Related papers: High-Dimensional Bernstein Von-Mises Theorems for …

We consider a novel Bayesian approach to estimation, uncertainty quantification, and variable selection for a high-dimensional linear regression model under sparsity. The number of predictors can be nearly exponentially large relative to…

We consider nonparametric Bayesian estimation of a probability density $p$ based on a random sample of size $n$ from this density using a hierarchical prior. The prior consists, for instance, of prior weights on the regularity of the…

This paper establishes sharp dimension-free concentration and expectation bounds for the deviation of a sample cross-covariance matrix from its mean. For sub-Gaussian random vectors, we prove a high-probability operator-norm bound governed…

Recent likelihood theory produces $p$-values that have remarkable accuracy and wide applicability. The calculations use familiar tools such as maximum likelihood values (MLEs), observed information and parameter rescaling. The usual…

Bayesian inference provides a framework to combine various model components with shared parameters, allowing joint uncertainty estimation and the use of all available data sources. Unfortunately, misspecification of any part of the model…

We study the convergence rates of empirical Bayes posterior distributions for nonparametric and high-dimensional inference. We show that as long as the hyperparameter set is discrete, the empirical Bayes posterior distribution induced by…

Variational Bayesian Inference is a popular methodology for approximating posterior distributions over Bayesian neural network weights. Recent work developing this class of methods has explored ever richer parameterizations of the…

Estimation of parameters that obey specific constraints is crucial in statistics and machine learning; for example, when parameters are required to satisfy boundedness, monotonicity, or linear inequalities. Traditional approaches impose…

This paper deals with the problem of estimating predictive densities of a matrix-variate normal distribution with known covariance matrix. Our main aim is to establish some Bayesian predictive densities related to matricial shrinkage…

We continue the investigation of Bernstein-von Mises theorems for nonparametric Bayes procedures from [Ann. Statist. 41 (2013) 1999-2028]. We introduce multiscale spaces on which nonparametric priors and posteriors are naturally defined,…

We study frequentist properties of a Bayesian high-dimensional multivariate linear regression model with correlated responses. The predictors are separated into many groups and the group structure is pre-determined. Two features of the…

This paper considers regularizing a covariance matrix of $p$ variables estimated from $n$ observations, by hard thresholding. We show that the thresholded estimate is consistent in the operator norm as long as the true covariance matrix is…

Objective Bayesian inference procedures are derived for the parameters of the multivariate random effects model generalized to elliptically contoured distributions. The posterior for the overall mean vector and the between-study covariance…

The coherence of a random matrix, which is defined to be the largest magnitude of the Pearson correlation coefficients between the columns of the random matrix, is an important quantity for a wide range of applications including…

We propose a novel approach to estimating the precision matrix of multivariate Gaussian data that relies on decomposing them into a low-rank and a diagonal component. Such decompositions are very popular for modeling large covariance…

In this paper, we consider Bayesian inference on a class of multivariate median and the multivariate quantile functionals of a joint distribution using a Dirichlet process prior. Since, unlike univariate quantiles, the exact posterior…

The statistical distribution of levels of an integrable system is claimed to be a Poisson distribution. In this paper, we numerically generate an ensemble of N dimensional random diagonal matrices as a model for regular systems. We evaluate…

This paper develops a new statistical inference theory for the precision matrix of high-frequency data in a high-dimensional setting. The focus is not only on point estimation but also on interval estimation and hypothesis testing for…

We study the rate of Bayesian consistency for hierarchical priors consisting of prior weights on a model index set and a prior on a density model for each choice of model index. Ghosal, Lember and Van der Vaart [2] have obtained general…

Consider the Gaussian sequence model under the additional assumption that a fixed fraction of the means is known. We study the problem of variance estimation from a frequentist Bayesian perspective. The maximum likelihood estimator (MLE)…