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经济增长建模的贝叶斯方法：变量选择与截面依赖AI 解读

This paper introduces a Bayesian framework designed to address two critical econometric challenges in empirical growth studies: variable selection and cross-sectional dependence. We first propose a growth regression model that incorporates cross-sectional dependence through a multi-factor structure and accounts for variable selection with sparse coefficients. We then introduce a new Bayesian Adaptive LASSO estimator specifically designed for this model, capable of performing…

贝叶斯模型选择中偏差信息准则的理论依据与应用AI 解读

This paper provides a theoretical justification for the Deviance Information Criterion (DIC) as a Bayesian model selection tool using MCMC output. Unlike Akaike Information Criterion (AIC) and Bayesian Information Criterion (BIC), which balance model adequacy against complexity without considering prior information, DIC incorporates priors into this trade-off. The contributions of this paper are two-fold. First, it demonstrates that when a plug-in predictive distribution —…

序数 Probit 模型的半参数贝叶斯估计：跨国、年龄与性别的生活满意度AI 解读

We employ a novel semiparametric Bayesian ordinal probit model to re-examine the relationships between age and life satisfaction (“happiness”) across countries and gender. Within our ordinal choice framework we introduce a new scheme for cutpoint simulation and develop a locally adaptive method for smoothing an otherwise erratic collection of age dummy variable coefficients. We find strong evidence that employment status is deeply intertwined with the reported happiness of…

大型贝叶斯矩阵自回归模型AI 解读

High-dimensional matrix-valued time-series are increasingly common in economics and finance. Prominent examples include large cross-region panels and dynamic economic networks. As the dimensions of the matrix grow, conventional approaches based on vector autoregressions—implemented by vectoring the matrix-valued data—become computationally infeasible. We introduce a class of large Bayesian matrix autoregressions (BMARs) that can accommodate time-varying volatility,…

随机波动率入均值模型：广义混合采样器的高效分析AI 解读

In this paper we consider the simulation-based Bayesian analysis of stochastic volatility in mean (SVM) models. Extending the highly efficient Markov chain Monte Carlo mixture sampler for the SV model proposed in Kim et al. (1998) and Omori et al. (2007), we develop an accurate approximation of the logarithm of the non-central chi-squared distribution as a mixture of thirty normal distributions . Under this mixture representation, we sample the parameters and latent…

高维局部依赖数据的广义隶属度估计AI 解读

This work focuses on the mixed membership models for multivariate categorical data widely used for analyzing survey responses and population genetics data. These grade of membership (GoM) models offer rich modeling power but present significant estimation challenges for high-dimensional polytomous data. Popular existing approaches, such as Bayesian MCMC inference, are not scalable and lack theoretical guarantees in high-dimensional settings. To address this, we first observe…

具有记忆的时间点过程混合建模AI 解读

We propose a constructive approach to building temporal point processes that incorporate dependence on their history. The dependence is modeled through the conditional density of the duration, i.e., the interval between successive event times, using a mixture of first-order conditional densities for each one of a specific number of lagged durations. Such a formulation for the conditional duration density accommodates high-order dynamics, and it thus enables flexible modeling…

通过类别分布近似实现个体疫情模型的可扩展校准AI 解读

Traditional compartmental models capture population-level dynamics but fail to characterize individual-level risk. The computational cost of exact likelihood evaluation for partially observed individual-based models, however, grows exponentially with the population size, necessitating approximate inference. Existing sampling-based methods usually require multiple simulations of the individuals in the population and rely on bespoke proposal distributions or summary…

通过分割预测检验实现校准的模型诊断AI 解读

Assessing how well a Bayesian model generalizes to unobserved data is essential, yet existing general-purpose model checks are either not properly calibrated (as in posterior predictive checks) or fail to be sufficiently general for practical use (e.g., due to requiring model-specific derivations). We propose split predictive checks (SPCs) as a simple, general-purpose class of predictive checks that maintain the usability of posterior predictive checks while directly…

自动调参的回火哈密顿蒙特卡洛：高维多峰分布采样AI 解读

Abstract Hamiltonian Monte Carlo (HMC) is widely used for sampling from high-dimensional target distributions with densities known up to proportionality. While HMC exhibits favourable scaling properties in high dimensions, it struggles with strongly multimodal distributions. Tempering methods are commonly used to address multimodality, but they can be difficult to tune, especially in high-dimensional settings. In this study, we propose a method that combines tempering with…

Abstract Adaptive experiments use preliminary analyses of the data to inform further course of action and are commonly used in many disciplines including medical and social sciences. Because the null hypothesis and experimental design are data-dependent, it has long been recognized that statistical inference for adaptive experiments is not straightforward. Most existing methods only apply to specific adaptive designs and rely on strong assumptions. In this work, we propose…

置换混合分布的近似独立性AI 解读

We prove bounds on statistical distances between high-dimensional exchangeable mixture distributions (which we call permutation mixtures) and their i.i.d. counterparts. Our results are based on a novel method for controlling χ2 divergences between exchangeable mixtures, which is tighter than the existing methods of moments or cumulants. At a technical level, a key innovation in our proofs is a new Maclaurin-type inequality for elementary symmetric polynomials of variables…

