Messing around with Bayesian statistics

Notes and Analyses, examples, methods, and implementation details

π(θ | y) ∝ π(y | θ) π(θ)

q^*_B(θ) = argmin_{q ∈ P(Θ)} { E_q[Σ_i=1ⁿ l(θ, x_i)] + KLD(q || π) }

f(x) ∼ GP(m(x), k(x, x’))

Cov(f(x), f(x’)) = k_Matérn(x, x’)

k_Matérn(r) = σ² 2^1-ν/Γ(ν) (√(2ν) r / ρ)^ν K_ν(√(2ν) r / ρ)

β_t - β_t-1 ∼ N(0, τ^-1)

γ_t - 2γ_t-1 + γ_t-2 ∼ N(0, τ^-1)

dX_t = θ(μ - X_t) dt + σ dW_t

ρ(k) = 1/2 (|k + 1|^2H - 2|k|^2H + |k - 1|^2H)

Q_st = Q_t ⊗ Q_s

(κ² - Δ)^α/2(τu(s)) = W(s)

u(s) ≈ ∑_i=1ⁿ w_iφ_i(s), w ∼ N(0, Q^-1)

Bayesian analysis for structured data

Messing around with Bayesian statistics

Notes and Analyses, examples, methods, and implementation details

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What This Site Covers

Applied Bayesian modelling

Detailed statistical analyses in economics, finance, political science, or epidemiology, through the Bayesian lens.

Statistical methods

Posts that isolate one statistical practice and work through it carefully to explore potential loopholes.

INLA implementation notes

Short write-ups for R-INLA and inlabru modeling details that are easy to forget and difficult to find.

Latest R-INLA Updates

Source: hrue/r-inla rinla/NEWS.md.

Learn more about R-INLA and R-INLA-verse on their dedicated website.

INLA 26.05.19

• Work on the forthcoming sTiles integration
• Minor code revision and optimization

INLA 26.02.06

• Code cleanup
• Revise installation scripts
• Add PIT to gcpo calculations and output

INLA 26.01.26

• Fixed in issue with feature ‘lp.scale’
• Minor modifications

News and Highlights

Welcome!

Welcome to the blog and a short note on where to find more about my background.

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Applications

Daily joint prediction of CAC40 opening and closing level

A one-day-ahead Bayesian joint forecasting workflow for the CAC 40 opening and closing level with R-INLA and inlabru.

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Methods

Censored binomial likelihood in R-INLA

A concrete custom-likelihood example built around disclosure-driven censoring in count data in R-INLA and inlabru.

P-splines in R-INLA

How to express a penalized spline as a B-spline basis with an RW2 prior on the coefficients in R-INLA and inlabru.

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Hardware for Statistical Analysis

See all hardware posts