The second version has mainly two important changes with respect to the first one: a) A new paragraph which justifies the completely novel of the current paper. b) Correction of a factor of the test-statistic which depends only on $β$ and p
Even though the Rao's score tests are classical tests, such as the likelihood ratio tests, their application has been avoided until now in a multivariate framework, in particular high-dimensional setting. We consider they could play an important role for testing high-dimensional data, but currently the classical Rao's score tests for an arbitrary but fixed dimension remain being still not very well-known for tests on correlation matrices of multivariate normal distributions. In this paper, we illustrate how to create Rao's score tests, focussed on testing correlation matrices, showing their asymptotic distribution. Based on Basu et al. (2021), we do not only develop the classical Rao's score tests, but also their robust version, Rao's $β$-score tests. Despite of tedious calculations, their strength is the final simple expression, which is valid for any arbitrary but fixed dimension. In addition, we provide basic formulas for creating easily other tests, either for other variants of correlation tests or for location or variability parameters. We perform a simulation study with high-dimensional data and the results are compared to those of the likelihood ratio test with a variety of distributions, either pure and contaminated. The study shows that the classical Rao's score test for correlation matrices seems to work properly not only under multivariate normality but also under other multivariate distributions. Under perturbed distributions, the Rao's $β$-score tests outperform any classical test.
The Cramer-Rao lower bound for the estimation of the affine transformation parameters in a multivariate heteroscedastic errors-in-variables model is derived. The model is suitable for feature-based image registration in which both sets of control points are localized with errors whose covariance matrices vary from point to point. With focus given to the registration of fluorescence microscopy images, the Cramer-Rao lower bound for the estimation of a feature's position (e.g. of a single molecule) in a registered image is also derived. In the particular case where all covariance matrices for th…
Let ${\bf R}$ be the Pearson correlation matrix of $m$ normal random variables. The Rao's score test for the independence hypothesis $H_0 : {\bf R} = {\bf I}_m$, where ${\bf I}_m$ is the identity matrix of dimension $m$, was first considered by Schott (2005) in the high dimensional setting. In this paper, we study the asymptotic minimax power function of this test, under an asymptotic regime in which both $m$ and the sample size $n$ tend to infinity with the ratio $m/n$ upper bounded by a constant. In particular, our result implies that the Rao's score test is rate-optimal for detecting the de…
This article is due to appear in the Handbook of Statistics, Vol. 43, Elsevier/North-Holland, Amsterdam, edited by Arni S. R. Srinivasa Rao and C. R. Rao. In modern day analytics, there is ever growing need to develop statistical models to study high dimensional data. Between dimension reduction, asymptotics-driven methods and random projection based methods, there are several approaches developed so far. For high dimensional parametric models, estimation and hypothesis testing for mean and covariance matrices have been extensively studied. However, practical implementation of these methods ar…
This paper considers testing the covariance matrices structure based on Wald's score test in large dimensional setting. The hypothesis $H_0: Σ=Σ_0 $ for a given matrix $Σ_0$, which covers the identity hypothesis test and sphericity hypothesis test as the special cases, is reviewed by the generalized CLT (Central Limit Theorem) for the linear spectral statistics of large dimensional sample covariance matrices from Jiang(2015) . The proposed tests can be applicable for large dimensional non-Gaussian variables in a wider range. Furthermore, the simulation study is provided to compare the proposed…
Tight bounds on the minimum mean square error for the additive Gaussian noise channel are derived, when the input distribution is constrained to be epsilon-close to a Gaussian reference distribution in terms of the Kullback--Leibler divergence. The distributions that attain the bounds are shown be Gaussian whose means are identical to that of the reference distribution and whose covariance matrices are defined implicitly via systems of matrix equations. The estimator that attains the upper bound is identified as a minimax optimal estimator that is robust against deviations from the assumed pri…
A common feature of high-dimensional data is that the data dimension is high, however, the sample size is relatively low. We call such data HDLSS data. In this paper, we study asymptotic properties of the first principal component in the HDLSS context and apply them to equality tests of covariance matrices for high dimensional data sets. We consider HDLSS asymptotic theories as the dimension grows for both the cases when the sample size is fixed and the sample size goes to infinity. We introduce an eigenvalue estimator by the noise-reduction methodology and provide asymptotic distributions of …
This paper revisits the work of Rauch et al. (1965) and develops a novel method for recursive maximum likelihood particle filtering for general state-space models. The new method is based on statistical analysis of incomplete observations of the systems. Score function and conditional observed information of the incomplete observations/data are introduced and their distributional properties are discussed. Some identities concerning the score function and information matrices of the incomplete data are derived. Maximum likelihood estimation of state-vector is presented in terms of the score fun…
Multiple imputation (MI) is a technique especially designed for handling missing data in public-use datasets. It allows analysts to perform incomplete-data inference straightforwardly by using several already imputed datasets released by the dataset owners. However, the existing MI tests require either a restrictive assumption on the missing-data mechanism, known as equal odds of missing information (EOMI), or an infinite number of imputations. Some of them also require analysts to have access to restrictive or non-standard computer subroutines. Besides, the existing MI testing procedures cove…
Csiszar's f-divergence of two probability distributions was extended to the quantum case by the author in 1985. In the quantum setting positive semidefinite matrices are in the place of probability distributions and the quantum generalization is called quasi-entropy which is related to some other important concepts as covariance, quadratic costs, Fisher information, Cramer-Rao inequality and uncertainty relation. A conjecture about the scalar curvature of a Fisher information geometry is explained. The described subjects are overviewed in details in the matrix setting, but at the very end the …
We introduce a new method to qualify the goodness of fit parameter estimation of compound Wishart models. Our method based on the free deterministic equivalent Z-score, which we introduce in this paper. Furthermore, an application to two dimensional autoregressive moving-average model is provided. Our proposal method is a generalization of statistical hypothesis testing to one dimensional moving average model based on fluctuations of real compound Wishart matrices, which is a recent result by Hasegawa, Sakuma and Yoshida.
