Binary and Multinomial Regression using Fisher Information Covariance Kernels (I-priors)

Abstract

In a regression setting, we define an I-prior as a Gaussian process prior on the regression function with covariance kernel equal to its Fisher information. We present some methodology and computational work on estimating regression functions by working in the appropriate reproducing kernel Hilbert space of functions and assuming an I-prior on the function of interest. In a regression model with normally distributed errors, estimation is simple—maximum likelihood and the EM algorithm is employed. In the classification models (categorical response models), estimation is performed using variational inference. I-prior models perform comparatively well, and often better, to similar leading state-of-the-art models for use in prediction and inference. Applications are plentiful, including smoothing models, modelling multilevel data, longitudinal data, functional covariates, multi-class classification, and even spatiotemporal modelling.

Date
27 Mar 2018 12:30 pm — 2:00 pm
Location
LSE, London, United Kingdom
Haziq Jamil
Haziq Jamil
Assistant Professor in Statistics

My research interests include statistical theory, methods and computation, with applications towards the social sciences.

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