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stat.ME2026
Factor Analysis of Multivariate Stochastic Volatility Model
Taehee Lee, Jun S. Liu
Modeling the time-varying covariance structures of high-dimensional variables is critical across diverse scientific and industrial applications; however, existing approaches exhibi…
stat.ME2023
A Variational Spike-and-Slab Approach for Group Variable Selection
Buyu Lin, Changhao Ge, Jun S. Liu
We introduce a class of generic spike-and-slab priors for high-dimensional linear regression with grouped variables and present a Coordinate-ascent Variational Inference (CAVI) alg…