6 papers · 1 filter
Zero-inflated stochastic volatility model for disaggregated inflation data with exact zeros
Geonhee Han, Kaoru Irie
The disaggregated time-series for the Consumer Price Index (CPI) often exhibits exact zero price changes, stemming from structural features of the data collection process. However,…
On non-stationarity of the Poisson gamma state space models
Kaoru Irie, Tevfik Aktekin
The Poisson-gamma state space (PGSS) models have been utilized in the analysis of non-negative integer-valued time series to sequentially obtain closed form filtering and predictiv…
The Group R2D2 Shrinkage Prior for Sparse Linear Models with Grouped Covariates
Eric Yanchenko, Kaoru Irie, Shonosuke Sugasawa
Shrinkage priors are a popular Bayesian paradigm to handle sparsity in high-dimensional regression. Still limited, however, is a flexible class of shrinkage priors to handle groupe…
Outlier-Robust Bayesian Multivariate Analysis with Correlation-Intact Sandwich Mixture
Yasuyuki Hamura, Kaoru Irie, Shonosuke Sugasawa
Handling outliers is a fundamental challenge in multivariate data analysis because outliers may distort the structures of correlation or conditional independence. Although robust B…
On the Proofs of the Predictive Synthesis Formula
Riku Masuda, Kaoru Irie
Bayesian predictive synthesis is useful in synthesizing multiple predictive distributions coherently. However, the proof for the fundamental equation of the synthesized predictive…
Robust Bayesian Modeling of Counts with Zero inflation and Outliers: Theoretical Robustness and Efficient Computation
Yasuyuki Hamura, Kaoru Irie, Shonosuke Sugasawa
Count data with zero inflation and large outliers are ubiquitous in many scientific applications. However, posterior analysis under a standard statistical model, such as Poisson or…