Related papers: Flexible Multivariate Density Estimation with Marg…
We consider the problem of mean estimation assuming only finite variance. We study a new class of mean estimators constructed by integrating over random noise applied to a soft-truncated empirical mean estimator. For appropriate choices of…
A method that uses order statistics to construct multivariate distributions with fixed marginals and which utilizes a representation of the Bernstein copula in terms of a finite mixture distribution is proposed. Expectation-maximization…
This article develops a general-purpose adaptive sampler that approximates the target density by a mixture of multivariate t densities. The adaptive sampler is based on reversible proposal distributions each of which has the mixture of…
When multiple measures are collected repeatedly over time, redundancy typically exists among responses. The envelope method was recently proposed to reduce the dimension of responses without loss of information in regression with…
Accurate density estimation methodologies play an integral role in a variety of scientific disciplines, with applications including simulation models, decision support tools, and exploratory data analysis. In the past, histograms and kernel…
We solve the problem of estimating the distribution of presumed i.i.d. observations for the total variation loss. Our approach is based on density models and is versatile enough to cope with many different ones, including some density…
A nonparametric and locally adaptive Bayesian estimator is proposed for estimating a binary regression. Flexibility is obtained by modeling the binary regression as a mixture of probit regressions with the argument of each probit regression…
Estimating mutual information from observed samples is a basic primitive, useful in several machine learning tasks including correlation mining, information bottleneck clustering, learning a Chow-Liu tree, and conditional independence…
Modeling of high order multivariate probability distribution is a difficult problem which occurs in many fields. Copula approach is a good choice for this purpose, but the curse of dimensionality still remains a problem. In this paper we…
We propose a new method for multivariate response regression and covariance estimation when elements of the response vector are of mixed types, for example some continuous and some discrete. Our method is based on a model which assumes the…
In partially linear additive models the response variable is modelled with a linear component on a subset of covariates and an additive component in which the rest of the covariates enter to the model as a sum of univariate unknown…
In this paper, we proposed a multivariate normality test based on copula entropy. The test statistic is defined as the difference between the copula entropies of unknown distribution and the Gaussian distribution with same covariances. The…
To take sample biases and skewness in the observations into account, practitioners frequently weight their observations according to some marginal distribution. The present paper demonstrates that such weighting can indeed improve the…
Starting from the characterization of extreme-value copulas based on max-stability, large-sample tests of extreme-value dependence for multivariate copulas are studied. The two key ingredients of the proposed tests are the empirical copula…
The Rao-Blackwell theorem is utilized to analyze and improve the scalability of inference in large probabilistic models that exhibit symmetries. A novel marginal density estimator is introduced and shown both analytically and empirically to…
A method for estimating the Shannon differential entropy of multidimensional random variables using independent samples is described. The method is based on decomposing the distribution into a product of the marginal distributions and the…
We propose a flexible Bayesian approach for estimating the joint density of a multivariate outcome of interest in the presence of categorical covariates. Leveraging a Gaussian copula framework, our method effectively captures the dependence…
Copulas are mathematical objects that fully capture the dependence structure among random variables and hence, offer a great flexibility in building multivariate stochastic models. In statistics, a copula is used as a general way of…
We propose a new copula model that can be used with replicated spatial data. Unlike the multivariate normal copula, the proposed copula is based on the assumption that a common factor exists and affects the joint dependence of all…
Assume that $(X_t)_{t\in\Z}$ is a real valued time series admitting a common marginal density $f$ with respect to Lebesgue's measure. Donoho {\it et al.} (1996) propose a near-minimax method based on thresholding wavelets to estimate $f$ on…