相关论文: A Matrix--free Likelihood Method for Exploratory F…

We consider the problem of estimating high-dimensional covariance matrices of a particular structure, which is a summation of low rank and sparse matrices. This covariance structure has a wide range of applications including factor analysis…

A new empirical Bayes approach to variable selection in the context of generalized linear models is developed. The proposed algorithm scales to situations in which the number of putative explanatory variables is very large, possibly much…

This paper develops a new exponential forgetting algorithm that can prevent so-called the estimator windup problem, while retaining fast convergence speed. To investigate the properties of the proposed forgetting algorithm, boundedness of…

In this paper we extent the previously published DALI-approximation for likelihoods to cases in which the parameter dependency is in the covariance matrix. The approximation recovers non-Gaussian likelihoods, and reduces to the Fisher…

Gaussian process regression can flexibly represent the posterior distribution of an interest parameter given sufficient information on the likelihood. However, in some cases, we have little knowledge regarding the probability model. For…

We consider a sequential decision making task, where the goal is to optimize an unknown function without evaluating parameters that violate an a~priori unknown (safety) constraint. A common approach is to place a Gaussian process prior on…

We study the problem of exploration in Reinforcement Learning and present a novel model-free solution. We adopt an information-theoretical viewpoint and start from the instance-specific lower bound of the number of samples that have to be…

Modern large scale datasets are often plagued with missing entries. For tabular data with missing values, a flurry of imputation algorithms solve for a complete matrix which minimizes some penalized reconstruction error. However, almost…

The interpretation of cosmological observables requires the use of increasingly sophisticated theoretical models. Since these models are becoming computationally very expensive and display non-trivial uncertainties, the use of standard…

We introduce an estimation method of covariance matrices in a high-dimensional setting, i.e., when the dimension of the matrix, , is larger than the sample size . Specifically, we propose an orthogonally equivariant estimator. The…

Covariate adjustment is an important tool in the analysis of randomized clinical trials and observational studies. It can be used to increase efficiency and thus power, and to reduce possible bias. While most statistical tests in randomized…

We propose an efficient way to sample from a class of structured multivariate Gaussian distributions which routinely arise as conditional posteriors of model parameters that are assigned a conditionally Gaussian prior. The proposed…

The stochastic approximation EM algorithm (SAEM) is described for the estimation of item and person parameters given test data coded as dichotomous or ordinal variables. The method hinges upon the eigenanalysis of missing variables sampled…

Missing covariates are not uncommon in capture-recapture studies. When covariate information is missing at random in capture-recapture data, an empirical full likelihood method has been demonstrated to outperform…

Low-rank matrix completion has achieved great success in many real-world data applications. A matrix factorization model that learns latent features is usually employed and, to improve prediction performance, the similarities between latent…

We propose a likelihood ratio based inferential framework for high dimensional semiparametric generalized linear models. This framework addresses a variety of challenging problems in high dimensional data analysis, including incomplete…

A gamma process dynamic Poisson factor analysis model is proposed to factorize a dynamic count matrix, whose columns are sequentially observed count vectors. The model builds a novel Markov chain that sends the latent gamma random variables…

Variational approximation methods have proven to be useful for scaling Bayesian computations to large data sets and highly parametrized models. Applying variational methods involves solving an optimization problem, and recent research in…

In this paper, we propose two new algorithms for maximum-likelihood estimation (MLE) of high dimensional sparse covariance matrices. Unlike most of the state of-the-art methods, which either use regularization techniques or penalize the…

Monte Carlo maximum likelihood (MCML) provides an elegant approach to find maximum likelihood estimators (MLEs) for latent variable models. However, MCML algorithms are computationally expensive when the latent variables are…