Related papers: Regularized Targeted Maximum Likelihood Estimation…
In this paper, we mainly focus on the penalized maximum likelihood estimation (MLE) of the high-dimensional approximate factor model. Since the current estimation procedure can not guarantee the positive definiteness of the error covariance…
This work considers Maximum Likelihood Estimation (MLE) of a Toeplitz structured covariance matrix. In this regard, an equivalent reformulation of the MLE problem is introduced and two iterative algorithms are proposed for the optimization…
Shrinkage estimators that possess the ability to produce sparse solutions have become increasingly important to the analysis of today's complex datasets. Examples include the LASSO, the Elastic-Net and their adaptive counterparts.…
Estimating average treatment effects from observational data is challenging under practical violations of the positivity assumption. Targeted Maximum Likelihood Estimators (TMLEs) are widely used because of their double robustness and…
This paper considers estimation and inference about tail features when the observations beyond some threshold are censored. We first show that ignoring such tail censoring could lead to substantial bias and size distortion, even if the…
We consider a regression framework where the design points are deterministic and the errors possibly non-i.i.d. and heavy-tailed (with a moment of order $p$ in $[1,2]$). Given a class of candidate regression functions, we propose a…
Quantifying the heterogeneity of treatment effect is important for understanding how a commercial product or medical treatment affects different population subgroups. While much of treatment effect heterogeneity analysis focuses on the…
This work considers Maximum Likelihood Estimation (MLE) of a Toeplitz structured covariance matrix. In this regard, an equivalent reformulation of the MLE problem is introduced and two iterative algorithms are proposed for the optimization…
Parametric nonlinear mixed effects models (NLMEs) are now widely used in biometrical studies, especially in pharmacokinetics research and HIV dynamics models, due to, among other aspects, the computational advances achieved during the last…
This paper presents an incremental replanning algorithm, dubbed LTL-D*, for temporal-logic-based task planning in a dynamically changing environment. Unexpected changes in the environment may lead to failures in satisfying a task…
We propose the approximate Laplace approximation (ALA) to evaluate integrated likelihoods, a bottleneck in Bayesian model selection. The Laplace approximation (LA) is a popular tool that speeds up such computation and equips strong model…
Model-based reinforcement learning promises strong sample efficiency but often underperforms in practice due to compounding model error, unimodal world models that average over multi-modal dynamics, and overconfident predictions that bias…
To leverage the copious amount of data from source tasks and overcome the scarcity of the target task samples, representation learning based on multi-task pretraining has become a standard approach in many applications. However, up until…
Reinforcement learning (RL) is a promising approach for robotic manipulation, but it can suffer from low sample efficiency and requires extensive exploration of large state-action spaces. Recent methods leverage the commonsense knowledge…
In this paper, we revisit parameter estimation for multinomial logit (MNL), nested logit (NL), and tree-nested logit (TNL) models through the framework of convex conic optimization. Traditional approaches typically solve the maximum…
We revisit the adaptive Lasso as well as the thresholded Lasso with refitting, in a high-dimensional linear model, and study prediction error, $\ell_q$-error ($q \in \{1, 2 \} $), and number of false positive selections. Our theoretical…
In this paper we study the computation of the nonparametric maximum likelihood estimator (NPMLE) in multivariate mixture models. Our first approach discretizes this infinite dimensional convex optimization problem by fixing the support…
We consider Targeted Maximum Likelihood Estimation (TMLE) of weighted average treatment effects (WATEs), a class of causal estimands that reweight the covariate distribution using a specified function of the propensity score. This class…
This paper is a fundamental addition to the world of targeted maximum likelihood estimation (TMLE) (or likewise, targeted minimum loss estimation) for simultaneous estimation of multi-dimensional parameters of interest. TMLE, as part of the…
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…