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In this paper, we mainly focus on the penalized maximum likelihood estimation (MLE) of the high-dimensional approximate factor model. Since the current estimation procedure can not guarantee the positive definiteness of the error covariance…
Monte Carlo maximum likelihood (MCML) provides an elegant approach to find maximum likelihood estimators (MLEs) for latent variable models. However, MCML algorithms are computationally expensive when the latent variables are…
Approximate inference in probability models is a fundamental task in machine learning. Approximate inference provides powerful tools to Bayesian reasoning, decision making, and Bayesian deep learning. The main goal is to estimate the…
We consider distributed estimation of the inverse covariance matrix, also called the concentration or precision matrix, in Gaussian graphical models. Traditional centralized estimation often requires global inference of the covariance…
A new likelihood based AR approximation is given for ARMA models. The usual algorithms for the computation of the likelihood of an ARMA model require $O(n)$ flops per function evaluation. Using our new approximation, an algorithm is…
Latent Factor Model (LFM) is one of the most successful methods for Collaborative filtering (CF) in the recommendation system, in which both users and items are projected into a joint latent factor space. Base on matrix factorization…
In order to learn the complex features of large spatio-temporal data, models with large parameter sets are often required. However, estimating a large number of parameters is often infeasible due to the computational and memory costs of…
Recent advances in Markov chain Monte Carlo (MCMC) extend the scope of Bayesian inference to models for which the likelihood function is intractable. Although these developments allow us to estimate model parameters, other basic problems…
The variational autoencoder (VAE; Kingma, Welling (2014)) is a recently proposed generative model pairing a top-down generative network with a bottom-up recognition network which approximates posterior inference. It typically makes strong…
Nonlinear Mixed Effects models (NLME) models are widely used in pharmacometrics and related fields to analyze hierarchical and longitudinal data. However, as the number of parameters and random effects increases, traditional methods for…
Deep learning has revolutionized the last decade, being at the forefront of extraordinary advances in a wide range of tasks including computer vision, natural language processing, and reinforcement learning, to name but a few. However, it…
Factor model is a fundamental investment tool in quantitative investment, which can be empowered by deep learning to become more flexible and efficient in practical complicated investing situations. However, it is still an open question to…
Variational inference (VI) is a popular method for approximating intractable posterior distributions in Bayesian inference and probabilistic machine learning. In this paper, we introduce a general framework for quantifying the statistical…
Generalized linear models (GLMs) are fundamental tools for statistical modeling, with maximum likelihood estimation (MLE) serving as the classical approach for parameter inference. While MLE performs well for canonical GLMs, it can become…
When a missing process depends on the missing values themselves, it needs to be explicitly modelled and taken into account while doing likelihood-based inference. We present an approach for building and fitting deep latent variable models…
Accurate estimates of item difficulty are essential for valid assessment and effective adaptive learning. However, for newly created tasks, response data are typically unavailable. Pretesting and expert judgement can be costly and slow,…
Latent factor models (LFMs) such as matrix factorization achieve the state-of-the-art performance among various Collaborative Filtering (CF) approaches for recommendation. Despite the high recommendation accuracy of LFMs, a critical issue…
Use of machine learning to estimate nuisance functions (e.g. outcomes models, propensity score models) in estimators used in causal inference is increasingly common, as it can mitigate bias due to model misspecification. However, it can be…
Deep Learning (DL) methods have dramatically increased in popularity in recent years. While its initial success was demonstrated in the classification and manipulation of image data, there has been significant growth in the application of…
Likelihood-free inference methods typically make use of a distance between simulated and real data. A common example is the maximum mean discrepancy (MMD), which has previously been used for approximate Bayesian computation, minimum…