相关论文: Non-Gaussian Likelihood Function
Recent methods for estimating sparse undirected graphs for real-valued data in high dimensional problems rely heavily on the assumption of normality. We show how to use a semiparametric Gaussian copula--or "nonparanormal"--for high…
Exact formulas are derived for the probability density functions of the sum and difference of two independent non-central gamma distributed random variables, with both series and integral representations of the density presented. These…
In this paper, we consider the distribution of the supremum of non-stationary Gaussian processes, and present a new theoretical result on the asymptotic behaviour of this distribution. Unlike previously known facts in this field, our main…
Statistical inference more often than not involves models which are non-linear in the parameters thus leading to non-Gaussian posteriors. Many computational and analytical tools exist that can deal with non-Gaussian distributions, and…
Graphical models with bi-directed edges (<->) represent marginal independence: the absence of an edge between two vertices indicates that the corresponding variables are marginally independent. In this paper, we consider maximum likelihood…
We study the problem of estimating the covariance parameters of a one-dimensional Gaussian process with exponential covariance function under fixed-domain asymptotics. We show that the weighted pairwise maximum likelihood estimator of the…
This paper investigates the approximation of Gaussian random variables in Banach spaces, focusing on the high-probability bounds for the approximation of Gaussian random variables using finitely many observations. We derive non-asymptotic…
We present general, analytic methods for Cosmological likelihood analysis and solve the "many-parameters" problem in Cosmology. Maxima are found by Newton's Method, while marginalization over nuisance parameters, and parameter errors and…
This study develops a non-asymptotic Gaussian approximation theory for distributions of M-estimators, which are defined as maximizers of empirical criterion functions. In existing mathematical statistics literature, numerous studies have…
Likelihood analysis is typically limited to normally distributed noise due to the difficulty of determining the probability density function of complex, high-dimensional, non-Gaussian, and anisotropic noise. This is a major limitation for…
We propose a method for inference in generalised linear mixed models (GLMMs) and several extensions of these models. First, we extend the GLMM by allowing the distribution of the random components to be non-Gaussian, that is, assuming an…
This paper deals with nonparametric maximum likelihood estimation for Gaussian locally stationary processes. Our nonparametric MLE is constructed by minimizing a frequency domain likelihood over a class of functions. The asymptotic behavior…
New results on uniform convergence in probability for expansions of Gaussian random processes using compactly supported wavelets are given. The main result is valid for general classes of nonstationary processes. An application of the…
The stochastic properties of variables whose addition leads to $q$-Gaussian distributions $G_q(x)=[1+(q-1)x^2]_+^{1/(1-q)}$ (with $q\in\mathbb{R}$ and where $[f(x)]_+=max\{f(x),0\}$) as limit law for a large number of terms are…
We present a method to transform multivariate unimodal non-Gaussian posterior probability densities into approximately Gaussian ones via non-linear mappings, such as Box--Cox transformations and generalisations thereof. This permits an…
A variational method is discussed, extending the Gaussian effective potential to higher orders. The single variational parameter is replaced by trial unknown two-point functions, with infinite variational parameters to be optimized by the…
We develop a class of non-Gaussian translation processes that extend classical stochastic differential equations (SDEs) by prescribing arbitrary absolutely continuous marginal distributions. Our approach uses a copula-based transformation…
This paper provides a precise error analysis for the maximum likelihood estimate $\hat{a}_{\text{ML}}(u_1^n)$ of the parameter $a$ given samples $u_1^n = (u_1, \ldots, u_n)'$ drawn from a nonstationary Gauss-Markov process $U_i = a U_{i-1}…
We derive the Wick theorem for the q-Exponential distribution. We use the theorem to derive an algorithm for finding parameters of the correlation matrix of q-Exponentialy distributed random variables given empirical spectral moments of the…
Standard present day large-scale structure (LSS) analyses make a major assumption in their Bayesian parameter inference --- that the likelihood has a Gaussian form. For summary statistics currently used in LSS, this assumption, even if the…