Related papers: Exponential Stochastic Inequality
Recent advances in statistical learning theory have revealed profound connections between mutual information (MI) bounds, PAC-Bayesian theory, and Bayesian nonparametrics. This work introduces a novel mutual information bound for…
This thesis focuses on the discovery of stochastic differential equations (SDEs) and stochastic partial differential equations (SPDEs) from noisy and discrete time series. A major challenge is selecting the simplest possible correct model…
We prove general exponential moment inequalities for averages of [0,1]-valued iid random variables and use them to tighten the PAC Bayesian Theorem. The logarithmic dependence on the sample count in the enumerator of the PAC Bayesian bound…
In this article, we primarily propose a novel Bayesian characterization of stationary and nonstationary stochastic processes. In practice, this theory aims to distinguish between global stationarity and nonstationarity for both parametric…
Parameters defined via general estimating equations (GEE) can be estimated by maximizing the empirical likelihood (EL). Newey and Smith [Econometrica 72 (2004) 219--255] have recently shown that this EL estimator exhibits desirable…
In this paper we derive a PAC-Bayesian-Like error bound for a class of stochastic dynamical systems with inputs, namely, for linear time-invariant stochastic state-space models (stochastic LTI systems for short). This class of systems is…
Expectation propagation (EP) is a deterministic approximation algorithm that is often used to perform approximate Bayesian parameter learning. EP approximates the full intractable posterior distribution through a set of local approximations…
Empirical risk minimization (ERM) is a fundamental learning rule for statistical learning problems where the data is generated according to some unknown distribution $\mathsf{P}$ and returns a hypothesis $f$ chosen from a fixed class…
In this paper we consider the problem of inference in statistical models characterized by moment restrictions by casting the problem within the Exponentially Tilted Empirical Likelihood (ETEL) framework. Because the ETEL function has a well…
We extend the notion of forward performance criteria to settings with random endowment in incomplete markets. Building on these results, we introduce and develop the novel concept of \textit{forward optimized certainty equivalent (forward…
Persistent Stochastic Non-Interference (PSNI) was introduced to capture a quantitative security property in stochastic process algebras, ensuring that a high-level process does not influence the observable behaviour of a low-level…
The paper focuses on general properties of parametric minimum contrast estimators. The quality of estimation is measured in terms of the rate function related to the contrast, thus allowing to derive exponential risk bounds invariant with…
The paper offers a novel unified approach to studying the accuracy of parameter estimation by the quasi likelihood method. Important features of the approach are: (1) The underlying model {is not assumed to be parametric}. (2) No conditions…
We introduce a modified version of the excess risk, which can be used to obtain tighter, fast-rate PAC-Bayesian generalisation bounds. This modified excess risk leverages information about the relative hardness of data examples to reduce…
We consider the Bayesian analysis of models in which the unknown distribution of the outcomes is specified up to a set of conditional moment restrictions. The nonparametric exponentially tilted empirical likelihood function is constructed…
Epidemics are inherently stochastic, and stochastic models provide an appropriate way to describe and analyse such phenomena. Given temporal incidence data consisting of, for example, the number of new infections or removals in a given time…
Bayesian neural networks perform variational inference over the weights however calculation of the posterior distribution remains a challenge. Our work builds on variational inference techniques for bayesian neural networks using the…
We prove the convergence at an exponential rate towards the invariant probability measure for a class of solutions of stochastic differential equations with finite delay. This is done, in this non-Markovian setting, using the cluster…
Real-world applications often require improved models by leveraging a range of cheap incidental supervision signals. These could include partial labels, noisy labels, knowledge-based constraints, and cross-domain or cross-task annotations…
The Stochastic Extragradient (SEG) method is one of the most popular algorithms for solving min-max optimization and variational inequalities problems (VIP) appearing in various machine learning tasks. However, several important questions…