Fueled in part by recent applications in neuroscience, the multivariate Hawkes process has become a popular tool for modeling the network of interactions among high-dimensional point process data. While evaluating the uncertainty of the network estimates is critical in scientific applications, existing methodological and theoretical work has primarily addressed estimation. To bridge this gap, this paper develops a new statistical inference procedure for high-dimensional Hawkes processes. The key ingredient for this inference procedure is a new concentration inequality on the first- and second-order statistics for integrated stochastic processes, which summarize the entire history of the process. Combining recent results on martingale central limit theory with the new concentration inequality, we then characterize the convergence rate of the test statistics. We illustrate finite sample validity of our inferential tools via extensive simulations and demonstrate their utility by applying them to a neuron spike train data set.
Nagoya Institute of Technology（名古屋工业大学）；RIKEN（日本理化学研究所）
In this paper, we study statistical inference of change-points (CPs) in multi-dimensional sequence. In CP detection from a multi-dimensional sequence, it is often desirable not only to detect the location, but also to identify the subset of the components in which the change occurs. Several algorithms have been proposed for such problems, but no valid exact inference method has been established to evaluate the statistical reliability of the detected locations and components. In this study, we propose a method that can guarantee the statistical reliability of both the location and the component…
Nagoya Institute of Technology（名古屋工业大学）；RIKEN（理化学研究所）
In this paper, we study statistical inference for the Wasserstein distance, which has attracted much attention and has been applied to various machine learning tasks. Several studies have been proposed in the literature, but almost all of them are based on asymptotic approximation and do not have finite-sample validity. In this study, we propose an exact (non-asymptotic) inference method for the Wasserstein distance inspired by the concept of conditional Selective Inference (SI). To our knowledge, this is the first method that can provide a valid confidence interval (CI) for the Wasserstein di…
School of Mathematical Sciences, Peking University（北京大学数学科学学院）
Federated Learning (FL) makes a large amount of edge computing devices (e.g., mobile phones) jointly learn a global model without data sharing. In FL, data are generated in a decentralized manner with high heterogeneity. This paper studies how to perform statistical estimation and inference in the federated setting. We analyze the so-called Local SGD, a multi-round estimation procedure that uses intermittent communication to improve communication efficiency. We first establish a {\it functional central limit theorem} that shows the averaged iterates of Local SGD weakly converge to a rescaled B…
Another look at statistical inference with machine learning-imputed data
Department of Statistical Sciences, University of Toronto（统计科学系，多伦多大学）；Department of Biostatistics, UNC Chapel Hill（生物统计学系，北卡罗来纳大学教堂山分校）；Biostatistics Center, Massachusetts General Hospital（麻省总医院生物统计中心）
Discovering statistically significant patterns from databases is an important challenging problem. The main obstacle of this problem is in the difficulty of taking into account the selection bias, i.e., the bias arising from the fact that patterns are selected from extremely large number of candidates in databases. In this paper, we introduce a new approach for predictive pattern mining problems that can address the selection bias issue. Our approach is built on a recently popularized statistical inference framework called selective inference. In selective inference, statistical inferences (su…
In this paper, we address the problem of conducting statistical inference in settings involving large-scale data that may be high-dimensional and contaminated by outliers. The high volume and dimensionality of the data require distributed processing and storage solutions. We propose a two-stage distributed and robust statistical inference procedures coping with high-dimensional models by promoting sparsity. In the first stage, known as model selection, relevant predictors are locally selected by applying robust Lasso estimators to the distinct subsets of data. The variable selections from each…
The University of Texas at Austin（德克萨斯大学奥斯汀分校）；IBM T.J. Watson Research Center, Yorktown Heights（IBM T.J. Watson 研究中心，约克镇高地）
We present a novel method for frequentist statistical inference in $M$-estimation problems, based on stochastic gradient descent (SGD) with a fixed step size: we demonstrate that the average of such SGD sequences can be used for statistical inference, after proper scaling. An intuitive analysis using the Ornstein-Uhlenbeck process suggests that such averages are asymptotically normal. From a practical perspective, our SGD-based inference procedure is a first order method, and is well-suited for large scale problems. To show its merits, we apply it to both synthetic and real datasets, and demon…
This paper is dedicated to the "50 Years of the Relevance Problem" - a long-neglected topic that begs attention from practical statisticians who are concerned with the problem of drawing inference from large-scale heterogeneous data.
