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Showing 2013 · math.STShow all
2 papers · 2 filters
math.ST2013★ 2 cited
A shrinkage-thresholding Metropolis adjusted Langevin algorithm for Bayesian variable selection
Amandine Schreck, Gersende Fort, Sylvain Le Corff +1
This paper introduces a new Markov Chain Monte Carlo method for Bayesian variable selection in high dimensional settings. The algorithm is a Hastings-Metropolis sampler with a prop…
math.ST2013
Time series prediction via aggregation : an oracle bound including numerical cost
Andres Sanchez-Perez
We address the problem of forecasting a time series meeting the Causal Bernoulli Shift model, using a parametric set of predictors. The aggregation technique provides a predictor w…