Related papers: Mixed-model Log-likelihood Evaluation Via a Blocke…
We review strategies for differentiating matrix-based computations, and derive symbolic and algorithmic update rules for differentiating expressions containing the Cholesky decomposition. We recommend new `blocked' algorithms, based on…
Restricting randomization in the design of experiments (e.g., using blocking/stratification, pair-wise matching, or rerandomization) can improve the treatment-control balance on important covariates and therefore improve the estimation of…
We study the problem of computing the maximum likelihood estimator (MLE) of multivariate log-concave densities. Our main result is the first computationally efficient algorithm for this problem. In more detail, we give an algorithm that, on…
We propose a clustered local projection (clustered LP) method to estimate impulse response functions in a class of time-varying models where parameter variation is linked to a low-dimensional matrix of observables. We show that the…
Collaborative filtering is a useful technique for exploiting the preference patterns of a group of users to predict the utility of items for the active user. In general, the performance of collaborative filtering depends on the number of…
Factor analysis, a classical multivariate statistical technique is popularly used as a fundamental tool for dimensionality reduction in statistics, econometrics and data science. Estimation is often carried out via the Maximum Likelihood…
Skew normal model suffers from inferential drawbacks, namely singular Fisher information in the vicinity of symmetry and diverging of maximum likelihood estimation. To address the above drawbacks, Azzalini and Arellano-Valle (2013)…
Linear mixed models (LMMs) are used as an important tool in the data analysis of repeated measures and longitudinal studies. The most common form of LMMs utilize a normal distribution to model the random effects. Such assumptions can often…
The contribution of this work is the introduction of a multivariate circular-linear (or poly- cylindrical) distribution obtained by combining the projected and the skew-normal. We show the flexibility of our proposal, its property of…
Applying probabilistic models to reinforcement learning (RL) enables the application of powerful optimisation tools such as variational inference to RL. However, existing inference frameworks and their algorithms pose significant challenges…
We propose a new model selection criterion for mixed effects regression models that is computable when the model is fitted with a two-step method, even when the structure and the distribution of the random effects are unknown. The criterion…
Multivariate normal mixtures provide a flexible model for high-dimensional data. They are widely used in statistical genetics, statistical finance, and other disciplines. Due to the unboundedness of the likelihood function, classical…
This paper compares six different parameter estimation methods for shared frailty models via a series of simulation studies. A shared frailty model is a survival model that incorporates a random effect term, where the frailties are common…
Variable selection naturally arises as a useful subject when faced with data with massive predictor space. In addition to the massive dimensionality, the data may be characterized by intra-subject correlation, and cure fraction, which are…
The modified Cholesky decomposition (MCD) is an efficient technique for estimating a covariance matrix. However, it is known that the MCD technique often requires a pre-specified variable ordering in the estimation procedure. In this work,…
Purpose: We propose a general framework for quantifying predictive uncertainties of dose-related quantities and leveraging this information in a dose mimicking problem in the context of automated radiation therapy treatment planning.…
We present a new additive image factorization technique that treats images to be composed of multiple latent specular components which can be simply estimated recursively by modulating the sparsity during decomposition. Our model-driven…
In the last two decades, the linear model of coregionalization (LMC) has been widely used to model multivariate spatial processes. However, it can be a challenging task to conduct likelihood-based inference for such models because of the…
LongMemory.jl is a package for time series long memory modelling in Julia. The package provides functions to generate long memory, estimate model parameters, and forecast. Generating methods include fractional differencing, stochastic error…
In emerging scientific computing environments, matrix computations of increasing size and complexity are increasingly becoming prevalent. However, contemporary matrix language implementations are insufficient in their support for efficient…