相关论文: Tractable Evaluation of Stein's Unbiased Risk Esti…
Consider the problem of estimating the mean of a Gaussian random vector when the mean vector is assumed to be in a given convex set. The most natural solution is to take the Euclidean projection of the data vector on to this convex set; in…
In this paper, we study two classes of optimal reinsurance models from perspectives of both insurers and reinsurers by minimizing their convex combination where the risk is measured by a distortion risk measure and the premium is given by a…
Purpose: Parallel imaging methods in MRI have resulted in faster acquisition times and improved noise performance. ESPIRiT is one such technique that estimates coil sensitivity maps from the auto-calibration region using an eigenvalue-based…
The proposed smooth blockwise iterative thresholding estimator (SBITE) is a model selection technique defined as a fixed point reached by iterating a likelihood gradient-based thresholding function. The smooth James-Stein thresholding…
We consider the problem of estimating the error variance in a general linear model when the error distribution is assumed to be spherically symmetric, but not necessary Gaussian. In particular we study the case of a scale mixture of…
The James-Stein (JS) shrinkage estimator is a biased estimator that captures the mean of Gaussian random vectors.While it has a desirable statistical property of dominance over the maximum likelihood estimator (MLE) in terms of mean squared…
Graphical models are a framework for representing and exploiting prior conditional independence structures within distributions using graphs. In the Gaussian case, these models are directly related to the sparsity of the inverse covariance…
We propose a distributionally robust approach to risk-sensitive estimation of an unknown signal x from an observed signal y. The unknown signal and observation are modeled as random vectors whose joint probability distribution is unknown,…
Consider the {$\ell_{\alpha}$} regularized linear regression, also termed Bridge regression. For $\alpha\in (0,1)$, Bridge regression enjoys several statistical properties of interest such as sparsity and near-unbiasedness of the estimates…
Gaussian process regression is used throughout statistics and machine learning for prediction and uncertainty quantification. A Gaussian process is specified by its mean and covariance functions. Many covariance functions, including…
Uncertainty is prevalent in engineering design, data-driven problems, and decision making broadly. Due to inherent risk-averseness and ambiguity about assumptions, it is common to address uncertainty by formulating and solving conservative…
Estimating the score, i.e., the gradient of log density function, from a set of samples generated by an unknown distribution is a fundamental task in inference and learning of probabilistic models that involve flexible yet intractable…
In this paper, we address the real-time risk-bounded safety verification problem of continuous-time state trajectories of autonomous systems in the presence of uncertain time-varying nonlinear safety constraints. Risk is defined as the…
We tackle the problem of algorithmic fairness, where the goal is to avoid the unfairly influence of sensitive information, in the general context of regression with possible continuous sensitive attributes. We extend the framework of fair…
A method of determining the optimum number of levels of decomposition in soft-thresholding wavelet denoising using Stationary Wavelet Transform is presented here. The method calculates the risk at each level of decomposition using Steins…
Analysis of non-asymptotic estimation error and structured statistical recovery based on norm regularized regression, such as Lasso, needs to consider four aspects: the norm, the loss function, the design matrix, and the noise model. This…
The kernel-based regularization method has two core issues: kernel design and hyperparameter estimation. In this paper, we focus on the second issue and study the properties of several hyperparameter estimators including the empirical Bayes…
Despite the simplicity and intuitive interpretation of Minimum Mean Squared Error (MMSE) estimators, their effectiveness in certain scenarios is questionable. Indeed, minimizing squared errors on average does not provide any form of…
We consider the problem of recovering a signal observed in Gaussian noise. If the set of signals is convex and compact, and can be specified beforehand, one can use classical linear estimators that achieve a risk within a constant factor of…
We consider the problem of finding tuned regularized parameter estimators for linear models. We start by showing that three known optimal linear estimators belong to a wider class of estimators that can be formulated as a solution to a…