4 papers
Horseshoe Predictive Inference
Percy S. Zhai, Veronika RoÄková
Predictive inference in the sparse Gaussian sequence model has received considerably less attention than its non-sparse, finite-sample counterpart. Existing work has largely been c…
Simultaneous Inference for Covariance and Precision Matrices of Long-Range Dependent Time Series
Percy S. Zhai, Mladen Kolar, Wei Biao Wu
For time series with long-range temporal dependence, inference for covariance and precision matrices is non-trivial. We propose a Berry-Esseen type Gaussian approximation result th…
Conditional Flow Matching for Bayesian Posterior Inference
Percy S. Zhai, So Won Jeong, Veronika RoÄková
We propose a generative multivariate posterior sampler via flow matching. It offers a simple training objective, and does not require access to likelihood evaluation. The method le…
Deep Generative Quantile Bayes
Jungeum Kim, Percy S. Zhai, Veronika RoÄková
We develop a multivariate posterior sampling procedure through deep generative quantile learning. Simulation proceeds implicitly through a push-forward mapping that can transform i…