Related papers: Local empirical Bayes correction for Bayesian mode…
Histogram-based empirical Bayes methods developed for analyzing data for large numbers of genes, SNPs, or other biological features tend to have large biases when applied to data with a smaller number of features such as genes with…
Bayesian models quantify uncertainty and facilitate optimal decision-making in downstream applications. For most models, however, practitioners are forced to use approximate inference techniques that lead to sub-optimal decisions due to…
The problem of quickest change detection is studied in the context of detecting an arbitrary unknown mean-shift in multiple independent Gaussian data streams. The James-Stein estimator is used in constructing detection schemes that exhibit…
The Robbins estimator is the most iconic and widely used procedure in the empirical Bayes literature for the Poisson model. On one hand, this method has been recently shown to be minimax optimal in terms of the regret (excess risk over the…
Motivated by the goal of improving the efficiency of small sample design, we propose a novel Bayesian stochastic approximation method to estimate the root of a regression function. The method features adaptive local modelling and…
Nested error regression models are useful tools for analysis of grouped data, especially in the case of small area estimation. This paper suggests a nested error regression model using uncertain random effects in which the random effect in…
The Stein paradox has played an influential role in the field of high dimensional statistics. This result warns that the sample mean, classically regarded as the "usual estimator", may be suboptimal in high dimensions. The development of…
Bayesian change-point detection, together with latent variable models, allows to perform segmentation over high-dimensional time-series. We assume that change-points lie on a lower-dimensional manifold where we aim to infer subsets of…
Consider estimating the n by p matrix of means of an n by p matrix of independent normally distributed observations with constant variance, where the performance of an estimator is judged using a p by p matrix quadratic error loss function.…
We consider the problem of estimating the means $\mu_i$ of $n$ random variables $Y_i \sim N(\mu_i,1)$, $i=1,\ldots ,n$. Assuming some structure on the $\mu$ process, e.g., a state space model, one may use a summary statistics for the…
A novel data-driven methodology is presented for the joint selection of prior parameters for both fixed and random effects in Linear Mixed Models (LMMs). This approach facilitates the estimation of complex random-effects structures, as well…
This paper concerns the robust regression model when the number of predictors and the number of observations grow in a similar rate. Theory for M-estimators in this regime has been recently developed by several authors [El Karoui et al.,…
Shrinkage estimation usually reduces variance at the cost of bias. But when we care only about some parameters of a model, I show that we can reduce variance without incurring bias if we have additional information about the distribution of…
The paper concerns small-area estimation in the Fay-Herriot type area-level model with random dispersions, which models the case that the sampling errors change from area to area. The resulting Bayes estimator shrinks both means and…
In all areas of human knowledge, datasets are increasing in both size and complexity, creating the need for richer statistical models. This trend is also true for economic data, where high-dimensional and nonlinear/nonparametric inference…
The estimation of the mean matrix of the multivariate normal distribution is addressed in the high dimensional setting. Efron-Morris-type linear shrinkage estimators based on ridge estimators for the precision matrix instead of the…
Motivated by applications in tissue-wide association studies (TWAS), we develop a flexible and theoretically grounded empirical Bayes approach for integrating %vector-valued outcomes data obtained from different sources. We propose a linear…
In `borrowing strength' an important problem of Statistics is to treat exceptional cases in a fundamentally different. This is what has been coined as `the Clemente problem' in honor of R. Clemente (Efron 2010). In this article, we propose…
Bayesian estimation is increasingly popular for performing model based inference to support policymaking. These data are often collected from surveys under informative sampling designs where subject inclusion probabilities are designed to…
We consider the problem of estimating the error variance in a general linear model when the error distribution is assumed to be spherically symmetric, but not necessary Gaussian. In particular we study the case of a scale mixture of…