Poyiadjis et al. (2011) show how particle methods can be used to estimate both the score and the observed information matrix for state space models. These methods either suffer from a computational cost that is quadratic in the number of particles, or produce estimates whose variance increases quadratically with the amount of data. This paper introduces an alternative approach for estimating these terms at a computational cost that is linear in the number of particles. The method is derived using a combination of kernel density estimation, to avoid the particle degeneracy that causes the quadr…
Transmuted geometric distribution (TGD) was recently introduced and investigated by Chakraborty and Bhati (2016). This is a flexible extension of geometric distribution having an additional parameter that determines its zero inflation as well as the tail length. In the present article we further study this distribution for some of its reliability, stochastic ordering and parameter estimation properties. In parameter estimation among others we discuss an EM algorithm and the performance of estimators is evaluated through extensive simulation. For assessing the statistical significance of additi…
INTRODUCTION: Wald's, the likelihood ratio (LR) and Rao's score tests and their corresponding confidence intervals (CIs), are the three most common estimators of parameters of Generalized Linear Models. On finite samples, these estimators are biased. The objective of this work is to analyze the coverage errors of the CI estimators in small samples for the log-Poisson model (i.e. estimation of incidence rate ratio) with innovative evaluation criteria, taking in account the overestimation/underestimation unbalance of coverage errors and the variable inclusion rate and follow-up in epidemiologica…
Standard statistical methods that do not take proper account of the complexity of survey design can lead to erroneous inferences when applied to survey data due to unequal selection probabilities, clustering, and other design features. In particular, the actual type I error rates of tests of hypotheses using standard methods can be much bigger than the nominal significance level. Methods that take account of survey design features in testing hypotheses have been proposed, including Wald tests and quasi-score tests that involve the estimated covariance matrices of parameter estimates. In this p…
Laboratoire des signaux et systèmes (L2S)（信号与系统实验室）；Université Paris-Saclay（巴黎萨克雷大学）；CNRS（法国国家科学研究中心）；CentraleSupélec（巴黎中央理工-高等电力学院）；International Laboratory on Learning Systems (ILLS)（学习系统国际实验室）；McGill（麦吉尔大学）；ETS（蒙特利尔高等技术学院）；MILA（蒙特利尔学习算法研究所）
Reliable out-of-distribution (OOD) detection is fundamental to implementing safer modern machine learning (ML) systems. In this paper, we introduce Igeood, an effective method for detecting OOD samples. Igeood applies to any pre-trained neural network, works under various degrees of access to the ML model, does not require OOD samples or assumptions on the OOD data but can also benefit (if available) from OOD samples. By building on the geodesic (Fisher-Rao) distance between the underlying data distributions, our discriminator can combine confidence scores from the logits outputs and the learn…
In the fields of neuroimaging and genetics, a key goal is testing the association of a single outcome with a very high-dimensional imaging or genetic variable. Often, summary measures of the high-dimensional variable are created to sequentially test and localize the association with the outcome. In some cases, the results for summary measures are significant, but subsequent tests used to localize differences are underpowered and do not identify regions associated with the outcome. Here, we propose a generalization of Rao's score test based on projecting the score statistic onto a linear subspa…
We study information matrices for statistical models by the $L^2$-Wasserstein metric. We call them Wasserstein information matrices (WIMs), which are analogs of classical Fisher information matrices. We introduce Wasserstein score functions and study covariance operators in statistical models. Using them, we establish Wasserstein-Cramer-Rao bounds for estimations and explore their comparisons with classical results. We next consider the asymptotic behaviors and efficiency of estimators. We derive the on-line asymptotic efficiency for Wasserstein natural gradient. Besides, we study a Poincaré e…
A number of settings arise in which it is of interest to predict Principal Component (PC) scores for new observations using data from an initial sample. In this paper, we demonstrate that naive approaches to PC score prediction can be substantially biased toward 0 in the analysis of large matrices. This phenomenon is largely related to known inconsistency results for sample eigenvalues and eigenvectors as both dimensions of the matrix increase. For the spiked eigenvalue model for random matrices, we expand the generality of these results, and propose bias-adjusted PC score prediction. In addit…
We consider parametric tests for multidimensional ergodic diffusions based on high frequency data. We propose two-step testing method for diffusion parameters and drift parameters. To construct test statistics of the tests, we utilize the adaptive estimator and provide three types of test statistics: likelihood ratio type test, Wald type test and Rao's score type test. It is proved that these test statistics converge in distribution to the chi-squared distribution under null hypothesis and have consistency of the tests against alternatives. Moreover, these test statistics converge in distribut…
The efficient modeling for disorder in a phenomena depends on the chosen score and objective functions. The main parameters in modeling are location, scale and shape. The exponential power distribution known as generalized Gaussian is extensively used in modeling. In real world, the observations are member of different parametric models or disorder in a data set exists. In this study, estimating equations for the parameters of exponential power distribution are derived to have robust and also efficient M-estimators when the data set includes disorder or contamination. The robustness property o…
