Related papers: Non-asymptotic deviation inequalities for smoothed…
This paper addresses the challenge of localization in federated settings, which are characterized by distributed data, non-convexity, and non-smoothness. To tackle the scalability and outlier issues inherent in such environments, we propose…
We present a locally adaptive nonparametric curve fitting method that operates within a fully Bayesian framework. This method uses shrinkage priors to induce sparsity in order-k differences in the latent trend function, providing a…
Quantum Markov models are employed ubiquitously in quantum physics and in quantum information theory due to their relative simplicity and analytical tractability. In particular, these models are known to give accurate approximations for a…
I describe a new Markov chain method for sampling from the distribution of the state sequences in a non-linear state space model, given the observation sequence. This method updates all states in the sequence simultaneously using an…
In state space models, smoothing refers to the task of estimating a latent stochastic process given noisy measurements related to the process. We propose an unbiased estimator of smoothing expectations. The lack-of-bias property has…
The validity of estimation and smoothing parameter selection for the wide class of generalized additive models for location, scale and shape (GAMLSS) relies on the correct specification of a likelihood function. Deviations from such…
We consider the problem of optimizing the sum of a smooth, nonconvex function for which derivatives are unavailable, and a convex, nonsmooth function with easy-to-evaluate proximal operator. Of particular focus is the case where the smooth…
We consider the estimation of parametric fractional time series models in which not only is the memory parameter unknown, but one may not know whether it lies in the stationary/invertible region or the nonstationary or noninvertible…
We undertake a detailed study of the performance of maximum likelihood (ML) estimators of the density matrix of finite-dimensional quantum systems, in order to interrogate generic properties of frequentist quantum state estimation. Existing…
In this paper, we propose a unified framework of inexact stochastic Alternating Direction Method of Multipliers (ADMM) for solving nonconvex problems subject to linear constraints, whose objective comprises an average of finite-sum smooth…
Finite state space hidden Markov models are flexible tools to model phenomena with complex time dependencies: any process distribution can be approximated by a hidden Markov model with enough hidden states.We consider the problem of…
The technological applications of hidden Markov models have been extremely diverse and successful, including natural language processing, gesture recognition, gene sequencing, and Kalman filtering of physical measurements. HMMs are highly…
New algorithms for computing of asymptotic expansions for stationary distributions of nonlinearly perturbed semi-Markov processes are presented. The algorithms are based on special techniques of sequential phase space reduction, which can…
We consider the filtering of continuous-time finite-state hidden Markov models, where the rate and observation matrices depend on unknown time-dependent parameters, for which no prior or stochastic model is available. We quantify and…
The ability to generate samples of the random effects from their conditional distributions is fundamental for inference in mixed effects models. Random walk Metropolis is widely used to perform such sampling, but this method is known to…
We consider Markov models of stochastic processes where the next-step conditional distribution is defined by a kernel density estimator (KDE), similar to Markov forecast densities and certain time-series bootstrap schemes. The KDE Markov…
We consider filtering for a hidden Markov model that evolves with multiple time scales in the hidden states. In particular, we consider the case where one of the states is a scaled Ornstein-Uhlenbeck process with fast reversion to a…
The Hidden Markov Model (HMM) is one of the mainstays of statistical modeling of discrete time series, with applications including speech recognition, computational biology, computer vision and econometrics. Estimating an HMM from its…
The filtering of a Markov diffusion process on a manifold from counting process observations leads to `large' changes in the conditional distribution upon an observed event, corresponding to a multiplication of the density by the intensity…
Smoothing splines have been used pervasively in nonparametric regressions. However, the computational burden of smoothing splines is significant when the sample size $n$ is large. When the number of predictors $d\geq2$, the computational…