相关论文: H-AddiVortes: Heteroscedastic (Bayesian) Additive …

The Additive Voronoi Tessellations (AddiVortes) model is a multivariate regression model that uses multiple Voronoi tessellations to partition the covariate space for an additive ensemble model. In this paper, the AddiVortes framework is…

In many practical applications, regression models are employed to uncover relationships between predictors and a response variable, yet the common assumption of constant error variance is frequently violated. This issue is further…

Many methods for modelling spatial processes assume global smoothness properties; such assumptions are often violated in practice. We introduce a method for modelling spatial processes that display heterogeneity or contain discontinuities.…

Heteroscedastic regression models a Gaussian variable's mean and variance as a function of covariates. Parametric methods that employ neural networks for these parameter maps can capture complex relationships in the data. Yet, optimizing…

Models for heteroskedastic data are relevant in a wide variety of applications ranging from financial time series to environmental statistics. However, the topic of modeling the variance function conditionally has not seen near as much…

In this work we propose a heteroscedastic generalization to RVM, a fast Bayesian framework for regression, based on some recent similar works. We use variational approximation and expectation propagation to tackle the problem. The work is…

Despite its prevalence in statistical datasets, heteroscedasticity (non-constant sample variances) has been largely ignored in the high-dimensional statistics literature. Recently, studies have shown that the Lasso can accommodate…

Vector autoregressive (VAR) models assume linearity between the endogenous variables and their lags. This assumption might be overly restrictive and could have a deleterious impact on forecasting accuracy. As a solution, we propose…

Despite the widespread utilization of Gaussian process models for versatile nonparametric modeling, they exhibit limitations in effectively capturing abrupt changes in function smoothness and accommodating relationships with heteroscedastic…

We propose Variational Heteroscedastic Volatility Model (VHVM) -- an end-to-end neural network architecture capable of modelling heteroscedastic behaviour in multivariate financial time series. VHVM leverages recent advances in several…

The nested error regression model is a useful tool for analyzing clustered (grouped) data, and is especially used in small area estimation. The classical nested error regression model assumes normality of random effects and error terms, and…

The recently developed variational autoencoders (VAEs) have proved to be an effective confluence of the rich representational power of neural networks with Bayesian methods. However, most work on VAEs use a rather simple prior over the…

The variational autoencoder (VAE) is a popular deep latent variable model used to analyse high-dimensional datasets by learning a low-dimensional latent representation of the data. It simultaneously learns a generative model and an…

Spike-and-slab and horseshoe regression are arguably the most popular Bayesian variable selection approaches for linear regression models. However, their performance can deteriorate if outliers and heteroskedasticity are present in the…

Multivariate linear regression models often face the problem of heteroscedasticity caused by multiple explanatory variables. The weighted least squares estimation with univariate-dependent weights has limitations in constructing weight…

BART (Bayesian Additive Regression Trees) has become increasingly popular as a flexible and scalable nonparametric regression approach for modern applied statistics problems. For the practitioner dealing with large and complex nonlinear…

Obtaining heteroscedastic predictive uncertainties from a Bayesian Neural Network (BNN) is vital to many applications. Often, heteroscedastic aleatoric uncertainties are learned as outputs of the BNN in addition to the predictive means,…

In this article, we propose new Bayesian methods for selecting and estimating a sparse coefficient vector for skewed heteroscedastic response. Our novel Bayesian procedures effectively estimate the median and other quantile functions,…

We propose a Bayesian vector autoregressive (VAR) model for mixed-frequency data. Our model is based on the mean-adjusted parametrization of the VAR and allows for an explicit prior on the 'steady states' (unconditional means) of the…

We review the concepts of the Voronoi binning technique (Cappellari & Copin 2003), which optimally solves the problem of preserving the maximum spatial resolution of general two-dimensional data, given a constraint on the minimum…