We present in this paper a way to transform a constrained statistical inference problem into an unconstrained one in order to be able to use modern computational methods, such as those based on automatic differentiation, GPU computing, stochastic gradients with mini-batch. Unlike the parametrizations classically used in Machine Learning, the parametrizations introduced here are all bijective and are even diffeomorphisms, thus allowing to keep the important properties from a statistical inference point of view, first of all identifiability. This cookbook presents a set of recipes to use to tran…
We present a Communication-efficient Surrogate Likelihood (CSL) framework for solving distributed statistical inference problems. CSL provides a communication-efficient surrogate to the global likelihood that can be used for low-dimensional estimation, high-dimensional regularized estimation and Bayesian inference. For low-dimensional estimation, CSL provably improves upon naive averaging schemes and facilitates the construction of confidence intervals. For high-dimensional regularized estimation, CSL leads to a minimax-optimal estimator with controlled communication cost. For Bayesian inferen…
Integrated organic inference (IOI) is discussed in a concise and informal way with the aim that the reader is given the gist of what this approach to statistical inference is about as well as given pointers to further reading.
The University of Texas at Austin（得克萨斯大学奥斯汀分校）；Rice University（莱斯大学）
We present a novel statistical inference framework for convex empirical risk minimization, using approximate stochastic Newton steps. The proposed algorithm is based on the notion of finite differences and allows the approximation of a Hessian-vector product from first-order information. In theory, our method efficiently computes the statistical error covariance in $M$-estimation, both for unregularized convex learning problems and high-dimensional LASSO regression, without using exact second order information, or resampling the entire data set. We also present a stochastic gradient sampling s…
Statistical Inference for Gradient Boosting Regression
School of Economics, Fudan University（复旦大学经济学院）；Department of Statistics and Data Science, The Wharton School, University of Pennsylvania（宾夕法尼亚大学沃顿商学院统计与数据科学系）
In this paper, we propose a new statistical inference method for massive data sets, which is very simple and efficient by combining divide-and-conquer method and empirical likelihood. Compared with two popular methods (the bag of little bootstrap and the subsampled double bootstrap), we make full use of data sets, and reduce the computation burden. Extensive numerical studies and real data analysis demonstrate the effectiveness and flexibility of our proposed method. Furthermore, the asymptotic property of our method is derived.
The Wald development of statistical decision theory addresses decision making with sample data. Wald's concept of a statistical decision function (SDF) embraces all mappings of the form [data -> decision]. An SDF need not perform statistical inference; that is, it need not use data to draw conclusions about the true state of nature. Inference-based SDFs have the sequential form [data -> inference -> decision]. This paper motivates inference-based SDFs as practical procedures for decision making that may accomplish some of what Wald envisioned. The paper first addresses binary choice problems, …
Statistics has moved beyond the frequentist-Bayesian controversies of the past. Where does this leave our ability to interpret results? I suggest that a philosophy compatible with statistical practice, labeled here statistical pragmatism, serves as a foundation for inference. Statistical pragmatism is inclusive and emphasizes the assumptions that connect statistical models with observed data. I argue that introductory courses often mischaracterize the process of statistical inference and I propose an alternative "big picture" depiction.
From the climate system to the effect of the internet on society, chaotic systems appear to have a significant role in our future. Here a method of statistical learning for a class of chaotic systems is described along with underlying theory that can be used not only for predicting those systems a short time ahead, but also as a basis for statistical inference about their dynamics. The method is applied to prediction of 3 different systems. The statistical inference aspect can be applied to explore and enhance computer models of such systems which in turn can provide feedback for even better p…
The topic of statistical inference for dynamical systems has been studied extensively across several fields. In this survey we focus on the problem of parameter estimation for non-linear dynamical systems. Our objective is to place results across distinct disciplines in a common setting and highlight opportunities for further research.
This document is the Part IV of the book 'Stochastic Epidemic Models with Inference' edited by Tom Britton and Etienne Pardoux. It is written by Catherine Larédo, with the contribution of Viet Chi Tran for the Chapter 4. Epidemic data present challenging statistical problems, starting from the recurrent issue of handling missing information. We review methods such as MCMC, ABC or methods based on diffusion approximations. Plan of this document: 1) Observations and Asymptotic Frameworks; 2) Inference for Markov Chain Epidemic Models; 3) Inference Based on the Diffusion Approximation of Epidemic…
Statistical inference with belief functions: A survey
Institute for AI, Data Analysis and Systems (AIDAS)（人工智能、数据分析与系统研究所）；School of Engineering, Computing & Mathematics, Oxford Brookes University（工程、计算与数学学院，奥克斯伯里大学）
This paper is concerned with the application of recent statistical advances to inference of infectious disease dynamics. We describe the fitting of a class of epidemic models using Hamiltonian Monte Carlo and Variational Inference as implemented in the freely available Stan software. We apply the two methods to real data from outbreaks as well as routinely collected observations. Our results suggest that both inference methods are computationally feasible in this context, and show a trade-off between statistical efficiency versus computational speed. The latter appears particularly relevant fo…
Laplace's method is used to approximate intractable integrals in a statistical problems. The relative error rate of the approximation is not worse than $O_p(n^{-1})$. We provide the first statistical lower bounds showing that the $n^{-1}$ rate is tight.
