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We study the steady-state probability distribution of diffusion and consensus strategies that employ constant step-sizes to enable continuous adaptation and learning. We show that, in the small step-size regime, the estimation error at each agent approache ...
We propose a Bayesian approach where the signal structure can be represented by a mixture model with a submodular prior. We consider an observation model that leads to Lipschitz functions. Due to its combinatorial nature, computing the maximum a posteriori ...
Probabilistic matrix factorization methods aim to extract meaningful correlation structure from an incomplete data matrix by postulating low rank constraints. Recently, variational Bayesian (VB) inference techniques have successfully been applied to such l ...
Spatial modeling of rare events has obvious applications in the environmental sciences and is crucial when assessing the effects of catastrophic events (such as heatwaves or widespread flooding) on food security and on the sustainability of societal infras ...
A fast mean field variational Bayes (MFVB) approach to nonparametric regression when the predictors are subject to classical measurement error is investigated. It is shown that the use of such technology to the measurement error setting achieves reasonable ...
We examine the robustness and privacy properties of Bayesian inference under assumptions on the prior, but without any modifications to the Bayesian framework. First, we generalise the concept of differential privacy to arbitrary dataset distances, outcome ...
Composite likelihoods are increasingly used in applications where the full likelihood is analytically unknown or computationally prohibitive. Although some frequentist properties of the maximum composite likelihood estimator are akin to those of the maximu ...
Academia Sinica, Institute of Statistical Science2012
The modeling of multivariate extremes has received increasing recent attention because of its importance in risk assessment. In classical statistics of extremes, the joint distribution of two or more extremes has a nonparametric form, subject to moment con ...
Existing theory for multivariate extreme values focuses upon characterizations of the distributional tails when all components of a random vector, standardized to identical margins, grow at the same rate. In this paper, we consider the effect of allowing t ...
Bernoulli Society for Mathematical Statistics and Probability2013
Extreme events can be statistically characterised as excesses of a high threshold. Inference in this case has to account for dependence between excesses. The peaks over threshold approach suggests pre-processing the series by defining clusters of successiv ...
