Factor-based Structural Equation Modeling (SEM) relies on likelihood-based estimation assuming a nonsingular sample covariance matrix, which breaks down in small-sample settings with $p>n$. To address this, we propose a novel estimation principle that reformulates the covariance structure into self-covariance and cross-covariance components. The resulting framework defines a likelihood-based feasible set combined with a relative error constraint, enabling stable estimation in small-sample settings where $p>n$ for sign and direction. Experiments on synthetic and real-world data show improved stability, particularly in recovering the sign and direction of structural parameters. These results extend covariance-based SEM to small-sample settings and provide practically useful directional information for decision-making.

The statistical essence of the Transformer architecture has long remained elusive: Is it a universal approximator, or a neural network version of known computational algorithms? Through rigorous algebraic proof, we show that the latter better describes Transformer's basic nature: Ordinary Least Squares (OLS) is a special case of the single-layer Linear Transformer. Using the spectral decomposition of the empirical covariance matrix, we construct a specific parameter setting where the attention mechanism's forward pass becomes mathematically equivalent to the OLS closed-form projection. This means attention can solve the problem in one forward pass, not by iterating. Building upon this prototypical case, we further uncover a decoupled slow and fast memory mechanism within Transformers. Finally, the evolution from our established linear prototype to standard Transformers is discussed. This progression facilitates the transition of the Hopfield energy function from linear to exponential memory capacity, thereby establishing a clear continuity between modern deep architectures and classical statistical inference.

Expectation Propagation (EP) is a widely used iterative message-passing algorithm that decomposes a global inference problem into multiple local ones. It approximates marginal distributions as ``beliefs'' using intermediate functions called ``messages''. It has been shown that the stationary points of EP are the same as corresponding constrained Bethe Free Energy (BFE) optimization problem. Therefore, EP is an iterative method of optimizing the constrained BFE. However, the iterative method may fall out of the feasible set of the BFE optimization problem, i.e., the beliefs are not integrable. In most literature, the authors use various methods to keep all the messages integrable. In most Bayesian estimation problems, limiting the messages to be integrable shrinks the actual feasible set. Furthermore, in extreme cases where the factors are not integrable, making the message itself integrable is not enough to have integrable beliefs. In this paper, two EP frameworks are proposed to ensure that EP has integrable beliefs. Both of the methods allows non-integrable messages. We then investigate the signal recovery problem in Generalized Linear Model (GLM) using our proposed methods.

Supervised detection of network attacks has always been a critical part of network intrusion detection systems (NIDS). Nowadays, in a pivotal time for artificial intelligence (AI), with even more sophisticated attacks that utilize advanced techniques, such as generative artificial intelligence (GenAI) and reinforcement learning, it has become a vital component if we wish to protect our personal data, which are scattered across the web. In this paper, we address two tasks, in the first unified multi-modal NIDS dataset, which incorporates flow-level data, packet payload information and temporal contextual features, from the reprocessed CIC-IDS-2017, CIC-IoT-2023, UNSW-NB15 and CIC-DDoS-2019, with the same feature space. In the first task we use machine learning (ML) algorithms, with stratified cross validation, in order to prevent network attacks, with stability and reliability. In the second task we use adversarial learning algorithms to generate synthetic data, compare them with the real ones and evaluate their fidelity, utility and privacy using the SDV framework, f-divergences, distinguishability and non-parametric statistical tests. The findings provide stable ML models for intrusion detection and generative models with high fidelity and utility, by combining the Synthetic Data Vault framework, the TRTS and TSTR tests, with non-parametric statistical tests and f-divergence measures.

This paper addresses the problem of clustering measurement vectors that are heteroscedastic in that they can have different covariance matrices. From the assumption that the measurement vectors within a given cluster are Gaussian distributed with possibly different and unknown covariant matrices around the cluster centroid, we introduce a novel cost function to estimate the centroids. The zeros of the gradient of this cost function turn out to be the fixed-points of a certain function. As such, the approach generalizes the methodology employed to derive the existing Mean-Shift algorithm. But as a main and novel theoretical result compared to Mean-Shift, this paper shows that the sole fixed-points of the identified function tend to be the cluster centroids if both the number of measurements per cluster and the distances between centroids are large enough. As a second contribution, this paper introduces the Wald kernel for clustering. This kernel is defined as the p-value of the Wald hypothesis test for testing the mean of a Gaussian. As such, the Wald kernel measures the plausibility that a measurement vector belongs to a given cluster and it scales better with the dimension of the measurement vectors than the usual Gaussian kernel. Finally, the proposed theoretical framework allows us to derive a new clustering algorithm called CENTRE-X that works by estimating the fixed-points of the identified function. As Mean-Shift, CENTRE-X requires no prior knowledge of the number of clusters. It relies on a Wald hypothesis test to significantly reduce the number of fixed points to calculate compared to the Mean-Shift algorithm, thus resulting in a clear gain in complexity. Simulation results on synthetic and real data sets show that CENTRE-X has comparable or better performance than standard clustering algorithms K-means and Mean-Shift, even when the covariance matrices are not perfectly known.

