Related papers: Letter to the Editor
Expectation maximization (EM) is a technique for estimating maximum-likelihood parameters of a latent variable model given observed data by alternating between taking expectations of sufficient statistics, and maximizing the expected log…
We congratulate Samuel Kou, Qing Zhou and Wing Wong [math.ST/0507080] (referred to subsequently as KZW) for this beautifully written paper, which opens a new direction in Monte Carlo computation. This discussion has two parts. First, we…
This paper proposes a new approach for Bayesian and maximum likelihood parameter estimation for stationary Gaussian processes observed on a large lattice with missing values. We propose an MCMC approach for Bayesian inference, and a Monte…
Mixture modeling is a general technique for making any simple model more expressive through weighted combination. This generality and simplicity in part explains the success of the Expectation Maximization (EM) algorithm, in which updates…
A grand canonical Monte Carlo (MC) algorithm is presented for studying the lattice gas model (LGM) of multiple protein sequence alignment, which coherently combines long-range interactions and variable-length insertions. MC simulations are…
The expectation maximization (EM) algorithm is a widespread method for empirical Bayesian inference, but its expectation step (E-step) is often intractable. Employing a stochastic approximation scheme with Markov chain Monte Carlo (MCMC)…
We propose convenient inferential methods for potentially nonstationary multivariate unobserved components models with fractional integration and cointegration. Based on finite-order ARMA approximations in the state space representation,…
This paper contributes to the literature on treatment effects estimation with machine learning inspired methods by studying the performance of different estimators based on the Lasso. Building on recent work in the field of high-dimensional…
We study a group lasso estimator for the multivariate linear regression model that accounts for correlated error terms. A block coordinate descent algorithm is used to compute this estimator. We perform a simulation study with categorical…
Expectation-Maximization (EM) algorithm is a widely used iterative algorithm for computing (local) maximum likelihood estimate (MLE). It can be used in an extensive range of problems, including the clustering of data based on the Gaussian…
A new multivariate integer-valued Generalized AutoRegressive Conditional Heteroscedastic process based on a multivariate Poisson generalized inverse Gaussian distribution is proposed. The estimation of parameters of the proposed…
This paper studies multi-level stochastic approximation algorithms. Our aim is to extend the scope of the multilevel Monte Carlo method recently introduced by Giles (Giles 2008) to the framework of stochastic optimization by means of…
As large language models (LLMs) continue to advance, accurately and comprehensively evaluating their performance becomes increasingly challenging. Ranking the relative performance of LLMs based on Elo ratings, according to human judgment,…
Mixture models provide a flexible representation of heterogeneity in a finite number of latent classes. From the Bayesian point of view, Markov Chain Monte Carlo methods provide a way to draw inferences from these models. In particular,…
Bai (2010) and Bai et al. (2012) proposed robust mixture regression method based on the M regression estimation. However, the M-estimators are robust against the outliers in response variables, but they are not robust against the outliers…
Despite the rapid development of computational hardware, the treatment of large and high dimensional data sets is still a challenging problem. This paper provides a twofold contribution to the topic. First, we propose a Gaussian Mixture…
In spite of the recent surge of interest in quantile regression, joint estimation of linear quantile planes remains a great challenge in statistics and econometrics. We propose a novel parametrization that characterizes any collection of…
Many applications require that we learn the parameters of a model from data. EM is a method used to learn the parameters of probabilistic models for which the data for some of the variables in the models is either missing or hidden. There…
High-dimensional variable selection, with many more covariates than observations, is widely documented in standard regression models, but there are still few tools to address it in non-linear mixed-effects models where data are collected…
The Linear Ballistic Accumulator (Brown & Heathcote, 2008) model is used as a measurement tool to answer questions about applied psychology. The analyses based on this model depend upon the model selected and its estimated parameters.…