Statistical pragmatism embraces all efficient methods in statistical inference. Augmentation of the collected data is used herein to obtain representative population information from a large class of non-representative population's units. Parameter expansion of a probability model is shown to reduce the upper bound on the sum of error probabilities for a test of simple hypotheses, and a measure, R, is proposed for the effect of activating additional component(s) in the sufficient statistic.
Introductory statistical inference texts and courses treat the point estimation, hypothesis testing, and interval estimation problems separately, with primary emphasis on large-sample approximations. Here I present an alternative approach to teaching this course, built around p-values, emphasizing provably valid inference for all sample sizes. Details about computation and marginalization are also provided, with several illustrative examples, along with a course outline.
We wholeheartedly congratulate Drs. Rohe and Zeng for their insightful paper \cite{rohe2020vintage} on vintage factor analysis with Varimax rotation. This note discusses the conditions to guarantee Varimax consistently recovers the subspace rotation.
We consider a new method of the semiparametric statistical estimation for the continuous-time moving average Lévy processes. We derive the convergence rates of the proposed estimators, and show that these rates are optimal in the minimax sense.
This paper presents a unified geometric framework for the statistical analysis of a general ill-posed linear inverse model which includes as special cases noisy compressed sensing, sign vector recovery, trace regression, orthogonal matrix estimation, and noisy matrix completion. We propose computationally feasible convex programs for statistical inference including estimation, confidence intervals and hypothesis testing. A theoretical framework is developed to characterize the local estimation rate of convergence and to provide statistical inference guarantees. Our results are built based on t…
Statistical models and methods for determinantal point processes (DPPs) seem largely unexplored. We demonstrate that DPPs provide useful models for the description of spatial point pattern datasets where nearby points repel each other. Such data are usually modelled by Gibbs point processes, where the likelihood and moment expressions are intractable and simulations are time consuming. We exploit the appealing probabilistic properties of DPPs to develop parametric models, where the likelihood and moment expressions can be easily evaluated and realizations can be quickly simulated. We discuss h…
This paper presents a selective survey of recent developments in statistical inference and multiple testing for high-dimensional regression models, including linear and logistic regression. We examine the construction of confidence intervals and hypothesis tests for various low-dimensional objectives such as regression coefficients and linear and quadratic functionals. The key technique is to generate debiased and desparsified estimators for the targeted low-dimensional objectives and estimate their uncertainty. In addition to covering the motivations for and intuitions behind these statistica…
This paper introduces to readers the new concept and methodology of confidence distribution and the modern-day distributional inference in statistics. This discussion should be of interest to people who would like to go into the depth of the statistical inference methodology and to utilize distribution estimators in practice. We also include in the discussion the topic of generalized fiducial inference, a special type of modern distributional inference, and relate it to the concept of confidence distribution. Several real data examples are also provided for practitioners. We hope that the sele…
We show how the classic Cramer-Rao bound limits how accurately one can simultaneously estimate values of a large number of Google Ad campaigns (or similarly limit the measurement rate of many confounding A/B tests).
Interest in problems of statistical inference connected to measurements of quantum systems has recently increased substantially, in step with dramatic new developments in experimental techniques for studying small quantum systems. Furthermore, theoretical developments in the theory of quantum measurements have brought the basic mathematical framework for the probability calculations much closer to that of classical probability theory. The present paper reviews this field and proposes and interrelates a number of new concepts for an extension of classical statistical inference to the quantum co…
The aim of this work is to give an overview of the recent developments in the area of statistical inference for parabolic stochastic partial differential equations. Significant part of the paper is devoted to the spectral approach, which is the most studied sampling scheme under which the observations are done in the Fourier space over some finite time interval. We also discuss into details the practically important case of discrete sampling of the solution. Other relevant methodologies and some open problems are briefly discussed over the course of the manuscript.
We investigate statistical inference across time scales. We take as toy model the estimation of the intensity of a discretely observed compound Poisson process with symmetric Bernoulli jumps. We have data at different time scales: microscopic, intermediate and macroscopic. We quantify the smooth statistical transition from a microscopic Poissonian regime to a macroscopic Gaussian regime. The classical quadratic variation estimator is efficient in both microscopic and macroscopic scales but surprisingly shows a substantial loss of information in the intermediate scale that can be explicitly rel…
