arXiv subjects

Parfait Munezero

Publications and source records attributed to Parfait Munezero.

2 recordsLinked to original sources

arXiv2021

Dynamic Mixture of Experts Models for Online Prediction

A mixture of experts models the conditional density of a response variable using a mixture of regression models with covariate-dependent mixture weights. We extend the finite mixture of experts model by allowing the parameters in both the mixture components and the weights to evolve in time by following random walk processes. Inference for time-varying parameters in richly parameterized mixture of experts models is challenging. We propose a sequential Monte Carlo algorithm for online inference and based on a tailored proposal distribution built on ideas from linear Bayes methods and the EM algorithm. The method gives a unified treatment for mixtures with time-varying parameters, including the special case of static parameters. We assess the properties of the method on simulated data and on industrial data where the aim is to predict software faults in a continuously upgraded large-scale software project.

stat.CO↗

arXiv2018

Efficient Particle Smoothing for Bayesian Inference in Dynamic Survival Models

This article proposes an efficient Bayesian inference for piecewise exponential hazard (PEH) models, which allow the effect of a covariate on the survival time to vary over time. The proposed inference methodology is based on a particle smoothing (PS) algorithm that depends on three particle filters. Efficient proposal (importance) distributions for the particle filters tailored to the nature of survival data and PEH models are developed using the Laplace approximation of the posterior distribution and linear Bayes theory. The algorithm is applied to both simulated and real data, and the results show that it generates an effective sample size that is more than two orders of magnitude larger than a state-of-the-art MCMC sampler for the same computing time, and scales well in high-dimensional and relatively large data.

stat.CO↗