98 citations · 196 across the 32 of their papers we have counts for
3 papers · 1 filter
Gradient-based Adaptive Markov Chain Monte Carlo
Michalis K. Titsias, Petros Dellaportas
We introduce a gradient-based learning method to automatically adapt Markov chain Monte Carlo (MCMC) proposal distributions to intractable targets. We define a maximum entropy regu…
Copula-like Variational Inference
Marcel Hirt, Petros Dellaportas, Alain Durmus
This paper considers a new family of variational distributions motivated by Sklar's theorem. This family is based on new copula-like densities on the hypercube with non-uniform mar…
Bayesian prediction of jumps in large panels of time series data
Angelos Alexopoulos, Petros Dellaportas, Omiros Papaspiliopoulos
We take a new look at the problem of disentangling the volatility and jumps processes of daily stock returns. We first provide a computational framework for the univariate stochast…