Stein's Method Meets Computational Statistics: A Review of Some Recent Developments

Stein Point Markov Chain Monte Carlo

An important task in machine learning and statistics is the approximation of a probability measure by an empirical measure supported on a discrete point set. Stein Points are a class of algorithms for this task, which proceed by sequentially minimising a Stein discrepancy between the empirical measure and the target and, hence, require the solution of a non-convex optimisation problem to obtain each new point. This paper removes the need to solve this optimisation problem by, instead, selecting each new point based on a Markov chain sample path. This significantly reduces the computational cos…

Stein Variational Gradient Descent: many-particle and long-time asymptotics

Stein variational gradient descent (SVGD) refers to a class of methods for Bayesian inference based on interacting particle systems. In this paper, we consider the originally proposed deterministic dynamics as well as a stochastic variant, each of which represent one of the two main paradigms in Bayesian computational statistics: variational inference and Markov chain Monte Carlo. As it turns out, these are tightly linked through a correspondence between gradient flow structures and large-deviation principles rooted in statistical physics. To expose this relationship, we develop the cotangent …

关于威尔克斯问题：通过斯坦因方法得到威沙特随机矩阵不相交主子式联合矩的精确递归公式

On Wilks' problem: Exact recursive formulas via Stein's method for the joint moments of disjoint principal minors of Wishart random matrices

解决威尔克斯提出的计算威沙特随机矩阵不相交主子式联合矩的问题，利用斯坦因方法，通过威沙特斯坦特征得到降阶递归公式并精确求值，数值实验验证公式。

A Stein Goodness-of-fit Test for Directional Distributions

In many fields, data appears in the form of direction (unit vector) and usual statistical procedures are not applicable to such directional data. In this study, we propose non-parametric goodness-of-fit testing procedures for general directional distributions based on kernel Stein discrepancy. Our method is based on Stein's operator on spheres, which is derived by using Stokes' theorem. Notably, the proposed method is applicable to distributions with an intractable normalization constant, which commonly appear in directional statistics. Experimental results demonstrate that the proposed method…

Testing normality in any dimension by Fourier methods in a multivariate Stein equation

We study a novel class of affine invariant and consistent tests for multivariate normality. The tests are based on a characterization of the standard $d$-variate normal distribution by means of the unique solution of an initial value problem connected to a partial differential equation, which is motivated by a multivariate Stein equation. The test criterion is a suitably weighted $L^2$-statistic. We derive the limit distribution of the test statistic under the null hypothesis as well as under contiguous and fixed alternatives to normality. A consistent estimator of the limiting variance under …

A Correlation-Ratio Transfer Learning and Variational Stein's Paradox

A basic condition for efficient transfer learning is the similarity between a target model and source models. In practice, however, the similarity condition is difficult to meet or is even violated. Instead of the similarity condition, a brand-new strategy, linear correlation-ratio, is introduced in this paper to build an accurate relationship between the models. Such a correlation-ratio can be easily estimated by historical data or a part of sample. Then, a correlation-ratio transfer learning likelihood is established based on the correlation-ratio combination. On the practical side, the new …