相关论文: A Bayesian Skew-heavy-tailed modelling for loss re…

The Bayesian approach to inverse problems typically relies on posterior sampling approaches, such as Markov chain Monte Carlo, for which the generation of each sample requires one or more evaluations of the parameter-to-observable map or…

An efficient algorithm is proposed for Bayesian model calibration, which is commonly used to estimate the model parameters of non-linear, computationally expensive models using measurement data. The approach is based on Bayesian statistics:…

To draw inference on serial extremal dependence within heavy-tailed Markov chains, Drees, Segers and Warcho{\l} [Extremes (2015) 18, 369--402] proposed nonparametric estimators of the spectral tail process. The methodology can be extended…

In the Bayesian literature, a line of research called resolution of conflict is about the characterization of robustness against outliers of statistical models. The robustness characterization of a model is achieved by establishing the…

Stochastic reaction network models are often used to explain and predict the dynamics of gene regulation in single cells. These models usually involve several parameters, such as the kinetic rates of chemical reactions, that are not…

We develop an econometric framework integrating heavy-tailed Student's $t$ distributions with behavioral probability weighting while preserving infinite divisibility. Using 432{,}752 observations across 86 assets (2004--2024), we…

The lifetime behaviour of loans is notoriously difficult to model, which can compromise a bank's financial reserves against future losses, if modelled poorly. Therefore, we present a data-driven comparative study amongst three techniques in…

Autoregressive large language models (LLMs) compress knowledge from their training data through next-token conditional distributions. This limits tractable querying of this knowledge to start-to-end autoregressive sampling. However, many…

Count regression models are necessary for examining discrete dependent variables alongside covariates. Nonetheless, when data display outliers, overdispersion, and an abundance of zeros, traditional methods like the zero-inflated negative…

We consider Bayesian hierarchical models for survival analysis, where the survival times are modeled through an underlying diffusion process which determines the hazard rate. We show how these models can be efficiently treated by means of…

This paper proposes a flexible Bayesian approach to multiple imputation using conditional Gaussian mixtures. We introduce novel shrinkage priors for covariate-dependent mixing proportions in the mixture models to automatically select the…

The missing data issue often complicates the task of estimating generalized linear models (GLMs). We describe why the pseudo-marginal Metropolis-Hastings algorithm, used in this setting, is an effective strategy for parameter estimation.…

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…

Stochastic volatility processes with heavy-tailed innovations are a well-known model for financial time series. In these models, the extremes of the log returns are mainly driven by the extremes of the i.i.d. innovation sequence which leads…

We present in this paper a model for forecasting short-term power loads based on deep residual networks. The proposed model is able to integrate domain knowledge and researchers' understanding of the task by virtue of different neural…

Bayesian shrinkage methods have generated a lot of recent interest as tools for high-dimensional regression and model selection. These methods naturally facilitate tractable uncertainty quantification and incorporation of prior information.…

High-dimensional linear regression is a fundamental tool in modern statistics, particularly when the number of predictors exceeds the sample size. The classical Lasso, which relies on the squared loss, performs well under Gaussian noise…

In many hierarchical inverse problems, not only do we want to estimate high- or infinite-dimensional model parameters in the parameter-to-observable maps, but we also have to estimate hyperparameters that represent critical assumptions in…

Claim reserving primarily relies on macro-level models, with the Chain-Ladder method being the most widely adopted. These methods were heuristically developed without minimal statistical foundations, relying on oversimplified data…

We propose sequential Monte Carlo based algorithms for maximum likelihood estimation of the static parameters in hidden Markov models with an intractable likelihood using ideas from approximate Bayesian computation. The static parameter…