Related papers: Maximum Likelihood Estimation in Gaussian Chain Gr…
In order to detect patterns in real networks, randomized graph ensembles that preserve only part of the topology of an observed network are systematically used as fundamental null models. However, their generation is still problematic. The…
We study parameter estimation in linear Gaussian covariance models, which are $p$-dimensional Gaussian models with linear constraints on the covariance matrix. Maximum likelihood estimation for this class of models leads to a non-convex…
This paper deals with a parametrized family of partially observed bivariate Markov chains. We establish that, under very mild assumptions, the limit of the normalized log-likelihood function is maximized when the parameters belong to the…
Recently developed adaptive Markov chain Monte Carlo (MCMC) methods have been applied successfully to many problems in Bayesian statistics. Grapham is a new open source implementation covering several such methods, with emphasis on…
We present a novel method for computing reachability probabilities of parametric discrete-time Markov chains whose transition probabilities are fractions of polynomials over a set of parameters. Our algorithm is based on two key…
We consider the problem of estimating the expected time to find a maximum degree node on a graph using a (parameterized) biased random walk. For assortative graphs the positive degree correlation serves as a local gradient for which a bias…
A new algorithm is developed to tackle the issue of sampling non-Gaussian model parameter posterior probability distributions that arise from solutions to Bayesian inverse problems. The algorithm aims to mitigate some of the hurdles faced…
We consider the estimation of an i.i.d.\ random vector observed through a linear transform followed by a componentwise, probabilistic (possibly nonlinear) measurement channel. A novel algorithm, called generalized approximate message…
Automatic differentiation (AD) has driven recent advances in machine learning, including deep neural networks and Hamiltonian Markov Chain Monte Carlo methods. Partially observed nonlinear stochastic dynamical systems have proved resistant…
Bayesian methods for learning Gaussian graphical models offer a principled framework for quantifying model uncertainty and incorporating prior knowledge. However, their scalability is constrained by the computational cost of jointly…
The paper considers the problem to estimate a graphical model corresponding to an autoregressive moving-average (ARMA) Gaussian stochastic process. We propose a new maximum entropy covariance and cepstral extension problem and we show that…
Chain graphs (CG) use undirected and directed edges to represent both structural and associative dependences. Like acyclic directed graphs (ADGs), the CG associated with a statistical Markov model may not be unique, so CGs fall into Markov…
This paper presents the formulation and analysis of a novel distributed maximum likelihood algorithm that utilizes a first-order optimization scheme. The proposed approach utilizes a static average consensus algorithm to reach agreement on…
The estimation of a random vector with independent components passed through a linear transform followed by a componentwise (possibly nonlinear) output map arises in a range of applications. Approximate message passing (AMP) methods, based…
We here consider the subset simulation method which approaches a failure event using a decreasing sequence of nested intermediate failure events. The method resembles importance sampling, which actively explores a probability space by…
Due to its heavy-tailed and fully parametric form, the multivariate generalized Gaussian distribution (MGGD) has been receiving much attention for modeling extreme events in signal and image processing applications. Considering the…
We propose a Markov chain model for credit rating changes. We do not use any distributional assumptions on the asset values of the rated companies but directly model the rating transitions process. The parameters of the model are estimated…
In the following article we consider approximate Bayesian parameter inference for observation driven time series models. Such statistical models appear in a wide variety of applications, including econometrics and applied mathematics. This…
Cluster-weighted modeling (CWM) is a mixture approach for modeling the joint probability of a response variable and a set of explanatory variables. The parameters are estimated by means of the expectation-maximization algorithm according to…
We show that the sensor self-localization problem can be cast as a static parameter estimation problem for Hidden Markov Models and we implement fully decentralized versions of the Recursive Maximum Likelihood and on-line…