Related papers: Estimation and Inference for High Dimensional Fact…

Linear mixed-effects models are widely used in analyzing clustered or repeated measures data. We propose a quasi-likelihood approach for estimation and inference of the unknown parameters in linear mixed-effects models with high-dimensional…

Modern data-driven and distributed learning frameworks deal with diverse massive data generated by clients spread across heterogeneous environments. Indeed, data heterogeneity is a major bottleneck in scaling up many distributed learning…

The Expectation-Maximization (EM) algorithm is a fundamental tool in unsupervised machine learning. It is often used as an efficient way to solve Maximum Likelihood (ML) estimation problems, especially for models with latent variables. It…

Expectation-Maximization (EM) algorithm is a widely used iterative algorithm for computing maximum likelihood estimate when dealing with Gaussian Mixture Model (GMM). When the sample size is smaller than the data dimension, this could lead…

Interval-censored multi-state data arise in many studies of chronic diseases, where the health status of a subject can be characterized by a finite number of disease states and the transition between any two states is only known to occur…

The expectation-maximization (EM) algorithm and its variants are widely used in statistics. In high-dimensional mixture linear regression, the model is assumed to be a finite mixture of linear regression and the number of predictors is much…

The modal factor model represents a new factor model for dimension reduction in high dimensional panel data. Unlike the approximate factor model that targets for the mean factors, it captures factors that influence the conditional mode of…

Finite mixture models have been widely used for the modelling and analysis of data from heterogeneous populations. Maximum likelihood estimation of the parameters is typically carried out via the Expectation-Maximization (EM) algorithm. The…

Simple exponential smoothing is widely used in forecasting economic time series. This is because it is quick to compute and it generally delivers accurate forecasts. On the other hand, its multivariate version has received little attention…

Expectation Maximization (EM) is among the most popular algorithms for estimating parameters of statistical models. However, EM, which is an iterative algorithm based on the maximum likelihood principle, is generally only guaranteed to find…

The Expectation Maximization (EM) algorithm is a versatile tool for model parameter estimation in latent data models. When processing large data sets or data stream however, EM becomes intractable since it requires the whole data set to be…

In dealing with high-dimensional data sets, factor models are often useful for dimension reduction. The estimation of factor models has been actively studied in various fields. In the first part of this paper, we present a new approach to…

The Expectation--Maximization (EM) algorithm is a simple meta-algorithm that has been used for many years as a methodology for statistical inference when there are missing measurements in the observed data or when the data is composed of…

This paper investigates the role of high-dimensional information sets in the context of Markov switching models with time varying transition probabilities. Markov switching models are commonly employed in empirical macroeconomic research…

Modeling of high-dimensional data is very important to categorize different classes. We develop a new mixture model called Multinomial cluster-weighted model (MCWM). We derive the identifiability of a general class of MCWM. We estimate the…

This paper considers the problem of robustly estimating the parameters of a heavy-tailed multivariate distribution when the covariance matrix is known to have the structure of a low-rank matrix plus a diagonal matrix as considered in factor…

We propose a flexible dual functional factor model for modelling high-dimensional functional time series. In this model, a high-dimensional fully functional factor parametrisation is imposed on the observed functional processes, whereas a…

A weighted likelihood technique for robust estimation of a multivariate Wrapped Normal distribution for data points scattered on a p-dimensional torus is proposed. The occurrence of outliers in the sample at hand can badly compromise…

Expectation Maximization (EM) is among the most popular algorithms for maximum likelihood estimation, but it is generally only guaranteed to find its stationary points of the log-likelihood objective. The goal of this article is to present…

This paper proposes a general switching dynamical system model, and a custom majorization-minimization-based algorithm EM++ for identifying its parameters. For certain families of distributions, such as Gaussian distributions, this…