Related papers: Gibbs conditioning extended, Boltzmann conditionin…
Let $X_1,...,X_n$ be $n$ independent unbounded real random variables which have common, roughly speaking, light-tailed type distribution. Denote by $S_1^n$ their sum and by $\pi^{a_n}$ the tilted density of $X_1$, where $a_n…
Identification-robust hypothesis tests are commonly based on the continuous updating GMM objective function. When the number of moment conditions grows proportionally with the sample size, the large-dimensional weighting matrix prohibits…
We consider the problem of extrapolating the perturbation series for the dilute Fermi gas in three dimensions to the unitary limit of infinite scattering length and into the BEC region, using the available strong-coupling information to…
The maximum entropy principle advocates to evaluate events' probabilities using a distribution that maximizes entropy among those that satisfy certain expectations' constraints. Such principle can be generalized for arbitrary decision…
Polynomial convergence bounds are considered for left, right, and split preconditioned GMRES. They include the cases of Weighted and Deflated GMRES for a linear system Ax = b. In particular, the case of positive definite A is considered.…
Parameters defined via General Estimating Equations (GEE) can be estimated by maximizing the Empirical Likelihood (EL). Newey and Smith (2004) have recently shown that this EL estimator exhibits desirable higher-order asymptotic properties,…
We explore past and recent developments in rare-event probability estimation with a particular focus on a novel Monte Carlo technique Empirical Likelihood Maximization (ELM). This is a versatile method that involves sampling from a sequence…
We extend recent higher order concentration results in the discrete setting to include functions of possibly dependent variables whose distribution (on the product space) satisfies a logarithmic Sobolev inequality with respect to a…
Predictions of the uncertainty associated with extreme events are a vital component of any prediction system for such events. Consequently, the prediction system ought to be probabilistic in nature, with the predictions taking the form of…
The entropy maximum approach (Maxent) was developed as a minimization of the subjective uncertainty measured by the Boltzmann--Gibbs--Shannon entropy. Many new entropies have been invented in the second half of the 20th century. Now there…
We present a concentration result concerning random weighted projections in high dimensional spaces. As applications, we prove (1) New concentration inequalities for random quadratic forms; (2) The infinity norm of most unit eigenvectors of…
An amended MaxEnt formulation for systems displaced from the conventional MaxEnt equilibrium is proposed. This formulation involves the minimization of the Kullback-Leibler divergence to a reference $Q$ (or maximization of Shannon…
We present novel bounds for estimating discrete probability distributions under the $\ell_\infty$ norm. These are nearly optimal in various precise senses, including a kind of instance-optimality. Our data-dependent convergence guarantees…
We advocate an optimization-centric view on and introduce a novel generalization of Bayesian inference. Our inspiration is the representation of Bayes' rule as infinite-dimensional optimization problem (Csiszar, 1975; Donsker and Varadhan;…
We present a very simple yet powerful generalization of a previously described model and algorithm for estimation of multiple dipoles from magneto/electro-encephalographic data. Specifically, the generalization consists in the introduction…
A novel efficient method for computing the Knowledge-Gradient policy for Continuous Parameters (KGCP) for deterministic optimization is derived. The differences with Expected Improvement (EI), a popular choice for Bayesian optimization of…
Modelling highly multi-modal data is a challenging problem in machine learning. Most algorithms are based on maximizing the likelihood, which corresponds to the M(oment)-projection of the data distribution to the model distribution. The…
We study the law of the iterated logarithm (LIL) for the maximum likelihood estimation of the parameters (as a convex optimization problem) in the generalized linear models with independent or weakly dependent ($\rho$-mixing, $m$-dependent)…
Convergence of Extremum Seeking (ES) algorithms has been established in the limit of small gains. Using averaging theory and contraction analysis, we propose a framework for computing explicit bounds on the departure of the ES scheme from…
Evaluating conditional coverage remains one of the most persistent challenges in assessing the reliability of predictive systems. Although conformal methods can give guarantees on marginal coverage, no method can guarantee to produce sets…