Related papers: Efficient Empirical Bayes prediction under check l…

Motivated by applications in tissue-wide association studies (TWAS), we develop a flexible and theoretically grounded empirical Bayes approach for integrating %vector-valued outcomes data obtained from different sources. We propose a linear…

We introduce functional adaptive shrinkage (FASH), an empirical Bayes method for joint analysis of observation units in which each unit estimates an effect function at several values of a continuous condition variable. The ideas in this…

Comparison data arises in many important contexts, e.g. shopping, web clicks, or sports competitions. Typically we are given a dataset of comparisons and wish to train a model to make predictions about the outcome of unseen comparisons. In…

Motivated by the increasing use of and rapid changes in array technologies, we consider the prediction problem of fitting a linear regression relating a continuous outcome $Y$ to a large number of covariates $\mathbf {X}$, for example,…

We consider Empirical Bayes (EB) estimation in the normal means problem, when the standard deviations of the observations are not known precisely, but estimated with error -- which is almost always the case in practical applications. In…

The problem of estimating a high-dimensional sparse vector $\boldsymbol{\theta} \in \mathbb{R}^n$ from an observation in i.i.d. Gaussian noise is considered. The performance is measured using squared-error loss. An empirical Bayes shrinkage…

In regression analysis under artificial neural networks, the prediction performance depends on determining the appropriate weights between layers. As randomly initialized weights are updated during back-propagation using the gradient…

This work proposes a wavelet shrinkage rule under asymmetric LINEX loss function and a mixture of a point mass function at zero and the logistic distribution as prior distribution to the wavelet coefficients in a nonparametric regression…

In all areas of human knowledge, datasets are increasing in both size and complexity, creating the need for richer statistical models. This trend is also true for economic data, where high-dimensional and nonlinear/nonparametric inference…

We consider the problem of predicting as well as the best linear combination of d given functions in least squares regression under L^\infty constraints on the linear combination. When the input distribution is known, there already exists…

In this paper we propose a Bayesian answer to testing problems when the hypotheses are not well separated. The idea of the method is to study the posterior distribution of a discrepancy measure between the parameter and the model we want to…

This work proposes a Bayesian rule based on the mixture of a point mass function at zero and the logistic distribution to perform wavelet shrinkage in nonparametric regression models with stationary errors (with short or long-memory…

Gaussian empirical Bayes methods usually maintain a precision independence assumption: The unknown parameters of interest are independent from the known standard errors of the estimates. This assumption is often theoretically questionable…

Motivated by the proliferation of observational datasets and the need to integrate non-randomized evidence with randomized controlled trials, causal inference researchers have recently proposed several new methodologies for combining biased…

Measuring the accuracy of cross-sectional predictions is a subjective problem. Generally, this problem is avoided. In contrast, this paper confronts subjectivity up front by eliciting an impartial decision-maker's preferences. These…

In data science and machine learning, hierarchical parametric models, such as mixture models, are often used. They contain two kinds of variables: observable variables, which represent the parts of the data that can be directly measured,…

Forecasting revenues by aggregating analyst forecasts is a fundamental problem in financial research and practice. A key objective in this context is to improve the accuracy of the forecast by optimizing two performance metrics: the hit…

Modern approaches to perform Bayesian variable selection rely mostly on the use of shrinkage priors. That said, an ideal shrinkage prior should be adaptive to different signal levels, ensuring that small effects are ruled out, while keeping…

In this article, we develop a semiparametric Bayesian estimation and model selection approach for partially linear additive models in conditional quantile regression. The asymmetric Laplace distribution provides a mechanism for Bayesian…

Hierarchical statistical models are widely employed in information science and data engineering. The models consist of two types of variables: observable variables that represent the given data and latent variables for the unobservable…