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08/10/2023
Efficient Variational Inference for Large Skew-t Copulas with Application to Intraday Equity Returns
Large skew-t factor copula models are attractive for the modeling of fin...
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02/27/2023
Natural Gradient Hybrid Variational Inference with Application to Deep Mixed Models
Stochastic models with global parameters θ and latent variables z are co...
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11/18/2021
Implicit copula variational inference
Key to effective generic, or "black-box", variational inference is the s...
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09/10/2021
Implicit Copulas: An Overview
Implicit copulas are the most common copula choice for modeling dependen...
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08/25/2021
Variational inference for cutting feedback in misspecified models
Bayesian analyses combine information represented by different terms in ...
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10/05/2020
Deep Distributional Time Series Models and the Probabilistic Forecasting of Intraday Electricity Prices
Recurrent neural networks (RNNs) with rich feature vectors of past value...
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05/15/2020
Fast and Accurate Variational Inference for Models with Many Latent Variables
Models with a large number of latent variables are often used to fully u...
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08/26/2019
Marginally-calibrated deep distributional regression
Deep neural network (DNN) regression models are widely used in applicati...
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07/10/2019
Bayesian Variable Selection for Non-Gaussian Responses: A Marginally Calibrated Copula Approach
We propose a new highly flexible and tractable Bayesian approach to unde...
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07/10/2019
Bayesian Inference for Regression Copulas
We propose a new semi-parametric distributional regression smoother for ...
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04/16/2019
High-dimensional copula variational approximation through transformation
Variational methods are attractive for computing Bayesian inference for ...
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04/27/2018
Implicit Copulas from Bayesian Regularized Regression Smoothers
We show how to extract the implicit copula of a response vector from a B...
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04/23/2018
Econometric Modeling of Regional Electricity Spot Prices in the Australian Market
Wholesale electricity markets are increasingly integrated via high volta...
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12/26/2017