A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
The paper examines how heavy-tailed risks behave under Gaussian copula models.
Study on neuron dynamics for XOR classification with zero-margin.
Bayesian inference for wide neural networks using Edgeworth expansion.
Improves Gaussian process regression without bias.
The study establishes SQ lower bounds for learning halfspaces and ReLUs under Gaussian marginals.
Improved Gaussian process regression with tighter log marginal likelihood bounds.
Warm starts improve Gaussian process regression by up to 16x.
Proposes a more efficient knot selection method for sparse Gaussian processes.
New method estimates Gaussian copulas with missing data using EM algorithm.
Gaussian random vectors exhibit the loss of dimension phenomena, which relate to their joint survival tail behaviour. Besides, the fact that the components of such vectors are light-tailed complicates the approximations of various multivariate risk measures significantly. In this contribution we derive precise approxim…
Graphical models with bi-directed edges (<->) represent marginal independence: the absence of an edge between two vertices indicates that the corresponding variables are marginally independent. In this paper, we consider maximum likelihood estimation in the case of continuous variables with a Gaussian joint distributio…
Study shows how over-parameterized classifiers can still perform well on noisy data.
Method estimates noise variance in Gaussian process regression.
Proposes a method to optimize neural network initialization using marginal likelihood maximization.
Corrects errors in ILA for Bayesian inference in LGMs.
Gaussian process regression is a popular method for non-parametric probabilistic modeling of functions. The Gaussian process prior is characterized by so-called hyperparameters, which often have a large influence on the posterior model and can be difficult to tune. This work provides a method for numerical marginalizat…
Max-margin classifiers' behavior is studied in high dimensions with non-Gaussian features.
Improves hyperparameter learning in GP models with non-conjugate likelihoods.
Deep Gaussian processes provide a flexible approach to probabilistic modelling of data using either supervised or unsupervised learning. For tractable inference approximations to the marginal likelihood of the model must be made. The original approach to approximate inference in these models used variational compressio…
We propose an active learning method for discovering low-dimensional structure in high-dimensional Gaussian process (GP) tasks. Such problems are increasingly frequent and important, but have hitherto presented severe practical difficulties. We further introduce a novel technique for approximately marginalizing GP hype…
Robust GP model detects and corrects sparse outliers.
Two methods improve Gaussian process predictive distributions' calibration.
Deep Gaussian processes (DGPs) can model complex marginal densities as well as complex mappings. Non-Gaussian marginals are essential for modelling real-world data, and can be generated from the DGP by incorporating uncorrelated variables to the model. Previous work on DGP models has introduced noise additively and use…
Gaussian Belief Propagation (BP) algorithm is one of the most important distributed algorithms in signal processing and statistical learning involving Markov networks. It is well known that the algorithm correctly computes marginal density functions from a high dimensional joint density function over a Markov network i…
We consider the problem of discriminative factor analysis for data that are in general non-Gaussian. A Bayesian model based on the ranks of the data is proposed. We first introduce a new {\em max-margin} version of the rank-likelihood. A discriminative factor model is then developed, integrating the max-margin rank-lik…
Hard to learn ReLU with Gaussian data, but can approximate efficiently.
We obtain a tight distribution-specific characterization of the sample complexity of large-margin classification with L2 regularization: We introduce the margin-adapted dimension, which is a simple function of the second order statistics of the data distribution, and show distribution-specific upper and lower bounds on…
CMRFs extend PGMs for topological data, capturing both conditional and marginal dependencies.
Combines VI and EP for better Gaussian process hyperparameter learning.
The problem of determining the joint probability distributions for correlated random variables with pre-specified marginals is considered. When the joint distribution satisfying all the required conditions is not unique, the "most unbiased" choice corresponds to the distribution of maximum entropy. The calculation of t…
We introduce the truncated Gaussian graphical model (TGGM) as a novel framework for designing statistical models for nonlinear learning. A TGGM is a Gaussian graphical model (GGM) with a subset of variables truncated to be nonnegative. The truncated variables are assumed latent and integrated out to induce a marginal m…
We present a new family of models that is based on graphs that may have undirected, directed and bidirected edges. We name these new models marginal AMP (MAMP) chain graphs because each of them is Markov equivalent to some AMP chain graph under marginalization of some of its nodes. However, MAMP chain graphs do not onl…
The Partial Information Decomposition (PID) [arXiv:1004.2515] provides a theoretical framework to characterize and quantify the structure of multivariate information sharing. A new method (Idep) has recently been proposed for computing a two-predictor PID over discrete spaces. [arXiv:1709.06653] A lattice of maximum en…
Generalising well in supervised learning tasks relies on correctly extrapolating the training data to a large region of the input space. One way to achieve this is to constrain the predictions to be invariant to transformations on the input that are known to be irrelevant (e.g. translation). Commonly, this is done thro…
We address the problem of computing approximate marginals in Gaussian probabilistic models by using mean field and fractional Bethe approximations. We define the Gaussian fractional Bethe free energy in terms of the moment parameters of the approximate marginals, derive a lower and an upper bound on the fractional Beth…
A new method for semi-supervised learning with missing data using GMM and margin confidence.
The paper analyzes SBL pruning criteria under weakened assumptions.
GNIs induce a regulariser that penalizes high-frequency components in neural network activations.
We utilize copulas to constitute a unified framework for constructing and optimizing variational proposals in hierarchical Bayesian models. For models with continuous and non-Gaussian hidden variables, we propose a semiparametric and automated variational Gaussian copula approach, in which the parametric Gaussian copul…
Bayesian approach models nonignorable missing data using copulas and marginal quantiles.
Monotonic improvement in uncertainty estimation with Gaussian processes as dimension increases.
We investigate the Student-t process as an alternative to the Gaussian process as a nonparametric prior over functions. We derive closed form expressions for the marginal likelihood and predictive distribution of a Student-t process, by integrating away an inverse Wishart process prior over the covariance kernel of a G…
We address the problem of computing approximate marginals in Gaussian probabilistic models by using mean field and fractional Bethe approximations. As an extension of Welling and Teh (2001), we define the Gaussian fractional Bethe free energy in terms of the moment parameters of the approximate marginals and derive an …
As increasing amounts of sensitive personal information is aggregated into data repositories, it has become important to develop mechanisms for processing the data without revealing information about individual data instances. The differential privacy model provides a framework for the development and theoretical analy…
We introduce a Bayesian framework for inference with a supervised version of the Gaussian process latent variable model. The framework overcomes the high correlations between latent variables and hyperparameters by using an unbiased pseudo estimate for the marginal likelihood that approximately integrates over the late…
New neural network approach for optimizing latent variable models.
Bayesian deep learning improves neural network accuracy and generalization.
Empirical Bayes method improves Gaussian sequence model inference.