We introduce a novel sampling algorithm for Markov chain Monte Carlo-based Bayesian inference for factorial hidden Markov models. This algorithm is based on an auxiliary variable construction that restricts the model space allowing iterative exploration in polynomial time. The sampling approach overcomes limitations with common conditional Gibbs samplers that use asymmetric updates and become e...

A Bayesian Markov Chain Monte Carlo methodology is developed for estimating the stochastic conditional duration model. The conditional mean of durations between trades is modelled as a latent stochastic process, with the conditional distribution of durations having positive support. The sampling scheme employed is a hybrid of the Gibbs and Metropolis Hastings algorithms, with the latent vector ...

The universally applied Codd's relational model has two constructs: a stored relation, with stored attributes only and a view, only with the inherited ones. In 1992, we have proposed third construct, mixing both types of attributes. Examples showed the idea attractive. No one followed however. We now revisit our proposal. We show that a relational database scheme using also our construct may be...

Radial wavelet networks have recently been proposed as a method for nonparametric regression. In this paper we analyze their performance within a Bayesian framework. We derive probability distributions over both the dimension of the networks and the network coefficients by placing a prior on the degrees of freedom of the model. This process bypasses the need to test or select a finite number of...

This paper investigates a hierarchical Bayesian algorithm for gene factor analysis. Each observed sample is decomposed as a linear combination of gene signatures (also referred to as factors) following a linear mixing model. To enforce the sparsity of the relative contribution (called factor score) of each gene signature to a specific sample, constrained Bernoulli-Gaussian distributions are ele...

An important issue in survival analysis is the investigation and the modeling of hazard rates. Within a Bayesian nonparametric framework, a natural and popular approach is to model hazard rates as kernel mixtures with respect to a completely random measure. In this paper we provide a comprehensive analysis of the asymptotic behavior of such models. We investigate consistency of the posterior di...

We propose Kernel Hamiltonian Monte Carlo (KMC), a gradient-free adaptive MCMC algorithm based on Hamiltonian Monte Carlo (HMC). On target densities where classical HMC is not an option due to intractable gradients, KMC adaptively learns the target’s gradient structure by fitting an exponential family model in a Reproducing Kernel Hilbert Space. Computational costs are reduced by two novel effi...