arXivDaily arXiv每日学术速递 周一至周五更新
arXiv 1906.01611stat.MEstat.ML
收藏

协变量幂经验贝叶斯估计

Covariate-Powered Empirical Bayes Estimation

Nikolaos Ignatiadis, Stefan Wager

摘要:

我们研究的方法,同时分析许多嘈杂的实验中存在丰富的协变量信息。分析师的目标是最佳估计每个实验的真实效果。噪声实验结果和辅助协变量都可用于此目的,但两个数据源本身都不能捕获分析人员可用的所有信息。在本文中,我们提出了一个灵活的插件经验贝叶斯估计,综合两个来源的信息,并可能利用任何黑盒预测模型。我们表明,我们的方法是在一个简单的数据生成模型的极大极小的常数因子。此外,我们建立了强大的收敛保证,我们的方法,在相当大的一般性,并表现出良好的经验表现在真实和模拟数据。

英文摘要:

We study methods for simultaneous analysis of many noisy experiments in the presence of rich covariate information. The goal of the analyst is to optimally estimate the true effect underlying each experiment. Both the noisy experimental results and the auxiliary covariates are useful for this purpose, but neither data source on its own captures all the information available to the analyst. In this paper, we propose a flexible plug-in empirical Bayes estimator that synthesizes both sources of information and may leverage any black-box predictive model. We show that our approach is within a constant factor of minimax for a simple data-generating model. Furthermore, we establish robust convergence guarantees for our method that hold under considerable generality, and exhibit promising empirical performance on both real and simulated data.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

↑