相关论文: Variational Inference with Tail-adaptive f-Diverge…

High-dimensional data subject to heavy-tailed phenomena and heterogeneity are commonly encountered in various scientific fields and bring new challenges to the classical statistical methods. In this paper, we combine the asymmetric square…

Predicting the future trajectories of the traffic agents is a gordian technique in autonomous driving. However, trajectory prediction suffers from data imbalance in the prevalent datasets, and the tailed data is often more complicated and…

This paper presents two algorithms, AdaOFUL and VARA, for online sequential decision-making in the presence of heavy-tailed rewards with only finite variances. For linear stochastic bandits, we address the issue of heavy-tailed rewards by…

Real-world data often follow a long-tailed distribution with a high imbalance in the number of samples between classes. The problem with training from imbalanced data is that some background features, common to all classes, can be…

Approximate inference in probability models is a fundamental task in machine learning. Approximate inference provides powerful tools to Bayesian reasoning, decision making, and Bayesian deep learning. The main goal is to estimate the…

We develop new adaptive algorithms for variational inequalities with monotone operators, which capture many problems of interest, notably convex optimization and convex-concave saddle point problems. Our algorithms automatically adapt to…

Real-world data is often unbalanced and long-tailed, but deep models struggle to recognize rare classes in the presence of frequent classes. To address unbalanced data, most studies try balancing the data, the loss, or the classifier to…

Modelling extreme events and heavy-tailed phenomena is central to building reliable predictive systems in domains such as finance, climate science, and safety-critical AI. While L\'evy processes provide a natural mathematical framework for…

We develop two new estimators for a general class of stationary GARCH models with possibly heavy tailed asymmetrically distributed errors, covering processes with symmetric and asymmetric feedback like GARCH, Asymmetric GARCH, VGARCH and…

This paper introduces a robust and computationally efficient estimation framework for high-dimensional volatility models in the BEKK-ARCH class. The proposed approach employs data truncation to ensure robustness against heavy-tailed…

Classic Bayesian methods with complex models are frequently infeasible due to an intractable likelihood. Simulation-based inference methods, such as Approximate Bayesian Computing (ABC), calculate posteriors without accessing a likelihood…

We propose the Bayesian adaptive Lasso (BaLasso) for variable selection and coefficient estimation in linear regression. The BaLasso is adaptive to the signal level by adopting different shrinkage for different coefficients. Furthermore, we…

In this paper we present a novel methodology to perform Bayesian model selection in linear models with heavy-tailed distributions. We consider a finite mixture of distributions to model a latent variable where each component of the mixture…

We develop a version of variational inference for Bayesian count response regression-type models that possesses attractive attributes such as convexity and closed form updates. The convex solution aspect entails numerically stable fitting…

Differentiable annealed importance sampling (DAIS), proposed by Geffner & Domke (2021) and Zhang et al. (2021), allows optimizing over the initial distribution of AIS. In this paper, we show that, in the limit of many transitions, DAIS…

We introduce a method to estimate simultaneously the tail and the threshold parameters of an extreme value regression model. This standard model finds its use in finance to assess the effect of market variables on extreme loss distributions…

We recently proposed a general algorithm for approximating nonstandard Bayesian posterior distributions by minimization of their Kullback-Leibler divergence with respect to a more convenient approximating distribution. In this note we offer…

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…

Variational Bayes (VB) is a popular tool for Bayesian inference in statistical modeling. Recently, some VB algorithms are proposed to handle intractable likelihoods with applications such as approximate Bayesian computation. In this paper,…

For training an encoder network to perform amortized variational inference, the Kullback-Leibler (KL) divergence from the exact posterior to its approximation, known as the inclusive or forward KL, is an increasingly popular choice of…