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Register a new userLinear Aggregation in Tree-based Estimators
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Added by
Theo Saarinen
Publication date
2019
fields
Mathematical Statistics
and research's language is
English
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Regression trees and their ensemble methods are popular methods for nonparametric regression: they combine strong predictive performance with interpretable estimators. To improve their utility for locally smooth response surfaces, we study regression trees and random forests with linear aggregation functions. We introduce a new algorithm that finds the best axis-aligned split to fit linear aggregation functions on the corresponding nodes, and we offer a quasilinear time implementation. We demonstrate the algorithms favorable performance on real-world benchmarks and in an extensive simulation study, and we demonstrate its improved interpretability using a large get-out-the-vote experiment. We provide an open-source software package that implements several tree-based estimators with linear aggregation functions.
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High-dimensional graphical models are often estimated using regularization that is aimed at reducing the number of edges in a network. In this work, we show how even simpler networks can be produced by aggregating the nodes of the graphical model. We develop a new convex regularized method, called the tree-aggregated graphical lasso or tag-lasso, that estimates graphical models that are both edge-sparse and node-aggregated. The aggregation is performed in a data-driven fashion by leveraging side information in the form of a tree that encodes node similarity and facilitates the interpretation of the resulting aggregated nodes. We provide an efficient implementation of the tag-lasso by using the locally adaptive alternating direction method of multipliers and illustrate our proposals practical advantages in simulation and in applications in finance and biology.
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Markov chain Monte Carlo (MCMC) is widely used for Bayesian inference in models of complex systems. Performance, however, is often unsatisfactory in models with many latent variables due to so-called poor mixing, necessitating development of application specific implementations. This paper introduces posterior-based proposals (PBPs), a new type of MCMC update applicable to a huge class of statistical models (whose conditional dependence structures are represented by directed acyclic graphs). PBPs generates large joint updates in parameter and latent variable space, whilst retaining good acceptance rates (typically 33%). Evaluation against other approaches (from standard Gibbs / random walk updates to state-of-the-art Hamiltonian and particle MCMC methods) was carried out for widely varying model types: an individual-based model for disease diagnostic test data, a financial stochastic volatility model, a mixed model used in statistical genetics and a population model used in ecology. Whilst different methods worked better or worse in different scenarios, PBPs were found to be either near to the fastest or significantly faster than the next best approach (by up to a factor of 10). PBPs therefore represent an additional general purpose technique that can be usefully applied in a wide variety of contexts.
Wildlife monitoring for open populations can be performed using a number of different survey methods. Each survey method gives rise to a type of data and, in the last five decades, a large number of associated statistical models have been developed for analysing these data. Although these models have been parameterised and fitted using different approaches, they have all been designed to model the pattern with which individuals enter and exit the population and to estimate the population size. However, existing approaches rely on a predefined model structure and complexity, either by assuming that parameters are specific to sampling occasions, or by employing parametric curves. Instead, we propose a novel Bayesian nonparametric framework for modelling entry and exit patterns based on the Polya Tree (PT) prior for densities. Our Bayesian non-parametric approach avoids overfitting when inferring entry and exit patterns while simultaneously allowing more flexibility than is possible using parametric curves. We apply our new framework to capture-recapture, count and ring-recovery data and we introduce the replicated PT prior for defining classes of models for these data. Additionally, we define the Hierarchical Logistic PT prior for jointly modelling related data and we consider the Optional PT prior for modelling long time series of data. We demonstrate our new approach using five different case studies on birds, amphibians and insects.
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