Related papers: Admissible predictive density estimation
A tractable nonparametric prior over densities is introduced which is closed under sampling and exhibits proper posterior asymptotics.
We investigate the feasibility problem for generalized inverse linear programs. Given an LP with affinely parametrized objective function and right-hand side as well as a target set Y, the goal is to decide whether the parameters can be…
Optimal data detection in massive multiple-input multiple-output (MIMO) systems often requires prohibitively high computational complexity. A variety of detection algorithms have been proposed in the literature, offering different…
We address the question of estimating Kullback-Leibler losses rather than squared losses in recovery problems where the noise is distributed within the exponential family. Inspired by Stein unbiased risk estimator (SURE), we exhibit…
In a regression setup with deterministic design, we study the pure aggregation problem and introduce a natural extension from the Gaussian distribution to distributions in the exponential family. While this extension bears strong…
We study the default risk in incomplete information. That means, we model the value of a firm by one L\'evy process which is the sum of brownian motion with drift and compound Poisson process. This L\'evy process can not be observed…
This note discusses Watson and Holmes (2016) and their pro- posals towards more robust Bayesian decisions. While we acknowledge and commend the authors for setting new and all-encompassing prin- ciples of Bayesian robustness, and we…
The goal of importance sampling is to estimate the expected value of a given function with respect to a probability measure $\nu$ using a random sample of size $n$ drawn from a different probability measure $\mu$. If the two measures $\mu$…
In statistical classification/multiple hypothesis testing and machine learning, a model distribution estimated from the training data is usually applied to replace the unknown true distribution in the Bayes decision rule, which introduces a…
A fairly general class of Bayesian "large-error" lower bounds of the Weiss-Weinstein family, essentially free from regularity conditions on the probability density functions support, and for which a limiting form yields a generalized…
The standard approach to answering an identifiable causal-effect query (e.g., $P(Y|do(X)$) when given a causal diagram and observational data is to first generate an estimand, or probabilistic expression over the observable variables, which…
A Bayesian approach to variable selection which is based on the expected Kullback-Leibler divergence between the full model and its projection onto a submodel has recently been suggested in the literature. Here we extend this idea by…
We study two adaptive importance sampling schemes for estimating the probability of a rare event in the high-dimensional regime $d \to \infty$ with $d$ the dimension. The first scheme is the prominent cross-entropy (CE) method, and the…
We study the rate of convergence of posterior distributions in density estimation problems for log-densities in periodic Sobolev classes characterized by a smoothness parameter p. The posterior expected density provides a nonparametric…
Admissible vectors for unitary representations of locally compact groups are the basis for group-frame and covariant coherent state expansions. Main tools in the study of admissible vectors have been Plancherel and central integral…
In this paper, we compare the performance of two methods for estimating Bayesian networks from data containing exogenous variables and random effects. The first method is fully Bayesian in which a prior distribution is placed on the…
Although continuous density estimation has received abundant attention in the Bayesian nonparametrics literature, there is limited theory on multivariate mixed scale density estimation. In this note, we consider a general framework to…
There has been growing interest in the AI community for precise uncertainty quantification. Conditional density models f(y|x), where x represents potentially high-dimensional features, are an integral part of uncertainty quantification in…
We observe a random measure $N$ and aim at estimating its intensity $s$. This statistical framework allows to deal simultaneously with the problems of estimating a density, the marginals of a multivariate distribution, the mean of a random…
Brandenburger, Friedenberg, and Keisler provide an epistemic characterization of iterated admissibility (i.e., iterated deletion of weakly dominated strategies) where uncertainty is represented using LPSs (lexicographic probability…