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11/03/2022
Log-density gradient covariance and automatic metric tensors for Riemann manifold Monte Carlo methods
A metric tensor for Riemann manifold Monte Carlo particularly suited for...
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08/28/2020
agtboost: Adaptive and Automatic Gradient Tree Boosting Computations
agtboost is an R package implementing fast gradient tree boosting comput...
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08/13/2020
An information criterion for automatic gradient tree boosting
An information theoretic approach to learning the complexity of classifi...
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05/04/2020
Connecting the Dots: Towards Continuous Time Hamiltonian Monte Carlo
Continuous time Hamiltonian Monte Carlo is introduced, as a powerful alt...
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01/12/2020
Estimating the Competitive Storage Model with Stochastic Trends in Commodity Prices
We propose a state-space model (SSM) for commodity prices that combines ...
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08/21/2019
Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility
We propose a factor state-space approach with stochastic volatility to m...
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12/19/2018
Pseudo-Marginal Hamiltonian Monte Carlo with Efficient Importance Sampling
The joint posterior of latent variables and parameters in Bayesian hiera...
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06/06/2018
