相关论文: General empirical Bayes wavelet methods and exactl…

In many scientific applications the aim is to infer a function which is smooth in some areas, but rough or even discontinuous in other areas of its domain. Such spatially inhomogeneous functions can be modelled in Besov spaces with suitable…

The problem of estimating a high-dimensional sparse vector $\boldsymbol{\theta} \in \mathbb{R}^n$ from an observation in i.i.d. Gaussian noise is considered. The performance is measured using squared-error loss. An empirical Bayes shrinkage…

The sample mean is often used to aggregate different unbiased estimates of a parameter, producing a final estimate that is unbiased but possibly high-variance. This paper introduces the Bayesian median of means, an aggregation rule that…

The problem of nonparametric estimation of the conditional density of a response, given a vector of explanatory variables, is classical and of prominent importance in many prediction problems since the conditional density provides a more…

We study the rate of Bayesian consistency for hierarchical priors consisting of prior weights on a model index set and a prior on a density model for each choice of model index. Ghosal, Lember and Van der Vaart [2] have obtained general…

Statistical models can involve implicitly defined quantities, such as solutions to nonlinear ordinary differential equations (ODEs), that unavoidably need to be numerically approximated in order to evaluate the model. The approximation…

Epidemics are inherently stochastic, and stochastic models provide an appropriate way to describe and analyse such phenomena. Given temporal incidence data consisting of, for example, the number of new infections or removals in a given time…

Empirical Bayes estimators are based on minimizing the average risk with the hyper-parameters in the weighting function being estimated from observed data. The performance of an empirical Bayes estimator is typically evaluated by its mean…

We develop an approach to risk minimization and stochastic optimization that provides a convex surrogate for variance, allowing near-optimal and computationally efficient trading between approximation and estimation error. Our approach…

Implicit sampling is a weighted sampling method that is used in data assimilation, where one sequentially updates estimates of the state of a stochastic model based on a stream of noisy or incomplete data. Here we describe how to use…

Computer experiments are becoming increasingly important in scientific investigations. In the presence of uncertainty, analysts employ probabilistic sensitivity methods to identify the key-drivers of change in the quantities of interest.…

Conventional approximations to Bayesian inference rely on either approximations by statistics such as mean and covariance or by point particles. Recent advances such as the ensemble Gaussian mixture filter have generalized these notions to…

A central challenge in Gravitational Wave Astronomy is identifying weak signals in the presence of non-stationary and non-Gaussian noise. The separation of gravitational wave signals from noise requires good models for both. When accurate…

We study empirical Bayes estimation in high-dimensional linear regression. To facilitate computationally efficient estimation of the underlying prior, we adopt a variational empirical Bayes approach, introduced originally in Carbonetto and…

This paper presents a detailed theoretical analysis of the three stochastic approximation proximal gradient algorithms proposed in our companion paper [49] to set regularization parameters by marginal maximum likelihood estimation. We prove…

The paper deals with the non-parametric estimation in the regression with the multiplicative noise. Using the local polynomial fitting and the bayesian approach, we construct the minimax on isotropic H\"older class estimator. Next applying…

We consider three problems in high-dimensional Gaussian linear mixed models. Without any assumptions on the design for the fixed effects, we construct an asymptotic $F$-statistic for testing whether a collection of random effects is zero,…

We study the unconstrained minimization of a smooth and strongly convex population loss function under a stochastic oracle that introduces both additive and multiplicative noise; this is a canonical and widely-studied setting that arises…

We present new M-estimators of the mean and variance of real valued random variables, based on PAC-Bayes bounds. We analyze the non-asymptotic minimax properties of the deviations of those estimators for sample distributions having either a…

Randomized benchmarking (RB) protocols are standard tools for characterizing quantum devices. Prior analyses of RB protocols have not provided a complete method for analyzing realistic data, resulting in a variety of ad-hoc methods. The…