计量经济分析 = Econometric analysis

Today's Web-enabled deluge of electronic data calls for automated methods of data analysis. Machine learning provides these, developing methods that can automatically detect patterns in data and then use the uncovered patterns to predict future data. This textbook offers a comprehensive and self-contained introduction to the field of machine learning, based on a unified, probabilistic approach. The coverage combines breadth and depth, offering necessary background material on such topics as probability, optimization, and linear algebra as well as discussion of recent developments in the field, including conditional random fields, L1 regularization, and deep learning. The book is written in an informal, accessible style, complete with pseudo-code for the most important algorithms. All topics are copiously illustrated with color images and worked examples drawn from such application domains as biology, text processing, computer vision, and robotics. Rather than providing a cookbook of different heuristic methods, the book stresses a principled model-based approach, often using the language of graphical models to specify models in a concise and intuitive way. Almost all the models described have been implemented in a MATLAB software package--PMTK (probabilistic modeling toolkit)--that is freely available online. The book is suitable for upper-level undergraduates with an introductory-level college math background and beginning graduate students.

Machine Learning : A Probabilistic Perspective

On robust estimation of the location parameter

5分で分かる!? 有名論文ナナメ読み：Jacob Devlin et al. : BERT : Pre-training of Deep Bidirectional Transformers for Language Understanding

The paper proposes Metropolis adjusted Langevin and Hamiltonian Monte Carlo sampling methods defined on the Riemann manifold to resolve the shortcomings of existing Monte Carlo algorithms when sampling from target densities that may be high dimensional and exhibit strong correlations. The methods provide fully automated adaptation mechanisms that circumvent the costly pilot runs that are required to tune proposal densities for Metropolis-Hastings or indeed Hamiltonian Monte Carlo and Metropolis adjusted Langevin algorithms. This allows for highly efficient sampling even in very high dimensions where different scalings may be required for the transient and stationary phases of the Markov chain. The methodology proposed exploits the Riemann geometry of the parameter space of statistical models and thus automatically adapts to the local structure when simulating paths across this manifold, providing highly efficient convergence and exploration of the target density. The performance of these Riemann manifold Monte Carlo methods is rigorously assessed by performing inference on logistic regression models, log-Gaussian Cox point processes, stochastic volatility models and Bayesian estimation of dynamic systems described by non-linear differential equations. Substantial improvements in the time-normalized effective sample size are reported when compared with alternative sampling approaches. MATLAB code that is available from http://www.ucl.ac.uk/statistics/research/rmhmc allows replication of all the results reported.

Riemann manifold Langevin and Hamiltonian Monte Carlo methods

Nonparametric Bayesian methods are considered for recovery of imagery based upon compressive, incomplete, and/or noisy measurements. A truncated beta-Bernoulli process is employed to infer an appropriate dictionary for the data under test and also for image recovery. In the context of compressive sensing, significant improvements in image recovery are manifested using learned dictionaries, relative to using standard orthonormal image expansions. The compressive-measurement projections are also optimized for the learned dictionary. Additionally, we consider simpler (incomplete) measurements, defined by measuring a subset of image pixels, uniformly selected at random. Spatial interrelationships within imagery are exploited through use of the Dirichlet and probit stick-breaking processes. Several example results are presented, with comparisons to other methods in the literature.

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Nonparametric Bayesian Dictionary Learning for Analysis of Noisy and Incomplete Images

Non-parametric Bayesian techniques are considered for learning dictionaries for sparse image representations, with applications in denoising, inpainting and compressive sensing (CS). The beta process is employed as a prior for learning the dictionary, and this non-parametric method naturally infers an appropriate dictionary size. The Dirichlet process and a probit stick-breaking process are also considered to exploit structure within an image. The proposed method can learn a sparse dictionary in situ; training images may be exploited if available, but they are not required. Further, the noise variance need not be known, and can be non-stationary. Another virtue of the proposed method is that sequential inference can be readily employed, thereby allowing scaling to large images. Several example results are presented, using both Gibbs and variational Bayesian inference, with comparisons to other state-of-the-art approaches.

