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Sparse high-dimensional linear regression is a central problem in statistics, where the goal is often variable selection and/or coefficient estimation. We propose a mean-field variational Bayes approximation for sparse regression with…

Generalized linear mixed models are powerful tools for analyzing clustered data, where the unknown parameters are classically (and most commonly) estimated by the maximum likelihood and restricted maximum likelihood procedures. However,…

This paper introduces the variational R\'enyi bound (VR) that extends traditional variational inference to R\'enyi's alpha-divergences. This new family of variational methods unifies a number of existing approaches, and enables a smooth…

We give necessary and sufficient conditions for the existence of a generalization of R\'enyi divergence, which is defined in terms of a deformed exponential function. If the underlying measure $\mu$ is non-atomic, we found that not all…

We consider a two-parameter family of R\'enyi relative entropies $D_{\alpha,z}(\rho||\sigma)$ that are quantum generalisations of the classical R\'enyi divergence $D_{\alpha}(p||q)$. This family includes many known relative entropies (or…

This paper studies a specific class of statistical divergences for spectral densities of time series: the spectral $\alpha$-R\'{e}nyi divergences, which include the Itakura-Saito divergence as a limiting case. The aim of this paper is to…

We revisit generalized entropic formulations of the uncertainty principle for an arbitrary pair of quantum observables in two-dimensional Hilbert space. R\'enyi entropy is used as uncertainty measure associated with the distribution…

For normalized sums $Z_n$ of i.i.d. random variables, we explore necessary and sufficient conditions which guarantee the normal approximation with respect to the R\'enyi divergence of infinite order. In terms of densities $p_n$ of $Z_n$,…

Minimum divergence estimators provide a natural choice of estimators in a statistical inference problem. Different properties of various families of these divergence measures such as Hellinger distance, power divergence, density power…

Given i.i.d samples from some unknown continuous density on hyper-rectangle $[0, 1]^d$, we attempt to learn a piecewise constant function that approximates this underlying density non-parametrically. Our density estimate is defined on a…

For nonlinear supervised learning models, assessing the importance of predictor variables or their interactions is not straightforward because it can vary in the domain of the variables. Importance can be assessed locally with sensitivity…

In this paper, we establish an exponential inequality for U-statistics of i.i.d. data, varying kernel and taking values in a separable Hilbert space. The bound are expressed as a sum of an exponential term plus an other one involving the…

We investigate the role of convexity in R\'enyi entropy power inequalities. After proving that a general R\'enyi entropy power inequality in the style of Bobkov-Chistyakov (2015) fails when the R\'enyi parameter $r\in(0,1)$, we show that…

We study the $\alpha$-$z$-R\'enyi divergences $D_{\alpha,z}(\psi\|\varphi)$ where $\alpha,z>0$ ($\alpha\ne1$) for normal positive functionals $\psi,\varphi$ on general von Neumann algebras, introduced in [S.~Kato and Y.~Ueda,…

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…

We introduce a divergence measure between data distributions based on operators in reproducing kernel Hilbert spaces defined by kernels. The empirical estimator of the divergence is computed using the eigenvalues of positive definite Gram…

This paper studies the complexity of estimating Renyi divergences of discrete distributions: $p$ observed from samples and the baseline distribution $q$ known \emph{a priori}. Extending the results of Acharya et al. (SODA'15) on estimating…

R\'enyi entropy of order \alpha is a general measure of entropy. In this paper we derive estimations for the R\'enyi entropy of the mixture of sources in terms of the entropy of the single sources. These relations allow to compute the…

We give an overview of various results and methods related to information-theoretic distances of R\'enyi type in the light of their applications to the central limit theorem (CLT). The first part (Sections 1-9) is devoted to the total…

For a real-valued measurable function $f$ and a nonnegative, nondecreasing function $\phi$, we first obtain a Chebyshev type inequality which provides an upper bound for $\displaystyle \phi(\lambda_{1}) \mu(\{x \in \Omega : f(x) \geq…