54,303 research outputs found
Monte Carlo Algorithms for the Partition Function and Information Rates of Two-Dimensional Channels
The paper proposes Monte Carlo algorithms for the computation of the
information rate of two-dimensional source/channel models. The focus of the
paper is on binary-input channels with constraints on the allowed input
configurations. The problem of numerically computing the information rate, and
even the noiseless capacity, of such channels has so far remained largely
unsolved. Both problems can be reduced to computing a Monte Carlo estimate of a
partition function. The proposed algorithms use tree-based Gibbs sampling and
multilayer (multitemperature) importance sampling. The viability of the
proposed algorithms is demonstrated by simulation results
Block-diagonal covariance selection for high-dimensional Gaussian graphical models
Gaussian graphical models are widely utilized to infer and visualize networks
of dependencies between continuous variables. However, inferring the graph is
difficult when the sample size is small compared to the number of variables. To
reduce the number of parameters to estimate in the model, we propose a
non-asymptotic model selection procedure supported by strong theoretical
guarantees based on an oracle inequality and a minimax lower bound. The
covariance matrix of the model is approximated by a block-diagonal matrix. The
structure of this matrix is detected by thresholding the sample covariance
matrix, where the threshold is selected using the slope heuristic. Based on the
block-diagonal structure of the covariance matrix, the estimation problem is
divided into several independent problems: subsequently, the network of
dependencies between variables is inferred using the graphical lasso algorithm
in each block. The performance of the procedure is illustrated on simulated
data. An application to a real gene expression dataset with a limited sample
size is also presented: the dimension reduction allows attention to be
objectively focused on interactions among smaller subsets of genes, leading to
a more parsimonious and interpretable modular network.Comment: Accepted in JAS
Nonparametric estimation for Levy processes with a view towards mathematical finance
Nonparametric methods for the estimation of the Levy density of a Levy
process are developed. Estimators that can be written in terms of the ``jumps''
of the process are introduced, and so are discrete-data based approximations. A
model selection approach made up of two steps is investigated. The first step
consists in the selection of a good estimator from a linear model of proposed
Levy densities, while the second is a data-driven selection of a linear model
among a given collection of linear models. By providing lower bounds for the
minimax risk of estimation over Besov Levy densities, our estimators are shown
to achieve the ``best'' rate of convergence. A numerical study for the case of
histogram estimators and for variance Gamma processes, models of key importance
in risky asset price modeling driven by Levy processes, is presented.Comment: 68 pages, 19 figures, submitted to Annals of Statistic
Efficient semiparametric estimation and model selection for multidimensional mixtures
In this paper, we consider nonparametric multidimensional finite mixture
models and we are interested in the semiparametric estimation of the population
weights. Here, the i.i.d. observations are assumed to have at least three
components which are independent given the population. We approximate the
semiparametric model by projecting the conditional distributions on step
functions associated to some partition. Our first main result is that if we
refine the partition slowly enough, the associated sequence of maximum
likelihood estimators of the weights is asymptotically efficient, and the
posterior distribution of the weights, when using a Bayesian procedure,
satisfies a semiparametric Bernstein von Mises theorem. We then propose a
cross-validation like procedure to select the partition in a finite horizon.
Our second main result is that the proposed procedure satisfies an oracle
inequality. Numerical experiments on simulated data illustrate our theoretical
results
Capacity estimation of two-dimensional channels using Sequential Monte Carlo
We derive a new Sequential-Monte-Carlo-based algorithm to estimate the
capacity of two-dimensional channel models. The focus is on computing the
noiseless capacity of the 2-D one-infinity run-length limited constrained
channel, but the underlying idea is generally applicable. The proposed
algorithm is profiled against a state-of-the-art method, yielding more than an
order of magnitude improvement in estimation accuracy for a given computation
time
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