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.
New method for efficient maximum likelihood estimation of -generalized probit regression.
The multivariate probit model (MVP) is a popular classic model for studying binary responses of multiple entities. Nevertheless, the computational challenge of learning the MVP model, given that its likelihood involves integrating over a multidimensional constrained space of latent variables, significantly limits its a…
Improves graph-based active learning for non-Gaussian models.
Linear Mixed Models (LMMs) are important tools in statistical genetics. When used for feature selection, they allow to find a sparse set of genetic traits that best predict a continuous phenotype of interest, while simultaneously correcting for various confounding factors such as age, ethnicity and population structure…
An efficient algorithm selects the correct number of latent dimensions in multidimensional probit models.
We consider probabilistic multinomial probit classification using Gaussian process (GP) priors. The challenges with the multiclass GP classification are the integration over the non-Gaussian posterior distribution, and the increase of the number of unknown latent variables as the number of target classes grows. Expecta…
Unified Skew-Gaussian process framework for various regression and classification tasks.
The logistic normal distribution has recently been adapted via the transformation of multivariate Gaus- sian variables to model the topical distribution of documents in the presence of correlations among topics. In this paper, we propose a probit normal alternative approach to modelling correlated topical structures. O…
Probit Monotone BART estimates binary outcomes using monotonic functions.
This article proposes Multinomial Probit Bayesian Additive Regression Trees (MPBART) as a multinomial probit extension of BART - Bayesian Additive Regression Trees (Chipman et al (2010)). MPBART is flexible to allow inclusion of predictors that describe the observed units as well as the available choice alternatives. T…
Gaussian process classification (GPC) provides a flexible and powerful statistical framework describing joint distributions over function space. Conventional GPCs however suffer from (i) poor scalability for big data due to the full kernel matrix, and (ii) intractable inference due to the non-Gaussian likelihoods. Henc…
The logistic regression model is known to converge to a Poisson point process model if the binary response tends to infinitely imbalanced. In this paper, it is shown that this phenomenon is universal in a wide class of link functions on binomial regression. The proof relies on the extreme value theory. For the logit, p…
EP method speeds up Bayesian probit regression in high dimensions.
New conjugate priors improve Bayesian inference for multinomial probit models.
Binary classification models get more efficient predictive probabilities.
Categorical distributions are ubiquitous in machine learning, e.g., in classification, language models, and recommendation systems. However, when the number of possible outcomes is very large, using categorical distributions becomes computationally expensive, as the complexity scales linearly with the number of outcome…
Efficient EP algorithm improves smoothing distribution inference in financial models.
Bayesian methods improve inference for cumulative probit models on large datasets.
MPVAE learns latent embeddings and label correlations for multi-label classification.
The study examines mixing times of data-augmentation Gibbs samplers for high-dimensional probit regression.
With the scale of data growing every day, reducing the dimensionality (a.k.a. sketching) of high-dimensional data has emerged as a task of paramount importance. Relevant issues to address in this context include the sheer volume of data that may consist of categorical samples, the typically streaming format of acquisit…
Learning multiple tasks across heterogeneous domains is a challenging problem since the feature space may not be the same for different tasks. We assume the data in multiple tasks are generated from a latent common domain via sparse domain transforms and propose a latent probit model (LPM) to jointly learn the domain t…
Bayesian method models binary response and covariates for two groups, estimating causal relationships.
New algorithm learns sparse GLMs for binary outcomes efficiently.
Proposes a new tensor factorization model for better link prediction in knowledge graphs.
Paper develops Bayesian inference for discrete-choice mnp models with Gaussian priors.
Efficiently identifies important variables in binary outcomes using variational Bayes.
Probit regression was first proposed by Bliss in 1934 to study mortality rates of insects. Since then, an extensive body of work has analyzed and used probit or related binary regression methods (such as logistic regression) in numerous applications and fields. This paper provides a fresh angle to such well-established…
Black-box alpha (BB-) is a new approximate inference method based on the minimization of -divergences. BB- scales to large datasets because it can be implemented using stochastic gradient descent. BB- can be applied to complex probabilistic models with little effort since it only requires as input the likel…
Novel Bayesian model improves EEG-based BCI character selection.
SBPMT combines bagging and boosting for improved classification.
Skew Gaussian Processes improve classification performance by allowing asymmetry.
We present a scalable Bayesian model for low-rank factorization of massive tensors with binary observations. The proposed model has the following key properties: (1) in contrast to the models based on the logistic or probit likelihood, using a zero-truncated Poisson likelihood for binary data allows our model to scale …
New method simplifies Bayesian analysis for categorical data.
We show how the problem of estimating conditional Kendall's tau can be rewritten as a classification task. Conditional Kendall's tau is a conditional dependence parameter that is a characteristic of a given pair of random variables. The goal is to predict whether the pair is concordant (value of ) or discordant (val…
Graph-based semi-supervised learning is the problem of propagating labels from a small number of labelled data points to a larger set of unlabelled data. This paper is concerned with the consistency of optimization-based techniques for such problems, in the limit where the labels have small noise and the underlying unl…
We study convex empirical risk minimization for high-dimensional inference in binary models. Our first result sharply predicts the statistical performance of such estimators in the linear asymptotic regime under isotropic Gaussian features. Importantly, the predictions hold for a wide class of convex loss functions, wh…
This paper provides a theoretical and computational justification of the long held claim that of the similarity of the probit and logit link functions often used in binary classification. Despite this widespread recognition of the strong similarities between these two link functions, very few (if any) researchers have …
We analyze mixing times of three DA algorithms for regression models.
Logistic regression is used thousands of times a day to fit data, predict future outcomes, and assess the statistical significance of explanatory variables. When used for the purpose of statistical inference, logistic models produce p-values for the regression coefficients by using an approximation to the distribution …
New algorithms improve MPBART for HIV patient data.
We introduce a Bayesian nonparametric regression model for data with multiway (tensor) structure, motivated by an application to periodontal disease (PD) data. Our outcome is the number of diseased sites measured over four different tooth types for each subject, with subject-specific covariates available as predictors.…
Characterizes uncertainty in high-dimensional linear classification models.
Classification of high dimensional data finds wide-ranging applications. In many of these applications equipping the resulting classification with a measure of uncertainty may be as important as the classification itself. In this paper we introduce, develop algorithms for, and investigate the properties of, a variety o…
Identity-link IRT improves TVD-MI scores without curvature violations.
Paper introduces symmetric divergence link models for probability distributions.
Efficient cross-validation for multi-penalty ridge regression.
Two methods use BART to model missing data in leaf photosynthetic trait data.