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Saddlepoint Approximation for Moments of Random Variables
Saddlepoint Approximation Higher moments Sums of i.i.d.ran- dom variables
2016/1/19
In this paper we introduce a saddlepoint approximation method for higher-order moments like E(S − a) m+ ,a > 0, where the random variable S in these expectations could be a single random variabl...
Approximation of bivariate copulas by patched bivariate Fréchet copulas
Bivariate Fréchet copulas patched bivariate Fréchet copula approximation of bivariate copulas
2016/1/19
Bivariate Fréchet (BF) copulas characterize dependence as a mixture of three simple structures: comonotonicity, in-dependence and countermonotonicity. They are easily interpretable but have limitation...
Submodular meets Spectral: Greedy Algorithms for Subset Selection, Sparse Approximation and Dictionary Selection
Greedy Algorithms Subset Selection Dictionary Selection
2011/3/22
We study the problem of selecting a subset of k random variables from a large set, in order to obtain the best linear prediction of another variable of interest. This problem can be viewed in the cont...
Stochastic Approximation and Newton's Estimate of a Mixing Distribution
Stochastic approximation empirical Bayes mixture models Lyapunov functions
2011/3/22
Many statistical problems involve mixture models and the need for computationally efficient methods to estimate the mixing distribution has increased dramatically in recent years. Newton [Sankhya Ser....