Related papers: Letter to the Editor
The expectation-maximization (EM) algorithm and its variants are widely used in statistics. In high-dimensional mixture linear regression, the model is assumed to be a finite mixture of linear regression and the number of predictors is much…
The EM algorithm is a powerful tool for maximum likelihood estimation with missing data. In practice, the calculations required for the EM algorithm are often intractable. We review numerous methods to circumvent this intractability, all of…
Multilevel Monte Carlo (MLMC) and unbiased estimators recently proposed by McLeish (Monte Carlo Methods Appl., 2011) and Rhee and Glynn (Oper. Res., 2015) are closely related. This connection is elaborated by presenting a new general class…
Online variants of the Expectation Maximization (EM) algorithm have recently been proposed to perform parameter inference with large data sets or data streams, in independent latent models and in hidden Markov models. Nevertheless, the…
It is known that the estimating equations for quantile regression (QR) can be solved using an EM algorithm in which the M-step is computed via weighted least squares, with weights computed at the E-step as the expectation of independent…
In regression applications, the presence of nonlinearity and correlation among observations offer computational challenges not only in traditional settings such as least squares regression, but also (and especially) when the objective…
Mixed linear regression (MLR) model is among the most exemplary statistical tools for modeling non-linear distributions using a mixture of linear models. When the additive noise in MLR model is Gaussian, Expectation-Maximization (EM)…
The multi-level Monte Carlo method proposed by M. Giles (2008) approximates the expectation of some functionals applied to a stochastic process with optimal order of convergence for the mean-square error. In this paper, a modified…
The expectation-maximization (EM) algorithm is a powerful computational technique for finding the maximum likelihood estimates for parametric models when the data are not fully observed. The EM is best suited for situations where the…
This paper is concerned with an important issue in finite mixture modelling, the selection of the number of mixing components. We propose a new penalized likelihood method for model selection of finite multivariate Gaussian mixture models.…
We present a novel technique for tailoring Bayesian quadrature (BQ) to model selection. The state-of-the-art for comparing the evidence of multiple models relies on Monte Carlo methods, which converge slowly and are unreliable for…
Mixtures-of-Experts models and their maximum likelihood estimation (MLE) via the EM algorithm have been thoroughly studied in the statistics and machine learning literature. They are subject of a growing investigation in the context of…
Mixed linear regression involves the recovery of two (or more) unknown vectors from unlabeled linear measurements; that is, where each sample comes from exactly one of the vectors, but we do not know which one. It is a classic problem, and…
This paper proposes a maximum-likelihood approach to jointly estimate marginal conditional quantiles of multivariate response variables in a linear regression framework. We consider a slight reparameterization of the Multivariate Asymmetric…
Latent class model (LCM), which is a finite mixture of different categorical distributions, is one of the most widely used models in statistics and machine learning fields. Because of its non-continuous nature and the flexibility in shape,…
The Expectation-Maximization (EM) algorithm is a popular choice for learning latent variable models. Variants of the EM have been initially introduced, using incremental updates to scale to large datasets, and using Monte Carlo (MC)…
Mendelian Randomization (MR) is a popular method in epidemiology and genetics that uses genetic variation as instrumental variables for causal inference. Existing MR methods usually assume most genetic variants are valid instrumental…
Partial differential equation is a powerful tool to characterize various physics systems. In practice, measurement errors are often present and probability models are employed to account for such uncertainties. In this paper, we present a…
This paper considers the challenging computational task of estimating nested expectations. Existing algorithms, such as nested Monte Carlo or multilevel Monte Carlo, are known to be consistent but require a large number of samples at both…
A mixture of experts models the conditional density of a response variable using a mixture of regression models with covariate-dependent mixture weights. We extend the finite mixture of experts model by allowing the parameters in both the…