Alternative EM methods for nonparametric finite mixture models
非参数有限混合模型的替代 EM 方法AI 解读 ↓
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非参数有限混合模型的替代 EM 方法AI 解读 ↓
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This research focuses on a general class of maximum likelihood problems in which it is desired to maximise a nonparametric mixture likelihood with finitely many known component densities over the set of unknown weight parameters. Convergence of the conventional EM algorithm for this problem is extremely slow when the component densities are poorly separated and when the maximum likelihood estimator requires some of the weights to be zero, as the algorithm can never reach such a boundary point. Alternative methods based on the principles of EM are developed using a two‐stage approach. First, a new data augmentation scheme provides improved convergence rates in certain parameter directions. Secondly, two ‘cyclic versions’ of this data augmentation are created by changing the missing data formulation between the EM‐steps; these extend the acceleration directions to the whole parameter space, giving another order of magnitude increase in convergence rate. Examples indicate that the new cyclic versions of the data augmentation schemes can converge up to 500 times faster than the conventional EM algorithm for fitting nonparametric finite mixture models.
ARMA 过程谱密度函数的分解
Quasi-periodic oscillations are characterized by fitting Lorentzian functions to a nonparametric estimate of the power spectral density, a two-step procedure that separates estimation from modeling and does not accommodate measurement error. We develop a parametric alternative based on autoregressive moving-average (ARMA) processes observed with measurement error. We derive an exact decomposition of the ARMA spectral density into real-valued components, one for each class of…
RBF 核高斯过程最大似然估计的精确渐近理论
Gaussian processes (GPs) are widely used across machine learning, spatial statistics, time-series analysis, optimization, Bayesian statistics, and scientific applications. A central component of a GP model is its kernel, which is typically specified through a parametric family. Among the most widely used choices is the radial basis function (RBF), also known as the squared exponential or Gaussian kernel, owing to its simple form, smoothness, and flexibility. In practice, the…
有限状态嵌套 Markov 模型的递归头几何与无序有效推断
Exploiting the equality restrictions that nested Markov models encode requires their tangent-space geometry. For strictly positive finite-state models on arbitrary acyclic directed mixed graphs (ADMGs), we differentiate the recursive-head chart and prove that the range of its score map is the full tangent space. Intrinsic-set coordinate blocks form an algebraic direct sum, blocks of distinct districts are orthogonal, and the resulting Gram projection needs neither…
风险比较定理及其在扩散系数深度学习中的应用
We investigate the nonparametric estimation of the diffusion matrix in stochastic differential equations featuring multidimensional, strong mixing covariate processes. We propose a flexible statistical framework based on general function classes that does not require a linear basis representation, rendering our results directly applicable to deep neural network estimators. Our approach employs a two-step estimation procedure: constructing a preliminary nonparametric…
必须追求效率:模糊性、模型误设与变分偏好
This article introduces a framework for evaluating statistical decisions under both prior ambiguity and likelihood misspecification. We begin with an ambiguity set - a frequentist model that pairs a possibly misspecified likelihood with every possible prior - and uniformly expand it by a Kullback-Leibler radius to accommodate likelihood misspecification. We show that optimal decisions under this framework are equivalent to minimax decisions with an exponentially tilted loss…
通过贝叶斯非参数方法研究复合决策与经验贝叶斯
We study compound decision theory from a nonparametric Bayesian perspective, with particular emphasis on their relationship to empirical Bayes (EB) procedures. Motivated by the sharp risk guarantees available for EB procedures based on the nonparametric maximum likelihood estimator (NPMLE), we investigate whether analogous guarantees can be established for fully Bayesian decision rules. In a class of Gaussian compound decision problems, we show that the fully Bayesian…