相关论文: Occam Factor for Gaussian Models With Unknown Vari…

We study a nonparametric Bayesian approach to estimation of the volatility function of a stochastic differential equation driven by a gamma process. The volatility function is modelled a priori as piecewise constant, and we specify a gamma…

This paper introduces a novel Bayesian approach to detect changes in the variance of a Gaussian sequence model, focusing on quantifying the uncertainty in the change point locations and providing a scalable algorithm for inference. Such a…

We develop a Bayesian approach for selecting the model which is the most supported by the data within a class of marginal models for categorical variables formulated through equality and/or inequality constraints on generalised logits…

We consider the problem of learning parameters of latent variable models from mixed (continuous and ordinal) data with missing values. We propose a novel Bayesian Gaussian copula factor (BGCF) approach that is consistent under certain…

We introduce a novel class of Bayesian mixtures for normal linear regression models which incorporates a further Gaussian random component for the distribution of the predictor variables. The proposed cluster-weighted model aims to…

When evaluating and comparing models using leave-one-out cross-validation (LOO-CV), the uncertainty of the estimate is typically assessed using the variance of the sampling distribution. Considering the uncertainty is important, as the…

Gaussian processes allow for flexible specification of prior assumptions of unknown dynamics in state space models. We present a procedure for efficient Bayesian learning in Gaussian process state space models, where the representation is…

Studying conditional independence among many variables with few observations is a challenging task. Gaussian Graphical Models (GGMs) tackle this problem by encouraging sparsity in the precision matrix through $l_q$ regularization with…

This paper discusses the efficient Bayesian estimation of a multivariate factor stochastic volatility (Factor MSV) model with leverage. We propose a novel approach to construct the sampling schemes that converges to the posterior…

Variational autoencoders often assume isotropic Gaussian priors and mean-field posteriors, hence do not exploit structure in scenarios where we may expect similarity or consistency across latent variables. Gaussian process variational…

The multinomial probit model is often used to analyze choice behaviour. However, estimation with existing Markov chain Monte Carlo (MCMC) methods is computationally costly, which limits its applicability to large choice data sets. This…

We develop a non-parametric multivariate time series model that remains agnostic on the precise relationship between a (possibly) large set of macroeconomic time series and their lagged values. The main building block of our model is a…

We investigate an empirical Bayesian nonparametric approach to a family of linear inverse problems with Gaussian prior and Gaussian noise. We consider a class of Gaussian prior probability measures with covariance operator indexed by a…

Latent variable models are popularly used to measure latent factors (e.g., abilities and personalities) from large-scale assessment data. Beyond understanding these latent factors, the covariate effect on responses controlling for latent…

Current supervised learning can learn spurious correlation during the data-fitting process, imposing issues regarding interpretability, out-of-distribution (OOD) generalization, and robustness. To avoid spurious correlation, we propose a…

Bayes' rule has enabled innumerable powerful algorithms of statistical signal processing and statistical machine learning. However, when model misspecifications exist in prior and/or data distributions, the direct application of Bayes' rule…

We study a sequential contextual decision-making problem in which certain covariates are missing but can be imputed using a pre-trained AI model. From a theoretical perspective, we analyze how the presence of such a model influences the…

Consider a multinomial regression model where the response, which indicates a unit's membership in one of several possible unordered classes, is associated with a set of predictor variables. Such models typically involve a matrix of…

Many Bayesian model selection problems, such as variable selection or cluster analysis, start by setting prior model probabilities on a structured model space. Based on a chosen loss function between models, model selection is often…

In this paper, we study the trade-offs of different inference approaches for Bayesian matrix factorisation methods, which are commonly used for predicting missing values, and for finding patterns in the data. In particular, we consider…