Related papers: Beyond Ridge Regression for Distribution-Free Data
Every student in statistics or data science learns early on that when the sample size largely exceeds the number of variables, fitting a logistic model produces estimates that are approximately unbiased. Every student also learns that there…
Reward-biased maximum likelihood estimation (RBMLE) is a classic principle in the adaptive control literature for tackling explore-exploit trade-offs. This paper studies the stochastic contextual bandit problem with general bounded reward…
Inspired by the connection between classical regret measures employed in universal prediction and R\'{e}nyi divergence, we introduce a new class of universal predictors that depend on a real parameter $\alpha\geq 1$. This class interpolates…
To avoid specification of the error distribution in a regression model, we propose a general nonparametric scale mixture model for the error distribution. For fitting such mixtures, the predictive recursion method is a simple and…
Linear regression is a classical paradigm in statistics. A new look at it is provided via the lens of universal learning. In applying universal learning to linear regression the hypotheses class represents the label $y\in {\cal R}$ as a…
Learning a transition model via Maximum Likelihood Estimation (MLE) followed by planning inside the learned model is perhaps the most standard and simplest Model-based Reinforcement Learning (RL) framework. In this work, we show that such a…
We consider the parameter estimation problem of a probabilistic generative model prescribed using a natural exponential family of distributions. For this problem, the typical maximum likelihood estimator usually overfits under limited…
The linear regression model with a random variable (RV) measurement matrix, where the mean of the random measurement matrix has full column rank, has been extensively studied. In particular, the quasiconvexity of the maximum likelihood…
Score matching is an alternative to maximum likelihood (ML) for estimating a probability distribution parametrized up to a constant of proportionality. By fitting the ''score'' of the distribution, it sidesteps the need to compute this…
This study introduces the Misclassification Likelihood Matrix (MLM) as a novel tool for quantifying the reliability of neural network predictions under distribution shifts. The MLM is obtained by leveraging softmax outputs and clustering…
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…
Linear regression is a fundamental and popular statistical method. There are various kinds of linear regression, such as mean regression and quantile regression. In this paper, we propose a new one called distribution regression, which…
In a mixture of linear regression model, the regression coefficients are treated as random vectors that may follow either a continuous or discrete distribution. We propose two Expectation-Maximization (EM) algorithms to estimate this prior…
Introduced by Kiefer and Wolfowitz \cite{KW56}, the nonparametric maximum likelihood estimator (NPMLE) is a widely used methodology for learning mixture odels and empirical Bayes estimation. Sidestepping the non-convexity in mixture…
Missing data are inevitable in longitudinal studies. Traditional methods, such as the full information maximum likelihood (FIML), are commonly used to handle ignorable missing data. However, they may lead to biased model estimation due to…
Ridge leverage scores provide a balance between low-rank approximation and regularization, and are ubiquitous in randomized linear algebra and machine learning. Deterministic algorithms are also of interest in the moderately big data…
Maximum likelihood is the most widely used statistical estimation technique. Recent work by the authors introduced a general methodology for the construction of estimators for functionals in parametric models, and demonstrated improvements…
We consider a regression setting where observations are collected in different environments modeled by different data distributions. The field of out-of-distribution (OOD) generalization aims to design methods that generalize better to test…
Model-based Reinforcement Learning (MBRL) has been widely adapted due to its sample efficiency. However, existing worst-case regret analysis typically requires optimistic planning, which is not realistic in general. In contrast, motivated…
Model agnostic meta-learning (MAML) is a popular state-of-the-art meta-learning algorithm that provides good weight initialization of a model given a variety of learning tasks. The model initialized by provided weight can be fine-tuned to…