Structured priors for sparse probability vectors with application to model selection in Markov chains.
Matthew HeinerAthanasios KottasStephan MunchPublished in: Stat. Comput. (2019)
Keyphrases
- model selection
- markov chain
- cross validation
- transition probabilities
- parameter estimation
- hyperparameters
- bayesian learning
- sample size
- mixture model
- markov processes
- generalization error
- steady state
- model selection criteria
- machine learning
- regression model
- confidence intervals
- state space
- feature selection
- variable selection
- random walk
- probability distribution
- stationary distribution
- information criterion
- gaussian process
- learning machines
- probabilistic model
- marginal likelihood