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Non-Parametric Bayesian Dictionary Learning for Sparse Image Representations

A beta-negative binomial (BNB) process is proposed, leading to a beta-gamma-Poisson process, which may be viewed as a \multiscoop" generalization of the beta-Bernoulli process. The BNB process is augmented into a beta-gamma-gamma-Poisson hierarchical structure, and applied as a nonparametric Bayesian prior for an innite Poisson factor analysis model. A nite approximation for the beta process L evy random measure is constructed for convenient implementation. Ecient MCMC computations are performed with data augmentation and marginalization techniques. Encouraging results are shown on document count matrix factorization.

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Beta-Negative Binomial Process and Poisson Factor Analysis

The seemingly disjoint problems of count and mixture modeling are united under the negative binomial (NB) process. A gamma process is employed to model the rate measure of a Poisson process, whose normalization provides a random probability measure for mixture modeling and whose marginalization leads to an NB process for count modeling. A draw from the NB process consists of a Poisson distributed finite number of distinct atoms, each of which is associated with a logarithmic distributed number of data samples. We reveal relationships between various count- and mixture-modeling distributions and construct a Poisson-logarithmic bivariate distribution that connects the NB and Chinese restaurant table distributions. Fundamental properties of the models are developed, and we derive efficient Bayesian inference. It is shown that with augmentation and normalization, the NB process and gamma-NB process can be reduced to the Dirichlet process and hierarchical Dirichlet process, respectively. These relationships highlight theoretical, structural, and computational advantages of the NB process. A variety of NB processes, including the beta-geometric, beta-NB, marked-beta-NB, marked-gamma-NB and zero-inflated-NB processes, with distinct sharing mechanisms, are also constructed. These models are applied to topic modeling, with connections made to existing algorithms under Poisson factor analysis. Example results show the importance of inferring both the NB dispersion and probability parameters.

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Negative Binomial Process Count and Mixture Modeling

We consider analysis of noisy and incomplete hyperspectral imagery, with the objective of removing the noise and inferring the missing data. The noise statistics may be wavelength dependent, and the fraction of data missing (at random) may be substantial, including potentially entire bands, offering the potential to significantly reduce the quantity of data that need be measured. To achieve this objective, the imagery is divided into contiguous three-dimensional (3D) spatio-spectral blocks of spatial dimension much less than the image dimension. It is assumed that each such 3D block may be represented as a linear combination of dictionary elements of the same dimension, plus noise, and the dictionary elements are learned in situ based on the observed data (no a priori training). The number of dictionary elements needed for representation of any particular block is typically small relative to the block dimensions, and all the image blocks are processed jointly (“collaboratively") to infer the underlying dictionary. We address dictionary learning from a Bayesian perspective, considering two distinct means of imposing sparse dictionary usage. These models allow inference of the number of dictionary elements needed as well as the underlying wavelength-dependent noise statistics. It is demonstrated that drawing the dictionary elements from a Gaussian process prior, imposing structure on the wavelength dependence of the dictionary elements, yields significant advantages, relative to the more conventional approach of using an independent and identically distributed Gaussian prior for the dictionary elements; this advantage is particularly evident in the presence of noise. The framework is demonstrated by processing hyperspectral imagery with a significant number of voxels missing uniformly at random, with imagery at specific wavelengths missing entirely, and in the presence of substantial additive noise.

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Mingyuan Zhou

Papers

Nonparametric Bayesian Dictionary Learning for Analysis of Noisy and Incomplete Images

Non-Parametric Bayesian Dictionary Learning for Sparse Image Representations

Beta-Negative Binomial Process and Poisson Factor Analysis

Negative Binomial Process Count and Mixture Modeling

Dictionary Learning for Noisy and Incomplete Hyperspectral Images