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机器学习预测不确定性估计综述AI 解读

Predictions and forecasts of machine learning models should take the form of probability distributions, aiming to increase the quantity of information communicated to end users. Although applications of probabilistic prediction and forecasting with machine learning models in academia and industry are becoming more frequent, related concepts and methods have not been formalized and structured under a holistic view of the entire field. Here, we review the topic of predictive…

基于反射布朗运动的重复事件模型及其低血糖应用AI 解读

Patients with type 2 diabetes need to closely monitor blood sugar levels as their routine diabetes self-management. Although many treatment agents aim to tightly control blood sugar, hypoglycemia often stands as an adverse event. In practice, patients can observe hypoglycemic events more easily than hyperglycemic events due to the perception of neurogenic symptoms. We propose to model each patient's observed hypoglycemic event as a lower-boundary crossing event for a…

高维向量误差修正模型的贝叶斯分析AI 解读

Vector Error Correction Model (VECM) is a classic method to analyse cointegration relationships amongst multivariate non-stationary time series. In this paper, we focus on high dimensional setting and seek for sample-size-efficient methodology to determine the level of cointegration. Our investigation centres at a Bayesian approach to analyse the cointegration matrix, henceforth determining the cointegration rank. We design two algorithms and implement them on simulated…

自适应变分贝叶斯：最优性、计算与应用AI 解读

In this paper, we explore adaptive inference based on variational Bayes. Although several studies have been conducted to analyze the contraction properties of variational posteriors, there is still a lack of a general and computationally tractable variational Bayes method that performs adaptive inference. To fill this gap, we propose a novel adaptive variational Bayes framework, which can operate on a collection of models. The proposed framework first computes a variational…

多元响应的回归 Copula 模型AI 解读

We propose a novel distributional regression model for a multivariate response vector based on a copula process over the covariate space. It uses the implicit copula of a Gaussian multivariate regression, which we call a ``regression copula''. To allow for large covariate vectors their coefficients are regularized using a novel multivariate extension of the horseshoe prior. Bayesian inference and distributional predictions are evaluated using efficient variational inference…

多变量贝叶斯变量选择及其多性状遗传精细定位应用AI 解读

Variable selection has played a critical role in modern statistical learning and scientific discoveries. Numerous regularization and Bayesian variable selection methods have been developed in the past two decades for variable selection, but most of these methods consider selecting variables for only one response. As more data is being collected nowadays, it is common to analyze multiple related responses from the same study. Existing multivariate variable selection methods…

采用加性混合先验的贝叶斯预后协变量调整AI 解读

Effective and rapid decision-making from randomized controlled trials (RCTs) requires unbiased and precise treatment effect inferences. Two strategies to address this requirement are to adjust for covariates that are highly correlated with the outcome, and to leverage historical control information via Bayes' theorem. We propose a new Bayesian prognostic covariate adjustment methodology, referred to as Bayesian PROCOVA, that combines these two strategies. Covariate…

基于模拟的转移密度近似与随机微分方程模型推断AI 解读

Stochastic Differential Equations (SDEs) serve as a powerful modeling tool in various scientific domains, including systems science, engineering, and ecological science. While the specific form of SDEs is typically known for a given problem, certain model parameters remain unknown. Efficiently inferring these unknown parameters based on observations of the state in discrete time series represents a vital practical subject. The challenge arises in nonlinear SDEs, where…

用于高维时间序列的可解释且高效的无限阶向量自回归模型AI 解读

As a special infinite-order vector autoregressive (VAR) model, the vector autoregressive moving average (VARMA) model can capture much richer temporal patterns than the widely used finite-order VAR model. However, its practicality has long been hindered by its non-identifiability, computational intractability, and difficulty of interpretation, especially for high-dimensional time series. This paper proposes a novel sparse infinite-order VAR model for high-dimensional time…

用于收入确认提前期预测的贝叶斯 Dirichlet 自回归移动平均模型AI 解读

Lead time data is compositional data found frequently in the hospitality industry. Hospitality businesses earn fees each day, however these fees cannot be recognized until later. For business purposes, it is important to understand and forecast the distribution of future fees for the allocation of resources, for business planning, and for staffing. Motivated by 5 years of daily fees data, we propose a new class of Bayesian time series models, a Bayesian Dirichlet…

具有多个接收者的关系事件潜变量模型AI 解读

Directional relational event data, such as email data, often contain unicast messages (i.e., messages of one sender towards one receiver) and multicast messages (i.e., messages of one sender towards multiple receivers). The Enron email data that is the focus in this paper consists of 31% multicast messages. Multicast messages contain important information about the roles of actors in the network, which is needed for better understanding social interaction dynamics. In this…

用于删失结果回归的一型 Tobit 贝叶斯加性回归树AI 解读

Censoring occurs when an outcome is unobserved beyond some threshold value. Methods that do not account for censoring produce biased predictions of the unobserved outcome. This paper introduces Type I Tobit Bayesian Additive Regression Tree (TOBART-1) models for censored outcomes. Simulation results and real data applications demonstrate that TOBART-1 produces accurate predictions of censored outcomes. TOBART-1 provides posterior intervals for the conditional expectation and…

