Subscribe to the gold package and get unlimited access to Shamra Academy
Register a new userMixture Martingales Revisited with Applications to Sequential Tests and Confidence Intervals
340
0
0.0
(
0
)
Authors
Emilie Kaufmann
Ask ChatGPT about the research
No Arabic abstract
This paper presents new deviation inequalities that are valid uniformly in time under adaptive sampling in a multi-armed bandit model. The deviations are measured using the Kullback-Leibler divergence in a given one-dimensional exponential family, and may take into account several arms at a time. They are obtained by constructing for each arm a mixture martingale based on a hierarchical prior, and by multiplying those martingales. Our deviation inequalities allow us to analyze stopping rules based on generalized likelihood ratios for a large class of sequential identification problems, and to construct tight confidence intervals for some functions of the means of the arms.
rate research
Read More
Prediction intervals are a machine- and human-interpretable way to represent predictive uncertainty in a regression analysis. In this paper, we present a method for generating prediction intervals along with point estimates from an ensemble of neural networks. We propose a multi-objective loss function fusing quality measures related to prediction intervals and point estimates, and a penalty function, which enforces semantic integrity of the results and stabilizes the training process of the neural networks. The ensembled prediction intervals are aggregated as a split normal mixture accounting for possible multimodality and asymmetricity of the posterior predictive distribution, and resulting in prediction intervals that capture aleatoric and epistemic uncertainty. Our results show that both our quality-driven loss function and our aggregation method contribute to well-calibrated prediction intervals and point estimates.
We develop a sequential low-complexity inference procedure for Dirichlet process mixtures of Gaussians for online clustering and parameter estimation when the number of clusters are unknown a-priori. We present an easily computable, closed form parametric expression for the conditional likelihood, in which hyperparameters are recursively updated as a function of the streaming data assuming conjugate priors. Motivated by large-sample asymptotics, we propose a novel adaptive low-complexity design for the Dirichlet process concentration parameter and show that the number of classes grow at most at a logarithmic rate. We further prove that in the large-sample limit, the conditional likelihood and data predictive distribution become asymptotically Gaussian. We demonstrate through experiments on synthetic and real data sets that our approach is superior to other online state-of-the-art methods.
We propose a novel exponentially-modified Gaussian (EMG) mixture residual model. The EMG mixture is well suited to model residuals that are contaminated by a distribution with positive support. This is in contrast to commonly used robust residual models, like the Huber loss or $ell_1$, which assume a symmetric contaminating distribution and are otherwise asymptotically biased. We propose an expectation-maximization algorithm to optimize an arbitrary model with respect to the EMG mixture. We apply the approach to linear regression and probabilistic matrix factorization (PMF). We compare against other residual models, including quantile regression. Our numerical experiments demonstrate the strengths of the EMG mixture on both tasks. The PMF model arises from considering spectroscopic data. In particular, we demonstrate the effectiveness of PMF in conjunction with the EMG mixture model on synthetic data and two real-world applications: X-ray diffraction and Raman spectroscopy. We show how our approach is effective in inferring background signals and systematic errors in data arising from these experimental settings, dramatically outperforming existing approaches and revealing the datas physically meaningful components.
The recent paper Simple confidence intervals for MCMC without CLTs by J.S. Rosenthal, showed the derivation of a simple MCMC confidence interval using only Chebyshevs inequality, not CLT. That result required certain assumptions about how the estimator bias and variance grow with the number of iterations $n$. In particular, the bias is $o(1/sqrt{n})$. This assumption seemed mild. It is generally believed that the estimator bias will be $O(1/n)$ and hence $o(1/sqrt{n})$. However, questions were raised by researchers about how to verify this assumption. Indeed, we show that this assumption might not always hold. In this paper, we seek to simplify and weaken the assumptions in the previously mentioned paper, to make MCMC confidence intervals without CLTs more widely applicable.
We introduce a general method, named the h-function method, to unify the constructions of level-alpha exact test and 1-alpha exact confidence interval. Using this method, any confidence interval is improved as follows: i) an approximate interval, including a point estimator, is modified to an exact interval; ii) an exact interval is refined to be an interval that is a subset of the previous one. Two real datasets are used to illustrate the method.
suggested questions
Log in to be able to interact and post comments
comments
Fetching comments
Sign in to be able to follow your search criteria
