Related papers: Bayesian Simultaneous Estimation for Means in $k$ …

We propose a high dimensional mean test framework for shrinking random variables, where the underlying random variables shrink to zero as the sample size increases. By pooling observations across overlapping subsets of dimensions, we…

The present work describes simulation studies to compare the performances of bayesian wavelet shrinkage methods in estimating component curves from aggregated functional data. To do so, five methods were considered: the bayesian shrinkage…

This is a follow-up paper of Polson and Scott (2012, Bayesian Analysis), which claimed that the half-Cauchy prior is a sensible default prior for a scale parameter in hierarchical models. For estimation of a p-variate normal mean under the…

In this paper, we propose a scalable Bayesian method for sparse covariance matrix estimation by incorporating a continuous shrinkage prior with a screening procedure. In the first step of the procedure, the off-diagonal elements with small…

The James-Stein estimator is an estimator of the multivariate normal mean and dominates the maximum likelihood estimator (MLE) under squared error loss. The original work inspired great interest in developing shrinkage estimators for a…

In this paper we develop a new general Bayesian methodology that simultaneously estimates parameters of interest and the marginal likelihood of the model. The proposed methodology builds on Simulated Tempering, which is a powerful algorithm…

The paper addresses asymptotic estimation of normal means under sparsity. The primary focus is estimation of multivariate normal means where we obtain exact asymptotic minimax error under global-local shrinkage prior. This extends the…

In this paper we propose a semi-parametric Bayesian Generalized Least Squares estimator. In a generic setting where each error is a vector, the parametric Generalized Least Square estimator maintains the assumption that each error vector…

In recent years, a rich variety of shrinkage priors have been proposed that have great promise in addressing massive regression problems. In general, these new priors can be expressed as scale mixtures of normals, but have more complex…

We resurrect the infamous harmonic mean estimator for computing the marginal likelihood (Bayesian evidence) and solve its problematic large variance. The marginal likelihood is a key component of Bayesian model selection to evaluate model…

We consider the problem of estimating the means $\mu_i$ of $n$ random variables $Y_i \sim N(\mu_i,1)$, $i=1,\ldots ,n$. Assuming some structure on the $\mu$ process, e.g., a state space model, one may use a summary statistics for the…

This paper proposes a family of estimators of population mean using information on several auxiliary variables and analyzes its properties in the presence of measurement errors.

A popular regularized (shrinkage) covariance estimator is the shrinkage sample covariance matrix (SCM) which shares the same set of eigenvectors as the SCM but shrinks its eigenvalues toward its grand mean. In this paper, a more general…

In this paper, we propose the application of shrinkage strategies to estimate coefficients in the Bell regression models when prior information about the coefficients is available. The Bell regression models are well-suited for modeling…

This paper proposes a flexible Bayesian approach to multiple imputation using conditional Gaussian mixtures. We introduce novel shrinkage priors for covariate-dependent mixing proportions in the mixture models to automatically select the…

This paper addresses the problem of sparse phase retrieval, a fundamental inverse problem in applied mathematics, physics, and engineering, where a signal need to be reconstructed using only the magnitude of its transformation while phase…

This paper studies the sparse normal mean models under the empirical Bayes framework. We focus on the mixture priors with an atom at zero and a density component centered at a data driven location determined by maximizing the marginal…

Suppose we observe a Poisson process in real time for which the intensity may take on two possible values $\lambda_0$ and $\lambda_1$. Suppose further that the priori probability of the true intensity is not given. We solve a minimax…

The problem of low-rank matrix estimation recently received a lot of attention due to challenging applications. A lot of work has been done on rank-penalized methods and convex relaxation, both on the theoretical and applied sides. However,…

This paper presents algorithms for temporal parallelization of Bayesian smoothers. We define the elements and the operators to pose these problems as the solutions to all-prefix-sums operations for which efficient parallel scan-algorithms…