Related papers: Two-Step Iterative GMM Structure for Estimating Mi…
In this paper, we propose two new algorithms for maximum-likelihood estimation (MLE) of high dimensional sparse covariance matrices. Unlike most of the state of-the-art methods, which either use regularization techniques or penalize the…
We present a stepwise approach to estimate high dimensional Gaussian graphical models. We exploit the relation between the partial correlation coefficients and the distribution of the prediction errors, and parametrize the model in terms of…
We introduce mixed model trace regression (MMTR), a mixed model linear regression extension for scalar responses and high-dimensional matrix-valued covariates. MMTR's fixed effects component is equivalent to trace regression, with an…
This paper introduces a method for studying the correlation structure of a range of responses modelled by a multivariate generalised linear mixed model (MGLMM). The methodology requires the existence of clusters of observations and that…
In the last few decades, the study of ordinal data in which the variable of interest is not exactly observed but only known to be in a specific ordinal category has become important. In Psychometrics such variables are analysed under the…
Pairwise network models such as the Gaussian Graphical Model (GGM) are a powerful and intuitive way to analyze dependencies in multivariate data. A key assumption of the GGM is that each pairwise interaction is independent of the values of…
Since Pearson [Philosophical Transactions of the Royal Society of London. A, 185 (1894), pp. 71-110] first applied the method of moments (MM) for modeling data as a mixture of one-dimensional Gaussians, moment-based estimation methods have…
The method of generalized estimating equations (GEE) is popular in the biostatistics literature for analyzing longitudinal binary and count data. It assumes a generalized linear model (GLM) for the outcome variable, and a working…
We propose a general framework for non-normal multivariate data analysis called multivariate covariance generalized linear models (McGLMs), designed to handle multivariate response variables, along with a wide range of temporal and spatial…
We discuss a weighted estimation of correlation and covariance matrices from historical financial data. To this end, we introduce a weighting scheme that accounts for similarity of previous market conditions to the present one. The…
We propose a new method for the Maximum Likelihood Estimator (MLE) of nonlinear mixed effects models when the variance matrix of Gaussian random effects has a prescribed pattern of zeros (PPZ). The method consists in coupling the recently…
Mixture modeling is a general technique for making any simple model more expressive through weighted combination. This generality and simplicity in part explains the success of the Expectation Maximization (EM) algorithm, in which updates…
This paper studies the high-dimensional mixed linear regression (MLR) where the output variable comes from one of the two linear regression models with an unknown mixing proportion and an unknown covariance structure of the random…
This paper studies high-dimensional regression with two-way structured data. To estimate the high-dimensional coefficient vector, we propose the generalized matrix decomposition regression (GMDR) to efficiently leverage any auxiliary…
In this paper, we provide a novel method for the estimation of unknown parameters of the Gaussian Mixture Model (GMM) in Positron Emission Tomography (PET). A vast majority of PET imaging methods are based on reconstruction model that is…
For a fixed average energy, the simultaneous estimation of multiple phases can provide a better total precision than estimating them individually. We show this for a multimode interferometer with a phase in each mode, using Gaussian inputs…
A generalized method of moments (GMM) estimator is unreliable for a large number of moment conditions, that is, it is comparable, or larger than the sample size. While classical GMM literature proposes several provisions to this problem,…
The standard regression tree method applied to observations within clusters poses both methodological and implementation challenges. Effectively leveraging these data requires methods that account for both individual-level and sample-level…
A hierarchical Bayesian approach that permits simultaneous inference for the regression coefficient matrix and the error precision (inverse covariance) matrix in the multivariate linear model is proposed. Assuming a natural ordering of the…
We propose new methods for multivariate linear regression when the regression coefficient matrix is sparse and the error covariance matrix is dense. We assume that the error covariance matrix has equicorrelation across the response…