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Numerical simulations are crucial for modeling complex systems, but calibrating them becomes challenging when data are noisy or incomplete and likelihood evaluations are computationally expensive. Bayesian calibration offers an interesting…

In an indirect Gaussian sequence space model lower and upper bounds are derived for the concentration rate of the posterior distribution of the parameter of interest shrinking to the parameter value $\theta^\circ$ that generates the data.…

Statistics Theory · Mathematics 2015-02-03 Jan Johannes , Anna Simoni , Rudolf Schenk

We consider the problem of combining a (possibly uncountably infinite) set of affine estimators in non-parametric regression model with heteroscedastic Gaussian noise. Focusing on the exponentially weighted aggregate, we prove a…

Statistics Theory · Mathematics 2013-03-25 Arnak Dalalyan , Joseph Salmon

Bayesian predictive inference provides a coherent description of entire predictive uncertainty through predictive distributions. We examine several widely used sparsity priors from the predictive (as opposed to estimation) inference…

Statistics Theory · Mathematics 2024-06-03 Veronika Rockova

Bayesian neural learning feature a rigorous approach to estimation and uncertainty quantification via the posterior distribution of weights that represent knowledge of the neural network. This not only provides point estimates of optimal…

Machine Learning · Computer Science 2018-11-13 Rohitash Chandra , Konark Jain , Ratneel V. Deo , Sally Cripps

We consider the fractional posterior distribution that is obtained by updating a prior distribution via Bayes theorem with a fractional likelihood function, a usual likelihood function raised to a fractional power. First, we analyze the…

Statistics Theory · Mathematics 2016-11-08 Anirban Bhattacharya , Debdeep Pati , Yun Yang

This paper is about variable selection, clustering and estimation in an unsupervised high-dimensional setting. Our approach is based on fitting constrained Gaussian mixture models, where we learn the number of clusters $K$ and the set of…

Machine Learning · Statistics 2014-02-03 Stephane Gaiffas , Bertrand Michel

The present paper is about estimation and prediction in high-dimensional additive models under a sparsity assumption ($p\gg n$ paradigm). A PAC-Bayesian strategy is investigated, delivering oracle inequalities in probability. The…

Methodology · Statistics 2018-05-22 Benjamin Guedj , Pierre Alquier

This paper investigates sparse high-dimensional linear regression, particularly examining the properties of the posterior under conditions of random design and unknown error variance. We provide consistency results for the posterior and…

Statistics Theory · Mathematics 2024-05-30 The Tien Mai

We give oracle inequalities on procedures which combines quantization and variable selection via a weighted Lasso $k$-means type algorithm. The results are derived for a general family of weights, which can be tuned to size the influence of…

Statistics Theory · Mathematics 2016-07-07 Clément Levrard

The multi-index model with sparse dimension reduction matrix is a popular approach to circumvent the curse of dimensionality in a high-dimensional regression setting. Building on the single-index analysis by Alquier, P. & Biau, G. (Journal…

Statistics Theory · Mathematics 2026-03-31 Maximilian F. Steffen

We study full Bayesian procedures for high-dimensional linear regression under sparsity constraints. The prior is a mixture of point masses at zero and continuous distributions. Under compatibility conditions on the design matrix, the…

Statistics Theory · Mathematics 2015-10-15 Ismaël Castillo , Johannes Schmidt-Hieber , Aad van der Vaart

We consider the problem of estimating a sparse linear regression vector $\beta^*$ under a gaussian noise model, for the purpose of both prediction and model selection. We assume that prior knowledge is available on the sparsity pattern,…

Statistics Theory · Mathematics 2012-08-21 Karim Lounici , Massimiliano Pontil , Alexandre B. Tsybakov , Sara van de Geer

Quantile regression, a robust method for estimating conditional quantiles, has advanced significantly in fields such as econometrics, statistics, and machine learning. In high-dimensional settings, where the number of covariates exceeds…

Machine Learning · Statistics 2024-09-04 The Tien Mai

We study spike-and-slab priors for generalized linear models with possible grouped sparsity. The main result is an oracle Bernstein--von Mises theorem for the fractional posterior under supportwise likelihood assumptions. The proof develops…

Statistics Theory · Mathematics 2026-05-27 Hanqing Li , Xuewen Lu

Recent theoretical studies proved that deep neural network (DNN) estimators obtained by minimizing empirical risk with a certain sparsity constraint can attain optimal convergence rates for regression and classification problems. However,…

Statistics Theory · Mathematics 2021-08-10 Ilsang Ohn , Yongdai Kim

Recently, there has been a significant focus on exploring the theoretical aspects of deep learning, especially regarding its performance in classification tasks. Bayesian deep learning has emerged as a unified probabilistic framework,…

Statistics Theory · Mathematics 2025-01-24 The Tien Mai

Neural networks are popular state-of-the-art models for many different tasks.They are often trained via back-propagation to find a value of the weights that correctly predicts the observed data. Although back-propagation has shown good…

Machine Learning · Statistics 2020-12-29 Simón Rodríguez Santana , Daniel Hernández-Lobato

We consider the problem of aggregating the elements of a possibly infinite dictionary for building a decision procedure that aims at minimizing a given criterion. Along with the dictionary, an independent identically distributed training…

Statistics Theory · Mathematics 2013-03-25 Arnak S. Dalalyan , Alexandre B. Tsybakov

We offer a general Bayes theoretic framework to derive posterior contraction rates under a hierarchical prior design: the first-step prior serves to assess the model selection uncertainty, and the second-step prior quantifies the prior…

Statistics Theory · Mathematics 2021-02-12 Qiyang Han
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