选择相关遗传变异后的比例共定位频率学检验AI 解读

Colocalization analyses assess whether two traits are affected by the same or distinct causal genetic variants in a single gene region. A class of Bayesian colocalization tests are now routinely used in practice; for example, for genetic analyses in drug development pipelines. In this work, we consider an alternative frequentist approach to colocalization testing that examines the proportionality of genetic associations with each trait. The proportional colocalization…

利用经济学家情景进行状态转换密度预测AI 解读

We propose an approach for generating macroeconomic density forecasts that incorporate information on multiple scenarios defined by experts. We adopt a regime-switching framework in which sets of scenarios ("views") are used as Bayesian priors on economic regimes. Predictive densities coming from different views are then combined by optimizing objective functions of density forecasting. We illustrate the approach with an empirical application to quarterly real-time forecasts…

部分观测随机 Volterra 方程的贝叶斯参数推断AI 解读

In this article we consider Bayesian parameter inference for a type of partially observed stochastic Volterra equation (SVE). SVEs are found in many areas such as physics and mathematical finance. In the latter field they can be used to represent long memory in unobserved volatility processes. In many cases of practical interest, SVEs must be time-discretized and then parameter inference is based upon the posterior associated to this time-discretized process. Based upon…

气候数据的空间分位数聚类AI 解读

In the era of climate change, the distribution of climate variables evolves with changes not limited to the mean value. Consequently, clustering algorithms based on central tendency could produce misleading results when used to summarize spatial and/or temporal patterns. We present a novel approach to spatial clustering of time series based on quantiles using a Bayesian framework that incorporates a spatial dependence layer based on a Markov random field. A series of…

后验可分信息成本下的识别AI 解读

I provide a model of rational inattention with heterogeneity and prove it is observationally equivalent to a state-dependent stochastic choice model subject to attention costs. I demonstrate that additive separability of unobservable heterogeneity, together with an independence assumption, suffice for the empirical model to admit a representative agent. Using conditional probabilities, I show how to identify: how covariates affect the desirability of goods, (a measure of)…

马尔可夫机制转换模型的贝叶斯滤波AI 解读

This paper presents a framework for empirical analysis of dynamic macroeconomic models using Bayesian filtering, with a specific focus on the state-space formulation of Dynamic Stochastic General Equilibrium (DSGE) models with multiple regimes. We outline the theoretical foundations of model estimation, provide the details of two families of powerful multiple-regime filters, IMM and GPB, and construct corresponding multiple-regime smoothers. A simulation exercise, based on a…

通过状态聚合约简离散贝叶斯网络AI 解读

Bayesian networks are widely utilised in various fields, offering elegant representations of factorisations and causal relationships. We use surjective functions to reduce the dimensionality of the Bayesian networks by combining states and study the preservation of their factorisation structure. We introduce and define corresponding notions, analyse their properties, and provide examples of highly symmetric special cases, enhancing the understanding of the fundamental…

贝叶斯网络估计倾向得分时二元数据因果效应的检验AI 解读

This paper proposes a new statistical approach for assessing treatment effect using Bayesian Networks (BNs). The goal is to draw causal inferences from observational data with a binary outcome and discrete covariates. The BNs are here used to estimate the propensity score, which enables flexible modeling and ensures maximum likelihood properties, including asymptotic efficiency. %As a result, other available approaches cannot perform better. When the propensity score is…

潜在稀疏异质性下的面板模型贝叶斯估计AI 解读

We incorporate a version of a spike and slab prior, comprising a pointmass at zero ("spike") and a Normal distribution around zero ("slab") into a dynamic panel data framework to model coefficient heterogeneity. In addition to homogeneity and full heterogeneity, our specification can also capture sparse heterogeneity, that is, there is a core group of units that share common parameters and a set of deviators with idiosyncratic parameters. We fit a model with unobserved…

改进在线 A/B 测试中的未来用户活动预测AI 解读

In online randomized experiments or A/B tests, accurate predictions of participant inclusion rates are of paramount importance. These predictions not only guide experimenters in optimizing the experiment's duration but also enhance the precision of treatment effect estimates. In this paper we present a novel, straightforward, and scalable Bayesian nonparametric approach for predicting the rate at which individuals will be exposed to interventions within the realm of online…

基于高斯过程网络的贝叶斯因果推断AI 解读

Causal discovery and inference from observational data is an essential problem in statistics posing both modeling and computational challenges. These are typically addressed by imposing strict assumptions on the joint distribution such as linearity. We consider the problem of the Bayesian estimation of the effects of hypothetical interventions in the Gaussian Process Network (GPN) model, a flexible causal framework which allows describing the causal relationships…

多重重复测量的多变量有序回归AI 解读

In this paper we propose a multivariate ordinal regression model which allows the joint modeling of three-dimensional panel data containing both repeated and multiple measurements for a collection of subjects. This is achieved by a multivariate autoregressive structure on the errors of the latent variables underlying the ordinal responses, where we distinguish between the correlations at a single point in time and the persistence over time. The error distribution is assumed…