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In this paper, we present a novel approach to geostatistical filtering which tackles two challenges encountered when applying this method to complex spatial datasets: modeling the non-stationarity of the data while still being able to work…
Factor analysis is a widely used technique for dimension reduction in high-dimensional data. However, a key challenge in factor models lies in the interpretability of the latent factors. One intuitive way to interpret these factors is…
In this paper, we propose a novel variable selection approach in the framework of multivariate linear models taking into account the dependence that may exist between the responses. It consists in estimating beforehand the covariance matrix…
We propose a new measure of variable importance in high-dimensional regression based on the change in the LASSO solution path when one covariate is left out. The proposed procedure provides a novel way to calculate variable importance and…
We study the estimation of a high dimensional approximate factor model in the presence of both cross sectional dependence and heteroskedasticity. The classical method of principal components analysis (PCA) does not efficiently estimate the…
Factor analysis is a flexible technique for assessment of multivariate dependence and codependence. Besides being an exploratory tool used to reduce the dimensionality of multivariate data, it allows estimation of common factors that often…
In life sciences, the experts generally use empirical knowledge to recode variables, choose interactions and perform selection by classical approach. The aim of this work is to perform automatic learning algorithm for variables selection…
Most of previous works and applications of Bayesian factor model have assumed the normal likelihood regardless of its validity. We propose a Bayesian factor model for heavy-tailed high-dimensional data based on multivariate Student-$t$…
We propose methodology for statistical inference for low-dimensional parameters of sparse precision matrices in a high-dimensional setting. Our method leads to a non-sparse estimator of the precision matrix whose entries have a Gaussian…
The lasso has been studied extensively as a tool for estimating the coefficient vector in the high-dimensional linear model; however, considerably less is known about estimating the error variance in this context. In this paper, we propose…
The is no other model or hypothesis verification tool in Bayesian statistics that is as widely used as the Bayes factor. We focus on generative models that are likelihood-free and, therefore, render the computation of Bayes factors…
Physics-based covariance models provide a systematic way to construct covariance models that are consistent with the underlying physical laws in Gaussian process analysis. The unknown parameters in the covariance models can be estimated…
Likelihood-free Bayesian inference algorithms are popular methods for calibrating the parameters of complex, stochastic models, required when the likelihood of the observed data is intractable. These algorithms characteristically rely…
Estimation of a precision matrix (i.e., inverse covariance matrix) is widely used to exploit conditional independence among continuous variables. The influence of abnormal observations is exacerbated in a high dimensional setting as the…
Gaussian process state-space models (GPSSMs) provide a principled and flexible approach to modeling the dynamics of a latent state, which is observed at discrete-time points via a likelihood model. However, inference in GPSSMs is…
Large-dimensional factor model has drawn much attention in the big-data era, in order to reduce the dimensionality and extract underlying features using a few latent common factors. Conventional methods for estimating the factor model…
We study a novel large dimensional approximate factor model with regime changes in the loadings driven by a latent first order Markov process. By exploiting the equivalent linear representation of the model, we first recover the latent…
Searching for new effective risk factors on stock returns is an important research topic in asset pricing. Factor modeling is an active research topic in statistics and econometrics, with many new advances. However, these new methods have…
Factor analysis aims to determine latent factors, or traits, which summarize a given data set. Inter-battery factor analysis extends this notion to multiple views of the data. In this paper we show how a nonlinear, nonparametric version of…
Bayesian models often involve a small set of hyperparameters determined by maximizing the marginal likelihood. Bayesian optimization is a popular iterative method where a Gaussian process posterior of the underlying function is sequentially…