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In linear regression we wish to estimate the optimum linear least squares predictor for a distribution over $d$-dimensional input points and real-valued responses, based on a small sample. Under standard random design analysis, where the…
Principal component analysis (PCA) is a widely used dimension reduction technique in machine learning and multivariate statistics. To improve the interpretability of PCA, various approaches to obtain sparse principal direction loadings have…
We consider the problem of estimating the conditional mean of a real Gaussian variable $\nolinebreak Y=\sum_{i=1}^p\nolinebreak\theta_iX_i+\nolinebreak \epsilon$ where the vector of the covariates $(X_i)_{1\leq i\leq p}$ follows a joint…
We propose methodology for statistical inference for low-dimensional parameters of sparse precision matrices in a high-dimensional setting. Our method leads to a non-sparse estimator of the precision matrix whose entries have a Gaussian…
Multivariate imputation by chained equations (MICE) is one of the most popular approaches to address missing values in a data set. This approach requires specifying a univariate imputation model for every variable under imputation. The…
Principal component analysis (PCA) is fundamental to statistical machine learning. It extracts latent principal factors that contribute to the most variation of the data. When data are stored across multiple machines, however, communication…
Estimation of the covariance matrix has attracted a lot of attention of the statistical research community over the years, partially due to important applications such as Principal Component Analysis. However, frequently used empirical…
The efficient simulation of the mean value of a non-linear functional of the solution to a linear stochastic partial differential equation (SPDE) with additive Gaussian noise is considered. A Galerkin finite element method is employed along…
Variational inference techniques based on inducing variables provide an elegant framework for scalable posterior estimation in Gaussian process (GP) models. Besides enabling scalability, one of their main advantages over sparse…
In this paper, we consider the sparse eigenvalue problem wherein the goal is to obtain a sparse solution to the generalized eigenvalue problem. We achieve this by constraining the cardinality of the solution to the generalized eigenvalue…
We study the problem of high-dimensional covariance estimation under the constraint that the partial correlations are nonnegative. The sign constraints dramatically simplify estimation: the Gaussian maximum likelihood estimator is well…
Principal Component Analysis (PCA) is a well known procedure to reduce intrinsic complexity of a dataset, essentially through simplifying the covariance structure or the correlation structure. We introduce a novel algebraic, model-based…
We propose a new algorithm for sparse estimation of eigenvectors in generalized eigenvalue problems (GEP). The GEP arises in a number of modern data-analytic situations and statistical methods, including principal component analysis (PCA),…
This paper introduces a Projected Principal Component Analysis (Projected-PCA), which employs principal component analysis to the projected (smoothed) data matrix onto a given linear space spanned by covariates. When it applies to…
Non-Gaussian component analysis (NGCA) is a problem in multidimensional data analysis which, since its formulation in 2006, has attracted considerable attention in statistics and machine learning. In this problem, we have a random variable…
Over the past decades, more and more methods gain a giant development due to the development of technology. Evolutionary Algorithms are widely used as a heuristic method. However, the budget of computation increases exponentially when the…
In addition to recent developments in computing speed and memory, methodological advances have contributed to significant gains in the performance of stochastic simulation. In this paper, we focus on variance reduction for matrix…
Gaussian graphical models (GGMs) are well-established tools for probabilistic exploration of dependence structures using precision matrices. We develop a Bayesian method to incorporate covariate information in this GGMs setup in a nonlinear…
In this paper we consider Bayesian estimation for the parameters of inverse Gaussian distribution. Our emphasis is on Markov Chain Monte Carlo methods. We provide complete implementation of the Gibbs sampler algorithm. Assuming an…
The eigenvalue decomposition (EVD) parameters of the second order statistics are ubiquitous in statistical analysis and signal processing. Notably, the EVD of robust scatter $M$-estimators is a popular choice to perform robust probabilistic…