相关论文: Robust local empirical Bayes correction for Bayesi…

We propose a robust Bayesian method for economic models that can be rejected by some data distributions. The econometrician starts with a refutable structural assumption which can be written as the intersection of several assumptions. To…

Approximate Bayesian computation performs approximate inference for models where likelihood computations are expensive or impossible. Instead simulations from the model are performed for various parameter values and accepted if they are…

This paper reviews recent developments in statistical structure learning; namely, Bayesian model reduction. Bayesian model reduction is a method for rapidly computing the evidence and parameters of probabilistic models that differ only in…

We present a new Bayesian approach to model-robust linear regression that leads to uncertainty estimates with the same robustness properties as the Huber--White sandwich estimator. The sandwich estimator is known to provide asymptotically…

We propose a novel framework for modeling time-varying persistence in economic time series, allowing for smoothly evolving heterogeneity in shock dynamics. We leverage localized regression techniques to flexibly identify changes in…

Parametric Bayesian modeling offers a powerful and flexible toolbox for machine learning. Yet the model, however detailed, may still be wrong, and this can make inferences untrustworthy. In this paper we introduce a new class of…

We introduce a flexible empirical Bayes approach for fitting Bayesian generalized linear models. Specifically, we adopt a novel mean-field variational inference (VI) method and the prior is estimated within the VI algorithm, making the…

Trial-based economic evaluations are typically performed on cross-sectional variables, derived from the responses for only the completers in the study, using methods that ignore the complexities of utility and cost data (e.g. skewness and…

We study objective Bayesian inference for linear regression models with residual errors distributed according to the class of two-piece scale mixtures of normal distributions. These models allow for capturing departures from the usual…

Bayesian inference provides a flexible way of combining data with prior information. However, quantile regression is not equipped with a parametric likelihood, and therefore, Bayesian inference for quantile regression demands careful…

We propose a generic Bayesian framework for inference in distributional regression models in which each parameter of a potentially complex response distribution and not only the mean is related to a structured additive predictor. The latter…

We overview Bayesian estimation, hypothesis testing, and model-averaging and illustrate how they benefit parametric survival analysis. We contrast the Bayesian framework to the currently dominant frequentist approach and highlight…

In this paper, we discuss the method of Bayesian regression and its efficacy for predicting price variation of Bitcoin, a recently popularized virtual, cryptographic currency. Bayesian regression refers to utilizing empirical data as proxy…

Logistic regression involving high-dimensional covariates is a practically important problem. Often the goal is variable selection, i.e., determining which few of the many covariates are associated with the binary response. Unfortunately,…

Bayesian estimation is increasingly popular for performing model based inference to support policymaking. These data are often collected from surveys under informative sampling designs where subject inclusion probabilities are designed to…

Bayesian inference typically relies on specifying a parametric model that approximates the data-generating process. However, misspecified models can yield poor convergence rates and unreliable posterior calibration. Bayesian empirical…

The celebrated Bernstein von-Mises theorem ensures that credible regions from Bayesian posterior are well-calibrated when the model is correctly-specified, in the frequentist sense that their coverage probabilities tend to the nominal…

The doubly robust estimator, which models both the propensity score and outcomes, is a popular approach to estimate the average treatment effect in the potential outcome setting. The primary appeal of this estimator is its theoretical…

In all areas of human knowledge, datasets are increasing in both size and complexity, creating the need for richer statistical models. This trend is also true for economic data, where high-dimensional and nonlinear/nonparametric inference…

National statistical institutes in many countries are now mandated to produce reliable statistics for important variables such as population, income, unemployment, health outcomes, etc. for small areas, defined by geography and/or…