Related papers: Non-Gaussian Quasi Maximum Likelihood Estimation o…
The structure uncertainty optimization problem is usually treated as double-loop optimization process, which is computation-intensive. In this paper, an efficient interval uncertainty optimization approach based on Quasi-sparse response…
In this work, a new class of stochastic gradient algorithm is developed based on $q$-calculus. Unlike the existing $q$-LMS algorithm, the proposed approach fully utilizes the concept of $q$-calculus by incorporating time-varying $q$…
We construct flexible likelihoods for multi-output Gaussian process models that leverage neural networks as components. We make use of sparse variational inference methods to enable scalable approximate inference for the resulting class of…
We study mixture of linear regression (random coefficient) models, which capture population heterogeneity by allowing the regression coefficients to follow an unknown distribution $G^*$. In contrast to common parametric methods that fix the…
We present a new quantum algorithm for estimating the mean of a real-valued random variable obtained as the output of a quantum computation. Our estimator achieves a nearly-optimal quadratic speedup over the number of classical i.i.d.…
Generalized linear models and the quasi-likelihood method extend the ordinary regression models to accommodate more general conditional distributions of the response. Nonparametric methods need no explicit parametric specification, and the…
We present a framework for approximate Bayesian inference when only a limited number of noisy log-likelihood evaluations can be obtained due to computational constraints, which is becoming increasingly common for applications of complex…
Parametric nonlinear mixed effects models (NLMEs) are now widely used in biometrical studies, especially in pharmacokinetics research and HIV dynamics models, due to, among other aspects, the computational advances achieved during the last…
Instrumental variable (IV) analysis is widely used in fields such as economics and epidemiology to address unobserved confounding and measurement error when estimating the causal effects of intermediate covariates on outcomes. However,…
Gaussian processes (GP) are Bayesian non-parametric models that are widely used for probabilistic regression. Unfortunately, it cannot scale well with large data nor perform real-time predictions due to its cubic time cost in the data size.…
Gaussian processes (GP) are Bayesian non-parametric models that are widely used for probabilistic regression. Unfortunately, it cannot scale well with large data nor perform real-time predictions due to its cubic time cost in the data size.…
We suggest an iterative approach to computing K-step maximum likelihood estimates (MLE) of the parametric components in semiparametric models based on their profile likelihoods. The higher order convergence rate of K-step MLE mainly depends…
We investigate the time-varying ARCH (tvARCH) process. It is shown that it can be used to describe the slow decay of the sample autocorrelations of the squared returns often observed in financial time series, which warrants the further…
The aim of this paper is to provide a new estimator of parameters for LARCH$(\infty)$ processes, and thus also for LARCH$(p)$ or GLARCH$(p,q)$ processes. This estimator results from minimising a contrast leading to a least squares estimator…
We develop a computational procedure to estimate the covariance hyperparameters for semiparametric Gaussian process regression models with additive noise. Namely, the presented method can be used to efficiently estimate the variance of the…
In Gaussian graphical models, the likelihood equations must typically be solved iteratively. We investigate two algorithms: A version of iterative proportional scaling which avoids inversion of large matrices, and an algorithm based on…
A new semi-parametric Expected Shortfall (ES) estimation and forecasting framework is proposed. The proposed approach is based on a two-step estimation procedure. The first step involves the estimation of Value-at-Risk (VaR) at different…
We present Selective Non-Gaussian Refinement (SNGR), a SLAM framework that augments iSAM2 with targeted nested sampling on windows where Gaussian approximations are likely to fail. We detect such regions using the condition number of joint…
The Tsallis $q$-Gaussian distribution is a powerful generalization of the standard Gaussian distribution and is commonly used in various fields, including non-extensive statistical mechanics, financial markets and image processing. It…
This two-part work considers the minimum means square error (MMSE) estimation problem for a high dimensional multi-layer generalized linear model (ML-GLM), which resembles a feed-forward fully connected deep learning network in that each of…