Related papers: Multivariate, Heteroscedastic Empirical Bayes via …

Demixing problems in many areas such as hyperspectral imaging and differential optical absorption spectroscopy (DOAS) often require finding sparse nonnegative linear combinations of dictionary elements that match observed data. We show how…

In high-dimensional Bayesian statistics, various methods have been developed, including prior distributions that induce parameter sparsity to handle many parameters. Yet, these approaches often overlook the rich spectral structure of the…

Bayesian inference provides a flexible way of combining data with prior information. However, quantile regression is not equipped with a parametric likelihood, and therefore, Bayesian inference for quantile regression demands careful…

In this article, we revisit the problem of fitting a mixture model under the assumption that the mixture components are symmetric and log-concave. To this end, we first study the nonparametric maximum likelihood estimation (NPMLE) of a…

Maximum a posteriori (MAP) estimation, like all Bayesian methods, depends on prior assumptions. These assumptions are often chosen to promote specific features in the recovered estimate. The form of the chosen prior determines the shape of…

This paper develops a bias correction scheme for a multivariate heteroskedastic errors-in-variables model. The applicability of this model is justified in areas such as astrophysics, epidemiology and analytical chemistry, where the…

This paper studies nonparametric empirical Bayes methods in a heterogeneous parameters framework that features unknown means and variances. We provide extended Tweedie's formulae that express the (infeasible) optimal estimators of…

Cosmological experiments often employ Bayesian workflows to derive constraints on cosmological and astrophysical parameters from their data. It has been shown that these constraints can be combined across different probes such as Planck and…

We consider the problem of empirical Bayes estimation for (multivariate) Poisson means. Existing solutions that have been shown theoretically optimal for minimizing the regret (excess risk over the Bayesian oracle that knows the prior) have…

Parameter inference is a fundamental problem in data-driven modeling. Given observed data that is believed to be a realization of some parameterized model, the aim is to find parameter values that are able to explain the observed data. In…

We consider the problem of making nonparametric inference in a class of multi-dimensional diffusions in divergence form, from low-frequency data. Statistical analysis in this setting is notoriously challenging due to the intractability of…

We consider the problem of estimating parameters of stochastic differential equations (SDEs) with discrete-time observations that are either completely or partially observed. The transition density between two observations is generally…

Metabolic monitoring and reaction rate estimation using hyperpolarized NMR technology requires accurate quantitative analysis of multidimensional data scenarios. Currently, this analysis is often performed in a two-stage procedure, which is…

Particle filtering algorithms have enabled practical solutions to problems in autonomous robotics (self-driving cars, UAVs, warehouse robots), target tracking, and econometrics, with further applications in speech processing and medicine…

We consider the problem of predictive density estimation under Kullback-Leibler loss in a high-dimensional Gaussian model with exact sparsity constraints on the location parameters. We study the first order asymptotic minimax risk of Bayes…

We unify $\textit{kernel density estimation}$ and $\textit{empirical Bayes}$ and address a set of problems in unsupervised learning with a geometric interpretation of those methods, rooted in the $\textit{concentration of measure}$…

In the sparse normal means model, convergence of the Bayesian posterior distribution associated to spike and slab prior distributions is considered. The key sparsity hyperparameter is calibrated via marginal maximum likelihood empirical…

We consider a Bayesian approach to model selection in Gaussian linear regression, where the number of predictors might be much larger than the number of observations. From a frequentist view, the proposed procedure results in the penalized…

The posterior probability distribution for a set of model parameters encodes all that the data have to tell us in the context of a given model; it is the fundamental quantity for Bayesian parameter estimation. In order to infer the…

Bayesian hierarchical models have been demonstrated to provide efficient algorithms for finding sparse solutions to ill-posed inverse problems. The models comprise typically a conditionally Gaussian prior model for the unknown, augmented by…