Related papers: Simulating Gaussian vectors via randomized dimensi…

Variational approximation methods have proven to be useful for scaling Bayesian computations to large data sets and highly parametrized models. Applying variational methods involves solving an optimization problem, and recent research in…

We study principal component analysis (PCA) for mean zero i.i.d. Gaussian observations $X_1,\dots, X_n$ in a separable Hilbert space $\mathbb{H}$ with unknown covariance operator $\Sigma.$ The complexity of the problem is characterized by…

In applications involving ordinal predictors, common approaches to reduce dimensionality are either extensions of unsupervised techniques such as principal component analysis, or variable selection procedures that rely on modeling the…

Consider the problem of estimating the mean of a Gaussian random vector when the mean vector is assumed to be in a given convex set. The most natural solution is to take the Euclidean projection of the data vector on to this convex set; in…

Principal component analysis (PCA) is a standard dimensionality reduction technique used in various research and applied fields. From an algorithmic point of view, classical PCA can be formulated in terms of operations on a multivariate…

Many applications, such as photon-limited imaging and genomics, involve large datasets with noisy entries from exponential family distributions. It is of interest to estimate the covariance structure and principal components of the…

There is increasing interest in the problem of nonparametric regression with high-dimensional predictors. When the number of predictors $D$ is large, one encounters a daunting problem in attempting to estimate a $D$-dimensional surface…

We consider two problems of estimation in high-dimensional Gaussian models. The first problem is that of estimating a linear functional of the means of $n$ independent $p$-dimensional Gaussian vectors, under the assumption that most of…

We propose a new method for simplification of Gaussian process (GP) models by projecting the information contained in the full encompassing model and selecting a reduced number of variables based on their predictive relevance. Our results…

This paper investigates the performance of the Generalized Covariance estimator (GCov) in estimating and identifying mixed causal and noncausal models. The GCov estimator is a semi-parametric method that minimizes an objective function…

We consider the problem of decomposing a large covariance matrix into the sum of a low-rank matrix and a diagonally dominant matrix, and we call this problem the "Diagonally-Dominant Principal Component Analysis (DD-PCA)". DD-PCA is an…

Matrix factor models have been growing popular dimension reduction tools for large-dimensional matrix time series. However, the heteroscedasticity of the idiosyncratic components has barely received any attention. Starting from the pseudo…

This paper considers the estimation and inference of the low-rank components in high-dimensional matrix-variate factor models, where each dimension of the matrix-variates ($p \times q$) is comparable to or greater than the number of…

We construct an unbiased estimator for function value evaluated at the solution of a partial differential equation with random coefficients. We show that the variance and expected computational cost of our estimator are finite and our…

Principal components analysis (PCA) is a classical method for the reduction of dimensionality of data in the form of n observations (or cases) of a vector with p variables. For a simple model of factor analysis type, it is proved that…

Principal component analysis (PCA) is a classical dimension reduction method which projects data onto the principal subspace spanned by the leading eigenvectors of the covariance matrix. However, it behaves poorly when the number of…

Implementing Bayesian variable selection for linear Gaussian regression models for analysing high dimensional data sets is of current interest in many fields. In order to make such analysis operational, we propose a new sampling algorithm…

Estimating the left tail of quadratic forms in Gaussian random vectors is of major practical importance in many applications. In this paper, we propose an efficient and robust importance sampling estimator that is endowed with the bounded…

Many statistical estimation techniques for high-dimensional or functional data are based on a preliminary dimension reduction step, which consists in projecting the sample $\bX_1, \hdots, \bX_n$ onto the first $D$ eigenvectors of the…

Conventional variational autoencoders fail in modeling correlations between data points due to their use of factorized priors. Amortized Gaussian process inference through GP-VAEs has led to significant improvements in this regard, but is…