Related papers: Estimation of density functionals via cross-valida…
Given $iid$ observations from an unknown absolute continuous distribution defined on some domain $\Omega$, we propose a nonparametric method to learn a piecewise constant function to approximate the underlying probability density function.…
The minimum error entropy (MEE) criterion has been successfully used in fields such as parameter estimation, system identification and the supervised machine learning. There is in general no explicit expression for the optimal MEE estimate…
Mutual information (MI) is one of the most general ways to measure relationships between random variables, but estimating this quantity for complex systems is challenging. Denoising diffusion models have recently set a new bar for density…
Multivariate density estimation is a popular technique in statistics with wide applications including regression models allowing for heteroskedasticity in conditional variances. The estimation problems become more challenging when…
Our investigation concerns the estimation of predictive densities and a study of efficiency as measured by the frequentist risk of such predictive densities with integrated $L_2$ and $L_1$ losses. Our findings relate to a $p-$variate…
Compressed sensing typically deals with the estimation of a system input from its noise-corrupted linear measurements, where the number of measurements is smaller than the number of input components. The performance of the estimation…
Compressed sensing (CS) demonstrates that sparse signals can be estimated from under-determined linear systems. Distributed CS (DCS) further reduces the number of measurements by considering joint sparsity within signal ensembles. DCS with…
Although continuous density estimation has received abundant attention in the Bayesian nonparametrics literature, there is limited theory on multivariate mixed scale density estimation. In this note, we consider a general framework to…
Bayes classifiers for functional data pose a challenge. This is because probability density functions do not exist for functional data. As a consequence, the classical Bayes classifier using density quotients needs to be modified. We…
In many real applications, the distribution of measurement error could vary with each subject or even with each observation so the errors are heteroscedastic. In this paper, we propose a fast algorithm using a simulation-extrapolation…
K-fold cross-validation (CV) with squared error loss is widely used for evaluating predictive models, especially when strong distributional assumptions cannot be taken. However, CV with squared error loss is not free from distributional…
This study proposes median consensus embedding (MCE) to address variability in low-dimensional embeddings caused by random initialization in nonlinear dimensionality reduction techniques such as $t$-distributed stochastic neighbor…
We analyze the performance of cross-validation (CV) in the density estimation framework with two purposes: (i) risk estimation and (ii) model selection. The main focus is given to the so-called leave-$p$-out CV procedure (Lpo), where $p$…
When selecting a classification algorithm to be applied to a particular problem, one has to simultaneously select the best algorithm for that dataset \emph{and} the best set of hyperparameters for the chosen model. The usual approach is to…
We solve the problem of estimating the distribution of presumed i.i.d. observations for the total variation loss. Our approach is based on density models and is versatile enough to cope with many different ones, including some density…
The estimation of the parameters of a dynamic signal, such as a sine wave, based on quantized data is customarily performed using the least-square estimator (LSE), such as the sine fit. However, the characteristics of the experiments and…
A Bernstein-von Mises theorem is derived for general semiparametric functionals. The result is applied to a variety of semiparametric problems in i.i.d. and non-i.i.d. situations. In particular, new tools are developed to handle…
Multiple importance sampling (MIS) methods use a set of proposal distributions from which samples are drawn. Each sample is then assigned an importance weight that can be obtained according to different strategies. This work is motivated by…
The inefficiency of using an unbiased estimator in a Monte Carlo procedure can be quantified using an inefficiency constant, equal to the product of the variance of the estimator and its mean computational cost. We develop methods for…
From a wavelet analysis, one derives a nonparametrical estimator for the spectral density of a Gaussian process with stationary increments. First, the idealistic case of a continuous time path of the process is considered. A punctual…