3 papers
stat.ME2025
Going With the Flow: Normalizing Flows for Gaussian Process Regression under Hierarchical Shrinkage Priors
Peter Knaus
Gaussian Process Regression (GPR) is a powerful tool for nonparametric regression, but its application in a fully Bayesian fashion in high-dimensional settings is hindered by two p…
stat.ME2025
Flexible yet Sparse Bayesian Survival Models with Time-Varying Coefficients and Unobserved Heterogeneity
Peter Knaus, Daniel Winkler, Sebastian F. Schoppmann +1
Survival analysis is an important area of medical research, yet existing models often struggle to balance simplicity with flexibility. Simple models require minimal adjustments but…
econ.EM2025
The Dynamic Triple Gamma Prior as a Shrinkage Process Prior for Time-Varying Parameter Models
Peter Knaus, Sylvia Frühwirth-Schnatter
Many existing shrinkage approaches for time-varying parameter (TVP) models assume constant innovation variances across time points, inducing sparsity by shrinking these variances t…