the idiosyncratic components. For model comparison, we employ an importance-sampling…

A novel sequential inferential method for Bayesian dynamic generalised linear models is presented, addressing both univariate and multivariate $k$-parametric exponential families. It efficiently handles diverse responses, including…

Motivated by examples from genetic association studies, this paper considers the model selection problem in a general complex linear model system and in a Bayesian framework. We discuss formulating model selection problems and incorporating…

Bayesian computation crucially relies on Markov chain Monte Carlo (MCMC) algorithms. In the case of massive data sets, running the Metropolis-Hastings sampler to draw from the posterior distribution becomes prohibitive due to the large…

Bayes linear kinematics and Bayes linear Bayes graphical models provide an extension of Bayes linear methods so that full conditional updates may be combined with Bayes linear belief adjustment. In this paper we investigate the application…

Most of previous works and applications of Bayesian factor model have assumed the normal likelihood regardless of its validity. We propose a Bayesian factor model for heavy-tailed high-dimensional data based on multivariate Student-$t$…

Monte Carlo algorithms, such as Markov chain Monte Carlo (MCMC) and Hamiltonian Monte Carlo (HMC), are routinely used for Bayesian inference in generalized linear models; however, these algorithms are prohibitively slow in massive data…

We develop Bayesian models for density regression with emphasis on discrete outcomes. The problem of density regression is approached by considering methods for multivariate density estimation of mixed scale variables, and obtaining…

This paper proposes a robust Bayesian accelerated failure time model for censored survival data. We develop a new family of life-time distributions using a scale mixture of the generalized gamma distributions, where we propose a novel super…

Bayesian inference for nonlinear diffusions, observed at discrete times, is a challenging task that has prompted the development of a number of algorithms, mainly within the computational statistics community. We propose a new direction,…

While existing mathematical descriptions can accurately account for phenomena at microscopic scales (e.g. molecular dynamics), these are often high-dimensional, stochastic and their applicability over macroscopic time scales of physical…

We discuss Bayesian model uncertainty analysis and forecasting in sequential dynamic modeling of multivariate time series. The perspective is that of a decision-maker with a specific forecasting objective that guides thinking about relevant…

Quantile regression models are a powerful tool for studying different points of the conditional distribution of univariate response variables. Their multivariate counterpart extension though is not straightforward, starting with the…

This paper develops a framework for quantile regression in binary longitudinal data settings. A novel Markov chain Monte Carlo (MCMC) method is designed to fit the model and its computational efficiency is demonstrated in a simulation…

We study sequential Bayesian inference in stochastic kinetic models with latent factors. Assuming continuous observation of all the reactions, our focus is on joint inference of the unknown reaction rates and the dynamic latent states,…

Rich data generating mechanisms are ubiquitous in this age of information and require complex statistical models to draw meaningful inference. While Bayesian analysis has seen enormous development in the last 30 years, benefitting from the…

This paper introduces a Bayesian framework that combines Markov chain Monte Carlo (MCMC) sampling, dimensionality reduction, and neural density estimation to efficiently handle inverse problems that (i) must be solved multiple times, and…

In this work we show a Bayesian quantile regression method to response variables with mixed discrete-continuous distribution with a point mass at zero, where these observations are believed to be left censored or true zeros. We combine the…

Robust Bayesian models are appealing alternatives to standard models, providing protection from data that contains outliers or other departures from the model assumptions. Historically, robust models were mostly developed on a case-by-case…