Related papers: Generalizing the Generalized Likelihood Ratio Meth…

Variable selection in cluster analysis is important yet challenging. It can be achieved by regularization methods, which realize a trade-off between the clustering accuracy and the number of selected variables by using a lasso-type penalty.…

The Gaussian process latent variable model (GP-LVM) provides a flexible approach for non-linear dimensionality reduction that has been widely applied. However, the current approach for training GP-LVMs is based on maximum likelihood, where…

Because exoplanets are extremely dim, an Electron Multiplying Charged Coupled Device (EMCCD) operating in photon counting (PC) mode is necessary to reduce the detector noise level and enable their detection. Typically, PC images are added…

We address the component-based regularisation of a multivariate Generalized Linear Mixed Model (GLMM). A set of random responses Y is modelled by a GLMM, using a set X of explanatory variables, a set T of additional covariates, and random…

The Posterior distribution of the Likelihood Ratio (PLR) is proposed by Dempster in 1974 for significance testing in the simple vs composite hypotheses case. In this hypotheses test case, classical frequentist and Bayesian hypotheses tests…

This paper presents a new approach to a robust Gaussian process (GP) regression. Most existing approaches replace an outlier-prone Gaussian likelihood with a non-Gaussian likelihood induced from a heavy tail distribution, such as the…

We introduce a method for policy improvement that interpolates between the greedy approach of value-based reinforcement learning (RL) and the full planning approach typical of model-based RL. The new method builds on the concept of a…

A statistical method for the elicitation of priors in Bayesian generalised linear models (GLMs) and extensions is proposed. Probabilistic predictions are elicited from the expert to parametrise a multivariate t prior distribution for the…

Random variables of the generalized Pareto distribution, can be transformed to that of the Pareto distribution. Explicit expressions exist for the maximum likelihood estimators of the parameters of the Pareto distribution. The performance…

This paper generalizes the classical Vuong (1989) test to panel data models by employing modified profile likelihoods and the Kullback-Leibler information criterion. Unlike the standard likelihood function, the profile likelihood lacks…

Variable selection is an old and pervasive problem in regression analysis. One solution is to impose a lasso penalty to shrink parameter estimates toward zero and perform continuous model selection. The lasso-penalized mixture of linear…

A connection between the General Linear Model (GLM) in combination with classical statistical inference and the machine learning (MLE)-based inference is described in this paper. Firstly, the estimation of the GLM parameters is expressed as…

Highly robust and efficient estimators for the generalized linear model with a dispersion parameter are proposed. The estimators are based on three steps. In the first step the maximum rank correlation estimator is used to consistently…

The generalized perturbative approach is an all purpose variant of Stein's method used to obtain rates of normal approximation. Originally developed for functions of independent random variables this method is here extended to functions of…

Generalized linear mixed models (GLMM) encompass large class of statistical models, with a vast range of applications areas. GLMM extends the linear mixed models allowing for different types of response variable. Three most common data…

Local projections (LPs) are widely used for impulse response analysis, but Bayesian methods face challenges due to the absence of a likelihood function. Existing approaches rely on pseudo-likelihoods, which often result in poorly calibrated…

This paper presents likelihood-based inference methods for the family of univariate gamma-normal distributions GN({\alpha}, r, {\mu}, {\sigma}^2 ) that result from summing independent gamma({\alpha}, r) and N({\mu}, {\sigma}^2 ) random…

Model-Based Reinforcement Learning (RL) is widely believed to have the potential to improve sample efficiency by allowing an agent to synthesize large amounts of imagined experience. Experience Replay (ER) can be considered a simple kind of…

In this paper we revisit the weighted likelihood bootstrap, a method that generates samples from an approximate Bayesian posterior of a parametric model. We show that the same method can be derived, without approximation, under a Bayesian…

In this article, we develop a distributed variable screening method for generalized linear models. This method is designed to handle situations where both the sample size and the number of covariates are large. Specifically, the proposed…