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math.ST2025
Pseudo-Maximum Likelihood Theory for High-Dimensional Rank One Inference
Curtis Grant, Aukosh Jagannath, Justin Ko
We develop a pseudo-likelihood theory for rank one matrix estimation problems in the high dimensional limit. We prove a variational principle for the limiting pseudo-maximum likeli…
math.ST2025
Dynamical mean-field analysis of adaptive Langevin diffusions: Replica-symmetric fixed point and empirical Bayes
Zhou Fan, Justin Ko, Bruno Loureiro +2
In many applications of statistical estimation via sampling, one may wish to sample from a high-dimensional target distribution that is adaptively evolving to the samples already s…
math.ST2025
Dynamical mean-field analysis of adaptive Langevin diffusions: Propagation-of-chaos and convergence of the linear response
Zhou Fan, Justin Ko, Bruno Loureiro +2
Motivated by an application to empirical Bayes learning in high-dimensional regression, we study a class of Langevin diffusions in a system with random disorder, where the drift co…