相关论文: Consistency and Computation of Regularized MLEs fo…

This paper introduces a simple efficient learning algorithms for general sequential decision making. The algorithm combines Optimism for exploration with Maximum Likelihood Estimation for model estimation, which is thus named OMLE. We prove…

Temporal Point Processes (TPP) with partial likelihoods involving a latent structure often entail an intractable marginalization, thus making inference hard. We propose a novel approach to Maximum Likelihood Estimation (MLE) involving…

Despite all the benefits of automated hyperparameter optimization (HPO), most modern HPO algorithms are black-boxes themselves. This makes it difficult to understand the decision process which leads to the selected configuration, reduces…

We are interested in the problem of classifying Multivariate Hawkes Processes (MHP) paths coming from several classes. MHP form a versatile family of point processes that models interactions between connected individuals within a network.…

The L1-regularized Gaussian maximum likelihood estimator (MLE) has been shown to have strong statistical guarantees in recovering a sparse inverse covariance matrix, or alternatively the underlying graph structure of a Gaussian Markov…

This paper considers maximum likelihood (ML) estimation in a large class of models with hidden Markov regimes. We investigate consistency of the ML estimator and local asymptotic normality for the models under general conditions which allow…

Multiple kernel learning (MKL), structured sparsity, and multi-task learning have recently received considerable attention. In this paper, we show how different MKL algorithms can be understood as applications of either regularization on…

Causal mediation analysis with random interventions has become an area of significant interest for understanding time-varying effects with longitudinal and survival outcomes. To tackle causal and statistical challenges due to the complex…

In recent years, model-agnostic meta-learning (MAML) has become a popular research area. However, the stochastic optimization of MAML is still underdeveloped. Existing MAML algorithms rely on the ``episode'' idea by sampling a few tasks and…

Maximum likelihood estimation (MLE) methods are widely used for evolutionary tree. As evolutionary tree is not a smooth parameter, the consistency of its MLE has been a topic of debate. It has been noted without proof that the classical…

We study nonparametric maximum likelihood estimation of probability densities under a total variation (TV) type penalty, sectional variation norm (also named as Hardy-Krause variation). TV regularization has a long history in regression and…

When the sample path of a Hawkes process is observed discretely, such that only the total event counts in disjoint time intervals are known, the likelihood function becomes intractable. To overcome the challenge of likelihood-based…

How heterogeneous multiscale methods (HMM) handle fluctuations acting on the slow variables in fast-slow systems is investigated. In particular, it is shown via analysis of central limit theorems (CLT) and large deviation principles (LDP)…

Empirical economic research frequently applies maximum likelihood estimation in cases where the likelihood function is analytically intractable. Most of the theoretical literature focuses on maximum simulated likelihood (MSL) estimators,…

The primary objective of this scholarly work is to develop two estimation procedures - maximum likelihood estimator (MLE) and method of trimmed moments (MTM) - for the mean and variance of lognormal insurance payment severity data sets…

We introduce the Hawkes process with renewal immigration and make its statistical estimation possible with two Expectation Maximization (EM) algorithms. The standard Hawkes process introduces immigrant points via a Poisson process, and each…

This paper considers an extension of the multivariate symmetric Laplace distribution to matrix variate case. The symmetric Laplace distribution is a scale mixture of normal distribution. The maximum likelihood estimators (MLE) of the…

The performance of any Machine Learning (ML) algorithm is impacted by the choice of its hyperparameters. As training and evaluating a ML algorithm is usually expensive, the hyperparameter optimization (HPO) method needs to be…

Terrorist activities often exhibit temporal and spatial clustering, making the multivariate Hawkes process (MHP) a useful statistical model for analysing terrorism across different geographic regions. However, terror attack data from the…

We advocate for a practical Maximum Likelihood Estimation (MLE) approach towards designing loss functions for regression and forecasting, as an alternative to the typical approach of direct empirical risk minimization on a specific target…