Related papers: Using mixtures in seemingly unrelated linear regre…

Financial studies require volatility based models which provides useful insights on risks related to investments. Stochastic volatility models are one of the most popular approaches to model volatility in such studies. The asset returns…

This paper tackles the challenge of detecting unreliable behavior in regression algorithms, which may arise from intrinsic variability (e.g., aleatoric uncertainty) or modeling errors (e.g., model uncertainty). First, we formally introduce…

We derive a parallel sampling algorithm for computational inverse problems that present an unknown linear forcing term and a vector of nonlinear parameters to be recovered. It is assumed that the data is noisy and that the linear part of…

Graphical models are widely used to model stochastic dependences among large collections of variables. We introduce a new method of estimating undirected conditional independence graphs based on the score matching loss, introduced by…

Hierarchical learning models, such as mixture models and Bayesian networks, are widely employed for unsupervised learning tasks, such as clustering analysis. They consist of observable and hidden variables, which represent the given data…

We propose a new \textit{quadratic programming-based} method of approximating a nonstandard density using a multivariate Gaussian density. Such nonstandard densities usually arise while developing posterior samplers for unobserved…

We propose a method for inference in generalised linear mixed models (GLMMs) and several extensions of these models. First, we extend the GLMM by allowing the distribution of the random components to be non-Gaussian, that is, assuming an…

The Expectation-Maximization (EM) algorithm is a fundamental tool in unsupervised machine learning. It is often used as an efficient way to solve Maximum Likelihood (ML) estimation problems, especially for models with latent variables. It…

The Seemingly Unrelated Regressions (SUR) model is a wide used estimation procedure in econometrics, insurance and finance, where very often, the regression model contains more than one equation. Unknown parameters, regression coefficients…

The assumption of Gaussian or Gaussian mixture data has been extensively exploited in a long series of precise performance analyses of machine learning (ML) methods, on large datasets having comparably numerous samples and features. To…

When random effects are correlated with sample design variables, the usual approach of employing individual survey weights (constructed to be inversely proportional to the unit survey inclusion probabilities) to form a pseudo-likelihood no…

In this paper, different strands of literature are combined in order to obtain algorithms for semi-parametric estimation of discrete choice models that include the modelling of unobserved heterogeneity by using mixing distributions for the…

Non-Gaussian mixture models are gaining increasing attention for mixture model-based clustering particularly when dealing with data that exhibit features such as skewness and heavy tails. Here, such a mixture distribution is presented,…

We describe a new method for evaluating Bayes factors. The key idea is to introduce a hypermodel in which the competing models are components of a mixture distribution. Inference for the mixing probabilities then yields estimates of the…

Semiparametric regression offers a flexible framework for modeling non-linear relationships between a response and covariates. A prime example are generalized additive models where splines (say) are used to approximate non-linear functional…

This article aims at discovering the unknown variables in the system through data analysis. The main idea is to use the time of data collection as a surrogate variable and try to identify the unknown variables by modeling gradual and sudden…

We show that the Bregman divergence provides a rich framework to estimate unnormalized statistical models for continuous or discrete random variables, that is, models which do not integrate or sum to one, respectively. We prove that recent…

In a mixture of linear regression model, the regression coefficients are treated as random vectors that may follow either a continuous or discrete distribution. We propose two Expectation-Maximization (EM) algorithms to estimate this prior…

We present a new subspace-based method to construct probabilistic models for high-dimensional data and highlight its use in anomaly detection. The approach is based on a statistical estimation of probability density using densities of…

We propose a practical and scalable Gaussian process model for large-scale nonlinear probabilistic regression. Our mixture-of-experts model is conceptually simple and hierarchically recombines computations for an overall approximation of a…