195 citations · 408 across the 22 of their papers we have counts for
6 papers · 1 filter
Dynamic factor and double PCA models for partially observed survival curves: Forecasting demand in short-term rental markets
Marthe Elisabeth Aastveit, Alex Lenkoski, Thordis Thorarinsdottir
This paper develops prediction models for population-level survival curves observed over time and sampled from a heterogeneous mix of populations. We consider a discrete-time setti…
Multivariate postprocessing methods for high-dimensional seasonal weather forecasts
Claudio Heinrich, Kristoffer H. Hellton, Alex Lenkoski +1
Seasonal weather forecasts are crucial for long-term planning in many practical situations and skillful forecasts may have substantial economic and humanitarian implications. Curre…
Instrumental Variable Bayesian Model Averaging via Conditional Bayes Factors
Anna Karl, Alex Lenkoski
We develop a method to perform model averaging in two-stage linear regression systems subject to endogeneity. Our method extends an existing Gibbs sampler for instrumental variable…
Two-Stage Bayesian Model Averaging in Endogenous Variable Models
A. Lenkoski, T. S. Eicher, A. E. Raftery
Economic modeling in the presence of endogeneity is subject to model uncertainty at both the instrument and covariate level. We propose a Two-Stage Bayesian Model Averaging (2SBMA)…
Bayesian inference for general Gaussian graphical models with application to multivariate lattice data
Adrian Dobra, Alex Lenkoski, Abel Rodriguez
We introduce efficient Markov chain Monte Carlo methods for inference and model determination in multivariate and matrix-variate Gaussian graphical models. Our framework is based o…
Sparse covariance estimation in heterogeneous samples
Abel Rodriguez, Alex Lenkoski, Adrian Dobra
Standard Gaussian graphical models (GGMs) implicitly assume that the conditional independence among variables is common to all observations in the sample. However, in practice, obs…