600 citations · 807 across the 35 of their papers we have counts for
6 papers · 1 filter
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…
An empirical test for Eurozone contagion using an asset-pricing model with heavy-tailed stochastic volatility
Nicholas G. Polson, James G. Scott
This paper proposes an empirical test of financial contagion in European equity markets during the tumultuous period of 2008-2011. Our analysis shows that traditional GARCH and Gau…
Default Bayesian analysis for multi-way tables: a data-augmentation approach
Nicholas G. Polson, James G. Scott
This paper proposes a strategy for regularized estimation in multi-way contingency tables, which are common in meta-analyses and multi-center clinical trials. Our approach is based…
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…
On the half-Cauchy prior for a global scale parameter
Nicholas G. Polson, James G. Scott
This paper argues that the half-Cauchy distribution should replace the inverse-Gamma distribution as a default prior for a top-level scale parameter in Bayesian hierarchical models…
Data augmentation for non-Gaussian regression models using variance-mean mixtures
Nicholas G. Polson, James G. Scott
We use the theory of normal variance-mean mixtures to derive a data-augmentation scheme for a class of common regularization problems. This generalizes existing theory on normal va…