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Using simulation methods for Bayesian econometric models: Inference, development and communication
 Econometric Review
, 1999
"... This paper surveys the fundamental principles of subjective Bayesian inference in econometrics and the implementation of those principles using posterior simulation methods. The emphasis is on the combination of models and the development of predictive distributions. Moving beyond conditioning on a ..."
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Cited by 356 (19 self)
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This paper surveys the fundamental principles of subjective Bayesian inference in econometrics and the implementation of those principles using posterior simulation methods. The emphasis is on the combination of models and the development of predictive distributions. Moving beyond conditioning on a fixed number of completely specified models, the paper introduces subjective Bayesian tools for formal comparison of these models with as yet incompletely specified models. The paper then shows how posterior simulators can facilitate communication between investigators (for example, econometricians) on the one hand and remote clients (for example, decision makers) on the other, enabling clients to vary the prior distributions and functions of interest employed by investigators. A theme of the paper is the practicality of subjective Bayesian methods. To this end, the paper describes publicly available software for Bayesian inference, model development, and communication and provides illustrations using two simple econometric models. *This paper was originally prepared for the Australasian meetings of the Econometric Society in Melbourne, Australia,
Bayesian Compressive Sensing
, 2007
"... The data of interest are assumed to be represented as Ndimensional real vectors, and these vectors are compressible in some linear basis B, implying that the signal can be reconstructed accurately using only a small number M ≪ N of basisfunction coefficients associated with B. Compressive sensing ..."
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Cited by 328 (24 self)
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The data of interest are assumed to be represented as Ndimensional real vectors, and these vectors are compressible in some linear basis B, implying that the signal can be reconstructed accurately using only a small number M ≪ N of basisfunction coefficients associated with B. Compressive sensing is a framework whereby one does not measure one of the aforementioned Ndimensional signals directly, but rather a set of related measurements, with the new measurements a linear combination of the original underlying Ndimensional signal. The number of required compressivesensing measurements is typically much smaller than N, offering the potential to simplify the sensing system. Let f denote the unknown underlying Ndimensional signal, and g a vector of compressivesensing measurements, then one may approximate f accurately by utilizing knowledge of the (underdetermined) linear relationship between f and g, in addition to knowledge of the fact that f is compressible in B. In this paper we employ a Bayesian formalism for estimating the underlying signal f based on compressivesensing measurements g. The proposed framework has the following properties: (i) in addition to estimating the underlying signal f, “error bars ” are also estimated, these giving a measure of confidence in the inverted signal; (ii) using knowledge of the error bars, a principled means is provided for determining when a sufficient
Operations for Learning with Graphical Models
 Journal of Artificial Intelligence Research
, 1994
"... This paper is a multidisciplinary review of empirical, statistical learning from a graphical model perspective. Wellknown examples of graphical models include Bayesian networks, directed graphs representing a Markov chain, and undirected networks representing a Markov field. These graphical models ..."
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Cited by 277 (13 self)
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This paper is a multidisciplinary review of empirical, statistical learning from a graphical model perspective. Wellknown examples of graphical models include Bayesian networks, directed graphs representing a Markov chain, and undirected networks representing a Markov field. These graphical models are extended to model data analysis and empirical learning using the notation of plates. Graphical operations for simplifying and manipulating a problem are provided including decomposition, differentiation, and the manipulation of probability models from the exponential family. Two standard algorithm schemas for learning are reviewed in a graphical framework: Gibbs sampling and the expectation maximization algorithm. Using these operations and schemas, some popular algorithms can be synthesized from their graphical specification. This includes versions of linear regression, techniques for feedforward networks, and learning Gaussian and discrete Bayesian networks from data. The paper conclu...
Infinite Latent Feature Models and the Indian Buffet Process
, 2005
"... We define a probability distribution over equivalence classes of binary matrices with a finite number of rows and an unbounded number of columns. This distribution ..."
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Cited by 275 (46 self)
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We define a probability distribution over equivalence classes of binary matrices with a finite number of rows and an unbounded number of columns. This distribution
A Guide to the Literature on Learning Probabilistic Networks From Data
, 1996
"... This literature review discusses different methods under the general rubric of learning Bayesian networks from data, and includes some overlapping work on more general probabilistic networks. Connections are drawn between the statistical, neural network, and uncertainty communities, and between the ..."
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Cited by 203 (0 self)
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This literature review discusses different methods under the general rubric of learning Bayesian networks from data, and includes some overlapping work on more general probabilistic networks. Connections are drawn between the statistical, neural network, and uncertainty communities, and between the different methodological communities, such as Bayesian, description length, and classical statistics. Basic concepts for learning and Bayesian networks are introduced and methods are then reviewed. Methods are discussed for learning parameters of a probabilistic network, for learning the structure, and for learning hidden variables. The presentation avoids formal definitions and theorems, as these are plentiful in the literature, and instead illustrates key concepts with simplified examples. Keywords Bayesian networks, graphical models, hidden variables, learning, learning structure, probabilistic networks, knowledge discovery. I. Introduction Probabilistic networks or probabilistic gra...
