Related papers: Order Selection in Vector Autoregression by Mean S…

The reduced-rank vector autoregressive (VAR) model can be interpreted as a supervised factor model, where two factor modelings are simultaneously applied to response and predictor spaces. This article introduces a new model, called vector…

Estimating hidden processes from non-linear noisy observations is particularly difficult when the parameters of these processes are not known. This paper adopts a machine learning approach to devise variational Bayesian inference for such…

Linear mixed effects models are highly flexible in handling a broad range of data types and are therefore widely used in applications. A key part in the analysis of data is model selection, which often aims to choose a parsimonious model…

Variable selection, also known as feature selection in machine learning, plays an important role in modeling high dimensional data and is key to data-driven scientific discoveries. We consider here the problem of detecting influential…

Statistical inference methods are fundamentally important in machine learning. Most state-of-the-art inference algorithms are variants of Markov chain Monte Carlo (MCMC) or variational inference (VI). However, both methods struggle with…

Vector autoregression (VAR) is a fundamental tool for modeling multivariate time series. However, as the number of component series is increased, the VAR model becomes overparameterized. Several authors have addressed this issue by…

Motivation: Clustering is a frequently used concept in variety of bioinformatical applications. We present a new method for hierarchical clustering of data called mutual information clustering (MIC) algorithm. It uses mutual information…

The r largest order statistics approach is widely used in extreme value analysis because it may use more information from the data than just the block maxima. In practice, the choice of r is critical. If r is too large, bias can occur; if…

In the problem of selecting variables in a multivariate linear regression model, we derive new Bayesian information criteria based on a prior mixing a smooth distribution and a delta distribution. Each of them can be interpreted as a fusion…

Model selection aims to identify a sufficiently well performing model that is possibly simpler than the most complex model among a pool of candidates. However, the decision-making process itself can inadvertently introduce non-negligible…

The growing use of model-selection principles in ecology for statistical inference is underpinned by information criteria (IC) and cross-validation (CV) techniques. Although IC techniques, such as Akaike's Information Criterion, have been…

Vector autoregressive (VAR) models are widely used in multivariate time series analysis for describing the short-time dynamics of the data. The reduced-rank VAR models are of particular interest when dealing with high-dimensional and highly…

We consider the recently introduced application of the Deck of Cards Method (DCM) to ordinal regression proposing two extensions related to two main research trends in Multiple Criteria Decision Aiding, namely scaling and ordinal regression…

Stochastic convex optimization, where the objective is the expectation of a random convex function, is an important and widely used method with numerous applications in machine learning, statistics, operations research and other areas. We…

Obtaining reliable estimates of conditional covariance matrices is an important task of heteroskedastic multivariate time series. In portfolio optimization and financial risk management, it is crucial to provide measures of uncertainty and…

Bayesian vector autoregressions (BVARs) are the workhorse in macroeconomic forecasting. Research in the last decade has established the importance of allowing time-varying volatility to capture both secular and cyclical variations in…

Bayesian hierarchical linear models provide a natural framework to analyze nested and clustered data. Classical estimation with Markov chain Monte Carlo produces well calibrated posterior distributions but becomes computationally expensive…

High-dimensional data is common in multiple areas, such as health care and genomics, where the number of features can be tens of thousands. In such scenarios, the large number of features often leads to inefficient learning. Constraint…

Variable selection in linear regression models has been a problem since hypothesis testing began. Which variables to include or exclude from a model is not an easy task. Techniques such as Forward, Back ward, Stepwise Regression…

In the realm of the model selection context, Akaike's and Schwarz's information criteria, AIC and BIC, have been applied successfully for decades for model order identification. The Efficient Determination Criterion (EDC) is a…