42,872 research outputs found
Nonlinear shrinkage estimation of large-dimensional covariance matrices
Many statistical applications require an estimate of a covariance matrix
and/or its inverse. When the matrix dimension is large compared to the sample
size, which happens frequently, the sample covariance matrix is known to
perform poorly and may suffer from ill-conditioning. There already exists an
extensive literature concerning improved estimators in such situations. In the
absence of further knowledge about the structure of the true covariance matrix,
the most successful approach so far, arguably, has been shrinkage estimation.
Shrinking the sample covariance matrix to a multiple of the identity, by taking
a weighted average of the two, turns out to be equivalent to linearly shrinking
the sample eigenvalues to their grand mean, while retaining the sample
eigenvectors. Our paper extends this approach by considering nonlinear
transformations of the sample eigenvalues. We show how to construct an
estimator that is asymptotically equivalent to an oracle estimator suggested in
previous work. As demonstrated in extensive Monte Carlo simulations, the
resulting bona fide estimator can result in sizeable improvements over the
sample covariance matrix and also over linear shrinkage.Comment: Published in at http://dx.doi.org/10.1214/12-AOS989 the Annals of
Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical
Statistics (http://www.imstat.org
On the efficient numerical solution of lattice systems with low-order couplings
We apply the Quasi Monte Carlo (QMC) and recursive numerical integration
methods to evaluate the Euclidean, discretized time path-integral for the
quantum mechanical anharmonic oscillator and a topological quantum mechanical
rotor model. For the anharmonic oscillator both methods outperform standard
Markov Chain Monte Carlo methods and show a significantly improved error
scaling. For the quantum mechanical rotor we could, however, not find a
successful way employing QMC. On the other hand, the recursive numerical
integration method works extremely well for this model and shows an at least
exponentially fast error scaling
Efficient Monte Carlo Integration Using Boosted Decision Trees and Generative Deep Neural Networks
New machine learning based algorithms have been developed and tested for
Monte Carlo integration based on generative Boosted Decision Trees and Deep
Neural Networks. Both of these algorithms exhibit substantial improvements
compared to existing algorithms for non-factorizable integrands in terms of the
achievable integration precision for a given number of target function
evaluations. Large scale Monte Carlo generation of complex collider physics
processes with improved efficiency can be achieved by implementing these
algorithms into commonly used matrix element Monte Carlo generators once their
robustness is demonstrated and performance validated for the relevant classes
of matrix elements
An alternative marginal likelihood estimator for phylogenetic models
Bayesian phylogenetic methods are generating noticeable enthusiasm in the
field of molecular systematics. Many phylogenetic models are often at stake and
different approaches are used to compare them within a Bayesian framework. The
Bayes factor, defined as the ratio of the marginal likelihoods of two competing
models, plays a key role in Bayesian model selection. We focus on an
alternative estimator of the marginal likelihood whose computation is still a
challenging problem. Several computational solutions have been proposed none of
which can be considered outperforming the others simultaneously in terms of
simplicity of implementation, computational burden and precision of the
estimates. Practitioners and researchers, often led by available software, have
privileged so far the simplicity of the harmonic mean estimator (HM) and the
arithmetic mean estimator (AM). However it is known that the resulting
estimates of the Bayesian evidence in favor of one model are biased and often
inaccurate up to having an infinite variance so that the reliability of the
corresponding conclusions is doubtful. Our new implementation of the
generalized harmonic mean (GHM) idea recycles MCMC simulations from the
posterior, shares the computational simplicity of the original HM estimator,
but, unlike it, overcomes the infinite variance issue. The alternative
estimator is applied to simulated phylogenetic data and produces fully
satisfactory results outperforming those simple estimators currently provided
by most of the publicly available software
Connecting the Dots: Towards Continuous Time Hamiltonian Monte Carlo
Continuous time Hamiltonian Monte Carlo is introduced, as a powerful
alternative to Markov chain Monte Carlo methods for continuous target
distributions. The method is constructed in two steps: First Hamiltonian
dynamics are chosen as the deterministic dynamics in a continuous time
piecewise deterministic Markov process. Under very mild restrictions, such a
process will have the desired target distribution as an invariant distribution.
Secondly, the numerical implementation of such processes, based on adaptive
numerical integration of second order ordinary differential equations is
considered. The numerical implementation yields an approximate, yet highly
robust algorithm that, unlike conventional Hamiltonian Monte Carlo, enables the
exploitation of the complete Hamiltonian trajectories (hence the title). The
proposed algorithm may yield large speedups and improvements in stability
relative to relevant benchmarks, while incurring numerical errors that are
negligible relative to the overall Monte Carlo errors
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