相关论文: Shrinkage priors for Bayesian prediction

Bayesian deep learning approaches assume model parameters to be latent random variables and infer posterior distributions to quantify uncertainty, increase safety and trust, and prevent overconfident and unpredictable behavior. However,…

Bayesian posterior distributions are widely used for inference, but their dependence on a statistical model creates some challenges. In particular, there may be lots of nuisance parameters that require prior distributions and posterior…

The known connection between shrinkage estimation, empirical Bayes, and mixed effects models is explored and applied to balanced and unbalanced designs in which the responses are correlated. As an illustration, a mixed model is proposed for…

Modern applications routinely collect high-dimensional data, leading to statistical models having more parameters than there are samples available. A common solution is to impose sparsity in parameter estimation, often using penalized…

We show that lower-dimensional marginal densities of dependent zero-mean normal distributions truncated to the positive orthant exhibit a mass-shifting phenomenon. Despite the truncated multivariate normal density having a mode at the…

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…

In many applications, it is of interest to assess the dependence structure in multivariate longitudinal data. Discovering such dependence is challenging due to the dimensionality involved. By concatenating the random effects from component…

We propose a novel class of dynamic shrinkage processes for Bayesian time series and regression analysis. Building upon a global-local framework of prior construction, in which continuous scale mixtures of Gaussian distributions are…

In recent years, the transformer has established itself as a workhorse in many applications ranging from natural language processing to reinforcement learning. Similarly, Bayesian deep learning has become the gold-standard for uncertainty…

We advocate for a new statistical principle that combines the most desirable aspects of both parameter inference and density estimation. This leads us to the predictively oriented (PrO) posterior, which expresses uncertainty as a…

Normalizing flows can generate complex target distributions and thus show promise in many applications in Bayesian statistics as an alternative or complement to MCMC for sampling posteriors. Since no data set from the target posterior…

For two vast families of mixture distributions and a given prior, we provide unified representations of posterior and predictive distributions. Model applications presented include bivariate mixtures of Gamma distributions labelled as…

A method for implicit variable selection in mixture of experts frameworks is proposed. We introduce a prior structure where information is taken from a set of independent covariates. Robust class membership predictors are identified using a…

The Bayesian approach to machine learning amounts to computing posterior distributions of random variables from a probabilistic model of how the variables are related (that is, a prior distribution) and a set of observations of variables.…

This paper introduces a novel Bayesian approach for variable selection in high-dimensional and potentially sparse regression settings. Our method replaces the indicator variables in the traditional spike and slab prior with continuous,…

In high dimensional regression, global local shrinkage priors have gained significant traction for their ability to yield sparse estimates, improve parameter recovery, and support accurate predictive modeling. While recent work has explored…

We consider discrete nonparametric priors which induce Gibbs-type exchangeable random partitions and investigate their posterior behavior in detail. In particular, we deduce conditional distributions and the corresponding Bayesian…

When performing Bayesian data analysis using a general linear mixed model, the resulting posterior density is almost always analytically intractable. However, if proper conditionally conjugate priors are used, there is a simple two-block…

Motivated by the proliferation of extensive macroeconomic and health datasets necessitating accurate forecasts, a novel approach is introduced to address Vector Autoregressive (VAR) models. This approach employs the global-local…

Prior sensitivity analysis is a fundamental method to check the effects of prior distributions on the posterior distribution in Bayesian inference. Exploring the posteriors under several alternative priors can be computationally intensive,…