Quality of service for workflows and web service processes
 Journal of Web Semantics
, 2004
"... Workflow management systems (WfMSs) have been used to support various types of business processes for more than a decade now. In workflows for ecommerce and Webservices applications, suppliers and customers define a binding agreement or contract between the two parties, specifying Quality of Servi ..."
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Cited by 197 (19 self)
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Workflow management systems (WfMSs) have been used to support various types of business processes for more than a decade now. In workflows for ecommerce and Webservices applications, suppliers and customers define a binding agreement or contract between the two parties, specifying Quality of Service (QoS) items such as products or services to be delivered, deadlines, quality of products, and cost of services. The management of QoS metrics directly impacts the success of organizations participating in ecommerce. Therefore, when services or products are created or managed using workflows, the underlying workflow system must accept the specifications and be able to estimate, monitor, and control the QoS rendered to customers. In this paper, we present a predictive QoS model that makes it possible to compute the quality of service for workflows automatically based on atomic task QoS attributes. To this end, we present a model that specifies QoS and describe an algorithm and a simulation system in order to compute, analyze and monitor workflow QoS metrics. 1
Model Selection and the Principle of Minimum Description Length
 Journal of the American Statistical Association
, 1998
"... This paper reviews the principle of Minimum Description Length (MDL) for problems of model selection. By viewing statistical modeling as a means of generating descriptions of observed data, the MDL framework discriminates between competing models based on the complexity of each description. This ..."
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Cited by 195 (8 self)
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This paper reviews the principle of Minimum Description Length (MDL) for problems of model selection. By viewing statistical modeling as a means of generating descriptions of observed data, the MDL framework discriminates between competing models based on the complexity of each description. This approach began with Kolmogorov's theory of algorithmic complexity, matured in the literature on information theory, and has recently received renewed interest within the statistics community. In the pages that follow, we review both the practical as well as the theoretical aspects of MDL as a tool for model selection, emphasizing the rich connections between information theory and statistics. At the boundary between these two disciplines, we find many interesting interpretations of popular frequentist and Bayesian procedures. As we will see, MDL provides an objective umbrella under which rather disparate approaches to statistical modeling can coexist and be compared. We illustrate th...
Efficient approximations for the marginal likelihood of Bayesian networks with hidden variables
 Machine Learning
, 1997
"... We discuss Bayesian methods for learning Bayesian networks when data sets are incomplete. In particular, we examine asymptotic approximations for the marginal likelihood of incomplete data given a Bayesian network. We consider the Laplace approximation and the less accurate but more efficient BIC/MD ..."
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Cited by 195 (12 self)
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We discuss Bayesian methods for learning Bayesian networks when data sets are incomplete. In particular, we examine asymptotic approximations for the marginal likelihood of incomplete data given a Bayesian network. We consider the Laplace approximation and the less accurate but more efficient BIC/MDL approximation. We also consider approximations proposed by Draper (1993) and Cheeseman and Stutz (1995). These approximations are as efficient as BIC/MDL, but their accuracy has not been studied in any depth. We compare the accuracy of these approximations under the assumption that the Laplace approximation is the most accurate. In experiments using synthetic data generated from discrete naiveBayes models having a hidden root node, we find that (1) the BIC/MDL measure is the least accurate, having a bias in favor of simple models, and (2) the Draper and CS measures are the most accurate. 1
Sparse online gaussian processes
 Neural Computation
"... Minor corrections included a a The authors acknowledge reader feedbacks We develop an approach for sparse representations of Gaussian Process (GP) models (which are Bayesian types of kernel machines) in order to overcome their limitations for large data sets. The method is based on a combination of ..."
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Cited by 179 (8 self)
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Minor corrections included a a The authors acknowledge reader feedbacks We develop an approach for sparse representations of Gaussian Process (GP) models (which are Bayesian types of kernel machines) in order to overcome their limitations for large data sets. The method is based on a combination of a Bayesian online algorithm together with a sequential construction of a relevant subsample of the data which fully specifies the prediction of the GP model. By using an appealing parametrisation and projection techniques that use the RKHS norm, recursions for the effective parameters and a sparse Gaussian approximation of the posterior process are obtained. This allows both for a propagation of predictions as well as of Bayesian error measures. The significance and robustness of our approach is demonstrated on a variety of experiments. Sparse Online Gaussian Processes 2
Particle Filters for State Estimation of Jump Markov Linear Systems
, 2001
"... Jump Markov linear systems (JMLS) are linear systems whose parameters evolve with time according to a finite state Markov chain. In this paper, our aim is to recursively compute optimal state estimates for this class of systems. We present efficient simulationbased algorithms called particle filter ..."
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Cited by 174 (15 self)
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Jump Markov linear systems (JMLS) are linear systems whose parameters evolve with time according to a finite state Markov chain. In this paper, our aim is to recursively compute optimal state estimates for this class of systems. We present efficient simulationbased algorithms called particle filters to solve the optimal filtering problem as well as the optimal fixedlag smoothing problem. Our algorithms combine sequential importance sampling, a selection scheme, and Markov chain Monte Carlo methods. They use several variance reduction methods to make the most of the statistical structure of JMLS. Computer