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stat.ML2025
Time-varying Factor Augmented Vector Autoregression with Grouped Sparse Autoencoder
Yiyong Luo, Brooks Paige, Jim Griffin
Recent economic events, including the global financial crisis and COVID-19 pandemic, have exposed limitations in linear Factor Augmented Vector Autoregressive (FAVAR) models for fo…
stat.ML2024
Diffusive Gibbs Sampling
Wenlin Chen, Mingtian Zhang, Brooks Paige +2
The inadequate mixing of conventional Markov Chain Monte Carlo (MCMC) methods for multi-modal distributions presents a significant challenge in practical applications such as Bayes…