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We study modeling and inference with the Elliptical Gamma Distribution (EGD). We consider maximum likelihood (ML) estimation for EGD scatter matrices, a task for which we develop new fixed-point algorithms. Our algorithms are efficient and…
We propose QPALM, a nonconvex quadratic programming (QP) solver based on the proximal augmented Lagrangian method. This method solves a sequence of inner subproblems which can be enforced to be strongly convex and which therefore admit a…
Improved EM strategies, based on the idea of efficient data augmentation (Meng and van Dyk 1997, 1998), are presented for ML estimation of mixture proportions. The resulting algorithms inherit the simplicity, ease of implementation, and…
In the present paper, we derive lower bounds for the risk of the nonparametric empirical Bayes estimators. In order to attain the optimal convergence rate, we propose generalization of the linear empirical Bayes estimation method which…
The likelihood function of a finite mixture model is a non-convex function with multiple local maxima and commonly used iterative algorithms such as EM will converge to different solutions depending on initial conditions. In this paper we…
For the nonparametric estimation of multivariate finite mixture models with the conditional independence assumption, we propose a new formulation of the objective function in terms of penalized smoothed Kullback-Leibler distance. The…
Maximum likelihood (ML) estimation using Newton's method in nonlinear state space models (SSMs) is a challenging problem due to the analytical intractability of the log-likelihood and its gradient and Hessian. We estimate the gradient and…
In this study, we introduce an innovative methodology aimed at enhancing Fisher's Linear Discriminant Analysis (LDA) in the context of high-dimensional data classification scenarios, specifically addressing situations where each feature…
This paper investigates solving convex composite optimization on an undirected network, where each node, privately endowed with a smooth component function and a nonsmooth one, is required to minimize the sum of all the component functions…
Non-parametric maximum likelihood estimation encompasses a group of classic methods to estimate distribution-associated functions from potentially censored and truncated data, with extensive applications in survival analysis. These methods,…
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…
In nonlinear deterministic parameter estimation, the maximum likelihood estimator (MLE) is unable to attain the Cramer-Rao lower bound at low and medium signal-to-noise ratios (SNR) due the threshold and ambiguity phenomena. In order to…
We propose the approximate Laplace approximation (ALA) to evaluate integrated likelihoods, a bottleneck in Bayesian model selection. The Laplace approximation (LA) is a popular tool that speeds up such computation and equips strong model…
Unsupervised spectral unmixing consists of representing each observed pixel as a combination of several pure materials called endmembers with their corresponding abundance fractions. Beyond the linear assumption, various nonlinear unmixing…
Incorporating a non-Euclidean variable metric to first-order algorithms is known to bring enhancement. However, due to the lack of an optimal choice, such an enhancement appears significantly underestimated. In this work, we establish a…
This work proposes ensemble Kalman randomized maximum likelihood estimation, a new derivative-free method for performing randomized maximum likelihood estimation, which is a method that can be used to generate approximate samples from…
We propose a nonconvex estimator for joint multivariate regression and precision matrix estimation in the high dimensional regime, under sparsity constraints. A gradient descent algorithm with hard thresholding is developed to solve the…
The computation of the maximum likelihood (ML) estimator for heteroscedastic regression models is considered. The traditional Newton algorithms for the problem require matrix multiplications and inversions, which are bottlenecks in modern…
In this paper, we propose a novel solution for non-convex problems of multiple variables, especially for those typically solved by an alternating minimization (AM) strategy that splits the original optimization problem into a set of…
Distributed statistical inference has recently attracted immense attention. The asymptotic efficiency of the maximum likelihood estimator (MLE), the one-step MLE, and the aggregated estimating equation estimator are established for…