18 citations · 29 across the 5 of their papers we have counts for
6 papers
Sampling from a Gaussian distribution conditioned on the level set of a piecewise affine, continuous function
Jesse Windle
We consider how to use Hamiltonian Monte Carlo to sample from a distribution whose log-density is piecewise quadratic, conditioned on the sample lying on the level set of a piecewi…
Sampling Polya-Gamma random variates: alternate and approximate techniques
Jesse Windle, Nicholas G. Polson, James G. Scott
Efficiently sampling from the Pólya-Gamma distribution, , is an essential element of Pólya-Gamma data augmentation. Polson et. al (2013) show how to efficiently sample f…
A Tractable State-Space Model for Symmetric Positive-Definite Matrices
Jesse Windle, Carlos M. Carvalho
Bayesian analysis of state-space models includes computing the posterior distribution of the system's parameters as well as filtering, smoothing, and predicting the system's latent…
Efficient Data Augmentation in Dynamic Models for Binary and Count Data
Jesse Windle, Carlos M. Carvalho, James G. Scott +1
Dynamic linear models with Gaussian observations and Gaussian states lead to closed-form formulas for posterior simulation. However, these closed-form formulas break down when the…
The partition problem: case studies in Bayesian screening for time-varying model structure
Zesong Liu, Jesse Windle, James G. Scott
This paper presents two case studies of data sets where the main inferential goal is to characterize time-varying patterns in model structure. Both of these examples are seen to be…
The Bayesian Bridge
Nicholas G. Polson, James G. Scott, Jesse Windle
We propose the Bayesian bridge estimator for regularized regression and classification. Two key mixture representations for the Bayesian bridge model are developed: (1) a scale mix…