6,989 research outputs found
Sparse covariance estimation in heterogeneous samples
Standard Gaussian graphical models (GGMs) implicitly assume that the
conditional independence among variables is common to all observations in the
sample. However, in practice, observations are usually collected form
heterogeneous populations where such assumption is not satisfied, leading in
turn to nonlinear relationships among variables. To tackle these problems we
explore mixtures of GGMs; in particular, we consider both infinite mixture
models of GGMs and infinite hidden Markov models with GGM emission
distributions. Such models allow us to divide a heterogeneous population into
homogenous groups, with each cluster having its own conditional independence
structure. The main advantage of considering infinite mixtures is that they
allow us easily to estimate the number of number of subpopulations in the
sample. As an illustration, we study the trends in exchange rate fluctuations
in the pre-Euro era. This example demonstrates that the models are very
flexible while providing extremely interesting interesting insights into
real-life applications
Nonparametric Bayesian multiple testing for longitudinal performance stratification
This paper describes a framework for flexible multiple hypothesis testing of
autoregressive time series. The modeling approach is Bayesian, though a blend
of frequentist and Bayesian reasoning is used to evaluate procedures.
Nonparametric characterizations of both the null and alternative hypotheses
will be shown to be the key robustification step necessary to ensure reasonable
Type-I error performance. The methodology is applied to part of a large
database containing up to 50 years of corporate performance statistics on
24,157 publicly traded American companies, where the primary goal of the
analysis is to flag companies whose historical performance is significantly
different from that expected due to chance.Comment: Published in at http://dx.doi.org/10.1214/09-AOAS252 the Annals of
Applied Statistics (http://www.imstat.org/aoas/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Convex relaxation of mixture regression with efficient algorithms
We develop a convex relaxation of maximum a posteriori estimation of a mixture of regression models. Although our relaxation involves a semidefinite matrix variable, we reformulate the problem to eliminate the need for general semidefinite programming. In particular, we provide two reformulations that admit fast algorithms. The first is a max-min spectral reformulation exploiting quasi-Newton descent. The second is a min-min reformulation consisting of fast alternating steps of closed-form updates. We evaluate the methods against Expectation-Maximization in a real problem of motion segmentation from video data
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