We propose a control-theoretic framework for evolutionary clustering based on Mean Field Games (MFG). Moving beyond static or heuristic approaches, we formulate the problem as a population dynamics game governed by a coupled Hamilton-Jacobi-Bellman and Fokker-Planck system. Driven by a variational cost functional rather than predefined statistical shapes, this continuous-time formulation provides a flexible basis for non-parametric cluster evolution. To validate the framework, we analyze the setting of time-dependent Gaussian mixtures, showing that the MFG dynamics recover the trajectories of the classical Expectation-Maximization (EM) algorithm while ensuring mass conservation. Furthermore, we introduce time-averaged log-likelihood functionals to regularize temporal fluctuations. Numerical experiments illustrate the stability of our approach and suggest a path toward more general non-parametric clustering applications where traditional EM methods may face limitations.

Efficient estimation of high-dimensional matrices--including covariance and precision matrices--is a cornerstone of modern multivariate statistics. Most existing studies have focused primarily on the theoretical properties of the estimators (e.g., consistency and sparsity), while largely overlooking the computational challenges inherent in high-dimensional settings. Theoretically, we first prove the convergence of LADMM, and then establish the convergence, convergence rate, and monotonicity of its reparameterized counterpart; importantly, we show that the reparameterized LADMM enjoys a faster convergence rate. Notably, the proposed reparameterization theory and methodology are applicable to the estimation of both high-dimensional covariance and precision matrices. Keywords: ADMM; High-dimensional; Learning-based optimization; Matrix estimation. 1. Introduction High-dimensional matrix estimation--covering both covariance and precision matrix estimation--constitutes a cornerstone of modern statistics and data science [1, 2, 3]. Accurate covariance estimation enables the characterization of dependence structures among a large number of variables [4, 5, 6], which is indispensable in diverse domains such as genomics [7, 8], neuroscience [9], finance [10, 11, 12], and climate science [13, 14]. Over the past two decades, substantial progress has been made in the statistical theory of high-dimensional matrix estimation, particularly with respect to the accuracy of estimators, including properties such as sparsistency and consistency [5, 15, 16]. However, in empirical studies, the dimensionality is often only on the order of tens to hundreds, and in many cases is comparable to the sample size [21, 22, 23, 24]. This observation highlights a notable gap between the statistical theory of estimators and the practical challenges of their computational implementation.

Conditional independence is central to modern statistics, but beyond special parametric families it rarely admits an exact covariance characterization. We introduce the binary expansion group intersection network (BEGIN), a distribution-free graphical representation for multivariate binary data and bit-encoded multinomial variables. For arbitrary binary random vectors and bit representations of multinomial variables, we prove that conditional independence is equivalent to a sparse linear representation of conditional expectations, to a block factorization of the corresponding interaction covariance matrix, and to block diagonality of an associated generalized Schur complement. The resulting graph is indexed by the intersection of multiplicative groups of binary interactions, yielding an analogue of Gaussian graphical modeling beyond the Gaussian setting. This viewpoint treats data bits as atoms and local BEGIN molecules as building blocks for large Markov random fields. We also show how dyadic bit representations allow BEGIN to approximate conditional independence for general random vectors under mild regularity conditions. A key technical device is the Hadamard prism, a linear map that links interaction covariances to group structure.

Data assimilation algorithms estimate the state of a dynamical system from partial observations, where the successful performance of these algorithms hinges on costly parameter tuning and on employing an accurate model for the dynamics. This paper introduces a framework for jointly learning the state, dynamics, and parameters of filtering algorithms in data assimilation through a process we refer to as auto-differentiable filtering. The framework leverages a theoretically motivated loss function that enables learning from partial, noisy observations via gradient-based optimization using auto-differentiation. We further demonstrate how several well-known data assimilation methods can be learned or tuned within this framework. To underscore the versatility of auto-differentiable filtering, we perform experiments on dynamical systems spanning multiple scientific domains, such as the Clohessy-Wiltshire equations from aerospace engineering, the Lorenz-96 system from atmospheric science, and the generalized Lotka-Volterra equations from systems biology. Finally, we provide guidelines for practitioners to customize our framework according to their observation model, accuracy requirements, and computational budget.

In this paper, we study the problem of learning multi-dimensional Gaussian Mixture Models (GMMs), with a specific focus on model order selection and efficient mixing distribution estimation. We first establish an information-theoretic lower bound on the critical sample complexity required for reliable model selection. More specifically, we show that distinguishing a $k$-component mixture from a simpler model necessitates a sample size scaling of $Ω(Δ^{-(4k-4)})$. We then propose a thresholding-based estimation algorithm that evaluates the spectral gap of an empirical covariance matrix constructed from random Fourier measurement vectors. This parameter-free estimator operates with an efficient time complexity of $\mathcal{O}(k^2 n)$, scaling linearly with the sample size. We demonstrate that the sample complexity of our method matches the established lower bound, confirming its minimax optimality with respect to the component separation distance $Δ$. Conditioned on the estimated model order, we subsequently introduce a gradient-based minimization method for parameter estimation. To effectively navigate the non-convex objective landscape, we employ a data-driven, score-based initialization strategy that guarantees rapid convergence. We prove that this method achieves the optimal parametric convergence rate of $\mathcal{O}_p(n^{-1/2})$ for estimating the component means. To enhance the algorithm's efficiency in high-dimensional regimes where the ambient dimension exceeds the number of mixture components (i.e., \(d > k\)), we integrate principal component analysis (PCA) for dimension reduction. Numerical experiments demonstrate that our Fourier-based algorithmic framework outperforms conventional Expectation-Maximization (EM) methods in both estimation accuracy and computational time.