Vecchia 高斯过程的概率与统计性质AI 解读

Gaussian Processes (GPs) are widely used to model dependencies in spatial statistics and machine learning. However, exact inference is computationally intractable for GP regression, with a time complexity of O(n3). The Vecchia approximation scales up computation by introducing sparsity into the spatial dependency structure, represented by a directed acyclic graph (DAG). Despite its practical popularity, this approach lacks rigorous theoretical foundations, and the choice of…

马尔可夫折棒过程AI 解读

Stick-breaking has a long history and is one of the most popular procedures for constructing random discrete distributions in statistics and machine learning. In particular, due to their intuitive construction and computational tractability they are ubiquitous in modern Bayesian nonparametric inference. Most widely used models, such as the Dirichlet and the Pitman–Yor processes, rely on i.i.d. or independent length variables. Here, we pursue a completely unexplored research…

相关时间序列的预测AI 解读

ABSTRACT A collection of time series are “related” if they follow similar stochastic processes and/or they are statistically dependent. This paper proposes a related time series (RTS) forecasting model that exploits these relationships. The model's foundation is a set of univariate Gaussian autoregressions, one for each series, which are then augmented to incorporate stochastic volatility, heavy‐tailed innovations, additive outliers, time‐varying parameters and common…

什么解释了国际利率的共同变动？AI 解读

ABSTRACT The international co‐movement of interest rates reflects correlated business‐cycle fluctuations, largely driven by demand shocks. Monetary policy in advanced economies follows domestic mandates—inflation and the output gap—and does not respond to foreign policy shocks. We derive this result from a Bayesian structural panel vector autoregression with informative priors, homogeneity restrictions on contemporaneous relations, a hierarchical Minnesota prior with…

连续比例数据的可扩展稳健回归模型AI 解读

Beta regression is used routinely for continuous proportional data, but it often encounters practical issues such as a lack of robustness to misspecification of the beta distribution and sensitivity to outliers. We develop an improved class of generalized linear models starting with the continuous binomial (cobin) distribution and further extending to dispersion mixtures of cobin distributions (micobin). The proposed cobin regression and micobin regression models have…

利用混频数据改进密度预测：贝叶斯方法AI 解读

We construct a modeling framework that allows for the flexible contribution of intraday information to predict the conditional distribution of asset returns. A flexible spline specification is proposed to capture the contribution of intraday returns inside GARCH and stochastic volatility specifications for daily returns. The “focused Bayesian” prediction framework is adopted to allow the intraday contribution to the simpler GARCH specification to be trained according to the…

面向大规模神经影像数据的可扩展贝叶斯图像对标量回归AI 解读

Bayesian Image-on-Scalar Regression (ISR) provides flexible, uncertainty-aware neuroimaging analysis. However, applying ISR to large-scale datasets such as the UK Biobank is challenging due to intensive computational demands and the need to handle subject-specific brain masks rather than a common mask. We propose a novel Bayesian ISR model that scales efficiently while accommodating these inconsistent masks. Our method leverages Gaussian process priors with salience area…

生成式贝叶斯推断中的树型多臂老虎机方法AI 解读

In generative models with intractable likelihood, Approximate Bayesian Computation (ABC) is often the tool of last resort for inference. However, ABC demands many prior parameter proposals to keep only the small fraction of them that meet the acceptance criterion. To accelerate ABC rejection sampling, this paper develops a self-aware framework that learns from past proposals: both acceptances and rejections. We apply recursive partitioning classifiers on the ABC lookup table…

集合识别 SVAR 预测误差方差分解的估计与推断AI 解读

We study estimation and inference of the Forecast Error Variance Decomposition (FEVD) in Structural Vector Autoregressions (SVARs) that are set-identified by internal and external (proxy) restrictions. The FEVD measures the importance of shocks for macroeconomic fluctuations and is thus key to business cycle analysis. We deliver three practitioner-oriented results. First, we characterize the endpoints of the FEVD as the extreme eigenvalues of a symmetric reduced-form matrix,…

高维空间极值的空间尺度感知尾部依赖建模AI 解读

Extreme events over large spatial domains may exhibit highly heterogeneous tail dependence characteristics, yet most existing spatial extremes models yield only one dependence class over the entire spatial domain. To accurately characterize dependence in extreme events, we propose a mixture model that achieves flexible dependence properties and allows high-dimensional inference (∼600 spatial locations in our data example) for extremes of spatial processes. We modify the…

深度学习中分支与嵌套超参数的贝叶斯优化AI 解读

Hyperparameter optimization plays a crucial role in the success of neural networks as hyperparameters directly control the behavior and performance of the training algorithms. To obtain efficient tuning, Bayesian optimization based on Gaussian process is widely used. Despite numerous applications in deep learning, the existing methods rely on a convenient but restrictive assumption that the tuning parameters are independent of each other. However, tuning parameters with…

微分方程建模中的非参数先验学习AI 解读

This article addresses Bayesian inference related to partial differential equations (PDEs), particularly nonparametric regression constrained by PDEs. To effectively encode prior information, we propose a novel framework that learns a prediction function of the prior distribution from historical training datasets. We introduce hyper-prior and hyper-posterior distributions and derive a generalization error estimate, which accommodates data-dependent priors by extending the…