Large-Scale Shrinkage Estimation under Markovian Dependence

no code implementations • 4 Mar 2020 • Bowen Gang, Gourab Mukherjee, Wenguang Sun

We consider the problem of simultaneous estimation of a sequence of dependent parameters that are generated from a hidden Markov model.

Structure-Adaptive Sequential Testing for Online False Discovery Rate Control

no code implementations • 28 Feb 2020 • Bowen Gang, Wenguang Sun, Weinan Wang

Consider the online testing of a stream of hypotheses where a real--time decision must be made before the next data point arrives.

Decision Making valid