相关论文: Bayes linear adjustment for variance matrices

As a classical problem, covariance estimation has drawn much attention from the statistical community for decades. Much work has been done under the frequentist and the Bayesian frameworks. Aiming to quantify the uncertainty of the…

We consider the problem of joint estimation of structured inverse covariance matrices. We perform the estimation using groups of measurements with different covariances of the same unknown structure. Assuming the inverse covariances to span…

We study the distribution of singular values of product of random matrices pertinent to the analysis of deep neural networks. The matrices resemble the product of the sample covariance matrices, however, an important difference is that the…

We construct a probabilistic coherence measure for information sets which determines a partial coherence ordering. This measure is applied in constructing a criterion for expanding our beliefs in the face of new information. A number of…

The paper deals with distribution of singular values of product of random matrices arising in the analysis of deep neural networks. The matrices resemble the product analogs of the sample covariance matrices, however, an important…

An algebraic investigation on bicomplex numbers is carried out here. Particularly matrices and linear maps defined on them are discussed. A new kind of cartesian product, referred to as an idempotent product, is introduced and studied. The…

Machine Learning is becoming more prevalent in science and engineering, but many approaches do not provide meaningful uncertainty estimates and predictions may also violate known physical knowledge. We propose a Bayesian framework to embed…

Covariance is used as an inner product on a formal vector space built on n random variables to define measures of correlation Md across a set of vectors in a d-dimensional space. For d = 1, one has the diameter; for d = 2, one has an area.…

We propose a modeling framework for time-varying covariance matrices based on the assumption that the logarithm of a realized covariance matrix follows a matrix-variate oNrmal distribution. By operating in the space of symmetric matrices,…

Assumptions about invariances or symmetries in data can significantly increase the predictive power of statistical models. Many commonly used models in machine learning are constraint to respect certain symmetries in the data, such as…

In covariance matrix estimation, one of the challenges lies in finding a suitable model and an efficient estimation method. Two commonly used modelling approaches in the literature involve imposing linear restrictions on the covariance…

Bayesian calibration of black-box computer models offers an established framework to obtain a posterior distribution over model parameters. Traditional Bayesian calibration involves the emulation of the computer model and an additive model…

The estimation of large covariance matrices has a high dimensional bias. Correcting for this bias can be reformulated via the tool of Free Probability Theory as a free deconvolution. The goal of this work is a computational and statistical…

Neural networks make accurate predictions but often fail to provide reliable uncertainty estimates, especially under covariate distribution shifts between training and testing. To address this problem, we propose a Bayesian framework for…

A Lorentz covariant matrix regularization of membrane thories is studied.It is shown that the action for a bosonic membrane can be defined by matrix regularization in a Lorentz covariant manner. The generator of area preserving…

This paper introduces a subspace method for the estimation of an array covariance matrix. It is shown that when the received signals are uncorrelated, the true array covariance matrices lie in a specific subspace whose dimension is…

Statistical modeling of spatiotemporal phenomena often requires selecting a covariance matrix from a covariance class. Yet standard parametric covariance families can be insufficiently flexible for practical applications, while…

Bayesian inverse problems use observed data to update a prior probability distribution for an unknown state or parameter of a scientific system to a posterior distribution conditioned on the data. In many applications, the unknown parameter…

Covariance matrix estimation is a fundamental statistical task in many applications, but the sample covariance matrix is sub-optimal when the sample size is comparable to or less than the number of features. Such high-dimensional settings…

Uncertainty relations are usually stated as bounds on selected combinations of variances, but the full covariance matrix contains substantially richer information about the geometry of quantum state space and about the operational…