相关论文: Nowcasting in a Pandemic using Non-Parametric Mixe…

A Bayesian lattice filtering and smoothing approach is proposed for fast and accurate modeling and inference in multivariate non-stationary time series. This approach offers computational feasibility and interpretable time-frequency…

We present an Extended Kalman Filter framework for system identification and control of a stochastic high-dimensional epidemic model. The scale and severity of the COVID-19 emergency have highlighted the need for accurate forecasts of the…

This paper relies on a microsimulation framework to undertake an analysis of the distributional implications of the COVID-19 crisis over three waves. Given the lack of real-time survey data during the fast moving crisis, it applies a…

Epidemics are often modelled using non-linear dynamical systems observed through partial and noisy data. In this paper, we consider stochastic extensions in order to capture unknown influences (changing behaviors, public interventions,…

I introduce a high-dimensional Bayesian vector autoregressive (BVAR) framework designed to estimate the effects of conventional monetary policy shocks. The model captures structural shocks as latent factors, enabling computationally…

We consider inference from non-random samples in data-rich settings where high-dimensional auxiliary information is available both in the sample and the target population, with survey inference being a special case. We propose a regularized…

Motivated by the maneuvering target tracking with sensors such as radar and sonar, this paper considers the joint and recursive estimation of the dynamic state and the time-varying process noise covariance in nonlinear state space models.…

Bayesian inference allows machine learning models to express uncertainty. Current machine learning models use only a single learnable parameter combination when making predictions, and as a result are highly overconfident when their…

The availability of multidimensional economic datasets has grown significantly in recent years. An example is bilateral trade values across goods among countries, comprising three dimensions -- importing countries, exporting countries, and…

Modal regression has emerged as a flexible alternative to classical regression models when the conditional mean or median are unable to adequately capture the underlying relation between a response and a predictor variable. This approach is…

Variational mean field approximations tend to struggle with contemporary overparametrized deep neural networks. Where a Bayesian treatment is usually associated with high-quality predictions and uncertainties, the practical reality has been…

In this paper we propose a new time-varying econometric model, called Time-Varying Poisson AutoRegressive with eXogenous covariates (TV-PARX), suited to model and forecast time series of counts. {We show that the score-driven framework is…

While deep neural networks are highly performant and successful in a wide range of real-world problems, estimating their predictive uncertainty remains a challenging task. To address this challenge, we propose and implement a loss function…

High-dimensional time series data appear in many scientific areas in the current data-rich environment. Analysis of such data poses new challenges to data analysts because of not only the complicated dynamic dependence between the series,…

How can we perform efficient inference and learning in directed probabilistic models, in the presence of continuous latent variables with intractable posterior distributions, and large datasets? We introduce a stochastic variational…

Nonparametric Bayesian models are used routinely as flexible and powerful models of complex data. Many times, a statistician may have additional informative beliefs about data distribution of interest, e.g., its mean or subset components,…

This paper introduces the Heteroscedastic AddiVortes model, a Bayesian non-parametric regression framework that simultaneously models the conditional mean and variance of a response variable using adaptive Voronoi tessellations. By…

We consider nonparametric inference for event time distributions based on current status data. We show that in this scenario conventional mixture priors, including the popular Dirichlet process mixture prior, lead to biologically…

Given multiple new COVID-19 variants are continuously emerging, non-pharmaceutical interventions are still primary control strategies to curb the further spread of coronavirus. However, implementing strict interventions over extended…

We propose a new approach to Bayesian prediction that caters for models with a large number of parameters and is robust to model misspecification. Given a class of high-dimensional (but parametric) predictive models, this new approach…