相关论文: Exact Bayesian inference for diffusion driven Cox …

Bayesian models quantify uncertainty and facilitate optimal decision-making in downstream applications. For most models, however, practitioners are forced to use approximate inference techniques that lead to sub-optimal decisions due to…

This article presents a Bayesian inferential method where the likelihood for a model is unknown but where data can easily be simulated from the model. We discretize simulated (continuous) data to estimate the implicit likelihood in a…

This paper provides a review of Approximate Bayesian Computation (ABC) methods for carrying out Bayesian posterior inference, through the lens of density estimation. We describe several recent algorithms and make connection with traditional…

We introduce priors and algorithms to perform Bayesian inference in Gaussian models defined by acyclic directed mixed graphs. Such a class of graphs, composed of directed and bi-directed edges, is a representation of conditional…

Piecewise diffusion Markov processes (PDifMPs) form a versatile class of stochastic hybrid systems that combine continuous diffusion processes with discrete event-driven dynamics, enabling flexible modelling of complex real-world hybrid…

Bayesian calibration of black-box computer models offers an established framework to obtain a posterior distribution over model parameters. Traditional Bayesian calibration involves the emulation of the computer model and an additive model…

In classical Hawkes process, the baseline intensity and triggering kernel are assumed to be a constant and parametric function respectively, which limits the model flexibility. To generalize it, we present a fully Bayesian nonparametric…

Understanding the process by which a contagion disseminates throughout a network is of great importance in many real world applications. The required sophistication of the inference approach depends on the type of information we want to…

Bayesian methods are particularly effective for addressing inverse problems due to their ability to manage uncertainties inherent in the inference process. However, employing these methods with costly forward models poses significant…

This paper provides an elementary, self-contained analysis of diffusion-based sampling methods for generative modeling. In contrast to existing approaches that rely on continuous-time processes and then discretize, our treatment works…

We propose a general method to carry out a valid Bayesian analysis of a finite-dimensional `targeted' parameter in the presence of a finite-dimensional nuisance parameter. We apply our methods to causal inference based on estimating…

We apply nonparametric Bayesian methods to study the problem of estimating the intensity function of an inhomogeneous Poisson process. We exhibit a prior on intensities which both leads to a computationally feasible method and enjoys…

We propose simple methods for multivariate diffusion bridge simulation, which plays a fundamental role in simulation-based likelihood and Bayesian inference for stochastic differential equations. By a novel application of classical coupling…

In this paper we develop a continuous-time sequential importance sampling (CIS) algorithm which eliminates time-discretisation errors and provides online unbiased estimation for continuous time Markov processes, in particular for…

We consider a nonparametric Bayesian approach to estimate the diffusion coefficient of a stochastic differential equation given discrete time observations over a fixed time interval. As a prior on the diffusion coefficient, we employ a…

We present a multi-fidelity method for uncertainty quantification of parameter estimates in complex systems, leveraging generative models trained to sample the target conditional distribution. In the Bayesian inference setting, traditional…

Inferring models, predicting the future, and estimating the entropy rate of discrete-time, discrete-event processes is well-worn ground. However, a much broader class of discrete-event processes operates in continuous-time. Here, we provide…

Jump diffusion processes are widely used to model asset prices over time, mainly for their ability to capture complex discontinuous behavior, but inference on the model parameters remains a challenge. Here our goal is posterior inference on…

Integration against a probability distribution given its unnormalized density is a central task in Bayesian inference and other fields. We introduce new methods for approximating such expectations with a small set of weighted samples --…

We propose an efficient transfer Bayesian optimization method, which finds the maximum of an expensive-to-evaluate black-box function by using data on related optimization tasks. Our method uses auxiliary information that represents the…