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math.ST2023★ 2 cited
Posterior Sampling in High Dimension via Diffusion Processes
Andrea Montanari, Yuchen Wu
Sampling from the posterior is a key technical problem in Bayesian statistics. Rigorous guarantees are difficult to obtain for Markov Chain Monte Carlo algorithms of common use. In…
math.ST2022
Fundamental Limits of Low-Rank Matrix Estimation with Diverging Aspect Ratios
Andrea Montanari, Yuchen Wu
We consider the problem of estimating the factors of a low-rank matrix, when this is corrupted by additive Gaussian noise. A special example of our setting corresponds…