7,710 research outputs found
Unsupervised Learning via Mixtures of Skewed Distributions with Hypercube Contours
Mixture models whose components have skewed hypercube contours are developed
via a generalization of the multivariate shifted asymmetric Laplace density.
Specifically, we develop mixtures of multiple scaled shifted asymmetric Laplace
distributions. The component densities have two unique features: they include a
multivariate weight function, and the marginal distributions are also
asymmetric Laplace. We use these mixtures of multiple scaled shifted asymmetric
Laplace distributions for clustering applications, but they could equally well
be used in the supervised or semi-supervised paradigms. The
expectation-maximization algorithm is used for parameter estimation and the
Bayesian information criterion is used for model selection. Simulated and real
data sets are used to illustrate the approach and, in some cases, to visualize
the skewed hypercube structure of the components
Bayesian emulation for optimization in multi-step portfolio decisions
We discuss the Bayesian emulation approach to computational solution of
multi-step portfolio studies in financial time series. "Bayesian emulation for
decisions" involves mapping the technical structure of a decision analysis
problem to that of Bayesian inference in a purely synthetic "emulating"
statistical model. This provides access to standard posterior analytic,
simulation and optimization methods that yield indirect solutions of the
decision problem. We develop this in time series portfolio analysis using
classes of economically and psychologically relevant multi-step ahead portfolio
utility functions. Studies with multivariate currency, commodity and stock
index time series illustrate the approach and show some of the practical
utility and benefits of the Bayesian emulation methodology.Comment: 24 pages, 7 figures, 2 table
Bayesian Semiparametric Multivariate Density Deconvolution
We consider the problem of multivariate density deconvolution when the
interest lies in estimating the distribution of a vector-valued random variable
but precise measurements of the variable of interest are not available,
observations being contaminated with additive measurement errors. The existing
sparse literature on the problem assumes the density of the measurement errors
to be completely known. We propose robust Bayesian semiparametric multivariate
deconvolution approaches when the measurement error density is not known but
replicated proxies are available for each unobserved value of the random
vector. Additionally, we allow the variability of the measurement errors to
depend on the associated unobserved value of the vector of interest through
unknown relationships which also automatically includes the case of
multivariate multiplicative measurement errors. Basic properties of finite
mixture models, multivariate normal kernels and exchangeable priors are
exploited in many novel ways to meet the modeling and computational challenges.
Theoretical results that show the flexibility of the proposed methods are
provided. We illustrate the efficiency of the proposed methods in recovering
the true density of interest through simulation experiments. The methodology is
applied to estimate the joint consumption pattern of different dietary
components from contaminated 24 hour recalls
Parsimonious Shifted Asymmetric Laplace Mixtures
A family of parsimonious shifted asymmetric Laplace mixture models is
introduced. We extend the mixture of factor analyzers model to the shifted
asymmetric Laplace distribution. Imposing constraints on the constitute parts
of the resulting decomposed component scale matrices leads to a family of
parsimonious models. An explicit two-stage parameter estimation procedure is
described, and the Bayesian information criterion and the integrated completed
likelihood are compared for model selection. This novel family of models is
applied to real data, where it is compared to its Gaussian analogue within
clustering and classification paradigms
Multiplying a Gaussian Matrix by a Gaussian Vector
We provide a new and simple characterization of the multivariate generalized
Laplace distribution. In particular, this result implies that the product of a
Gaussian matrix with independent and identically distributed columns by an
independent isotropic Gaussian vector follows a symmetric multivariate
generalized Laplace distribution
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