Related papers: Second order Stein: SURE for SURE and other applic…

Let $S_{n}$ be a sum of independent identically distribution random variables with finite first moment and $h_{M}$ be a call function defined by $g_{M}(x)=\max\{x-M,0\}$ for $x\in\mathbb{R}$, $M>0$. In this paper, we assume the random…

We consider estimating the parametric components of semi-parametric multiple index models in a high-dimensional and non-Gaussian setting. Such models form a rich class of non-linear models with applications to signal processing, machine…

Stein's method for Gaussian process approximation can be used to bound the differences between the expectations of smooth functionals $h$ of a c\`adl\`ag random process $X$ of interest and the expectations of the same functionals of a well…

Randomized zeroth-order methods are classically analyzed in expectation, but a black-box Markov conversion can give misleading high-probability guarantees, in particular by forcing the finite-difference smoothing radius to shrink with the…

Gaussian process regression is used throughout statistics and machine learning for prediction and uncertainty quantification. A Gaussian process is specified by its mean and covariance functions. Many covariance functions, including…

In this paper we propose a new, simple and explicit mechanism allowing to derive Stein operators for random variables whose characteristic function satisfies a simple ODE. We apply this to study random variables which can be represented as…

We build upon recent advances on the distributional aspect of Stein's method to propose a novel and flexible technique for computing Stein operators for random variables that can be written as products of independent random variables. We…

We establish normal approximation in the Wasserstein metric for both non-degenerate and degenerate second-order U-statistics under cross-sectional dependence using Stein's method. For the non-degenerate case, our results extend recent…

Using techniques from harmonic analysis, we derive several sharp stability estimates for the second order Heisenberg Uncertainty Principle. We also present the explicit lower and upper bounds for the sharp stability constants and compute…

This paper concerns the analysis of random second order linear differential equations. Usually, solving these equations consists of computing the first statistics of the response process, and that task has been an essential goal in the…

In stochastic variational inference, use of the reparametrization trick for the multivariate Gaussian gives rise to efficient updates for the mean and Cholesky factor of the covariance matrix, which depend on the first order derivative of…

In large-scale regression problems, random Fourier features (RFFs) have significantly enhanced the computational scalability and flexibility of Gaussian processes (GPs) by defining kernels through their spectral density, from which a finite…

Stein discrepancies (SDs) monitor convergence and non-convergence in approximate inference when exact integration and sampling are intractable. However, the computation of a Stein discrepancy can be prohibitive if the Stein operator - often…

We propose a general purpose variational inference algorithm that forms a natural counterpart of gradient descent for optimization. Our method iteratively transports a set of particles to match the target distribution, by applying a form of…

Consider estimating a structured signal $\mathbf{x}_0$ from linear, underdetermined and noisy measurements $\mathbf{y}=\mathbf{A}\mathbf{x}_0+\mathbf{z}$, via solving a variant of the lasso algorithm: $\hat{\mathbf{x}}=\arg\min_\mathbf{x}\{…

We develop Stein's method for $\alpha$-stable approximation with $\alpha\in(0,1]$, continuing the recent line of research by Xu \cite{lihu} and Chen, Nourdin and Xu \cite{C-N-X} in the case $\alpha\in(1,2).$ The main results include an…

We present a straightforward formulation of Stein's method for the semicircular distribution, specifically designed for the analysis of non-commutative random variables. Our approach employs a non-commutative version of Stein's heuristic,…

When the available information is noisy zeroth-order (ZO) oracle, stochastic approximation methods are popular for estimating the root of the multivariate gradient equation. Inspired by the Stein's identity, this work establishes a novel…

This work presents the first systematic development of Stein's method for matrix distributions. We establish the basic essential ingredients of Stein's method for matrix normal approximation: we derive a generator-based Stein identity from…

Purpose: Parallel imaging methods in MRI have resulted in faster acquisition times and improved noise performance. ESPIRiT is one such technique that estimates coil sensitivity maps from the auto-calibration region using an eigenvalue-based…