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Extended fiducial inference: toward an automated process of statistical inference

扩展信赖推断:迈向自动化统计推断

Abstract While fiducial inference was widely considered a big blunder by R.A. Fisher, the goal he initially set—‘inferring the uncertainty of model parameters on the basis of observations’—has been continually pursued by many statisticians. To this end, we develop a new statistical inference method called extended Fiducial inference (EFI). The new method achieves the goal of fiducial inference by leveraging advanced statistical computing techniques while remaining scalable…

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Consistent Sparse Deep Learning: Theory and Computation

一致稀疏深度学习:理论与计算

Deep learning has been the engine powering many successes of data science. However, the deep neural network (DNN), as the basic model of deep learning, is often excessively over-parameterized, causing many difficulties in training, prediction and interpretation. We propose a frequentist-like method for learning sparse DNNs and justify its consistency under the Bayesian framework: the proposed method could learn a sparse DNN with at most O(n/ log (n)) connections and nice…

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Markov Neighborhood Regression for High-Dimensional Inference

用于高维推断的马尔可夫邻域回归

This article proposes an innovative method for constructing confidence intervals and assessing p-values in statistical inference for high-dimensional linear models. The proposed method has successfully broken the high-dimensional inference problem into a series of low-dimensional inference problems: For each regression coefficient βi, the confidence interval and p-value are computed by regressing on a subset of variables selected according to the conditional independence…

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A Kernel-Expanded Stochastic Neural Network

核扩展随机神经网络

Abstract The deep neural network suffers from many fundamental issues in machine learning. For example, it often gets trapped into a local minimum in training, and its prediction uncertainty is hard to be assessed. To address these issues, we propose the so-called kernel-expanded stochastic neural network (K-StoNet) model, which incorporates support vector regression as the first hidden layer and reformulates the neural network as a latent variable model. The former maps the…

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Extended stochastic gradient Markov chain Monte Carlo for large-scale Bayesian variable selection

用于大规模贝叶斯变量选择的扩展随机梯度 MCMC

Summary Stochastic gradient Markov chain Monte Carlo algorithms have received much attention in Bayesian computing for big data problems, but they are only applicable to a small class of problems for which the parameter space has a fixed dimension and the log-posterior density is differentiable with respect to the parameters. This paper proposes an extended stochastic gradient Markov chain Monte Carlo algorithm which, by introducing appropriate latent variables, can be…

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An Imputation–Regularized Optimization Algorithm for High Dimensional Missing Data Problems and Beyond

高维缺失数据的插补与正则化优化算法及其扩展

Summary Missing data are frequently encountered in high dimensional problems, but they are usually difficult to deal with by using standard algorithms, such as the expectation–maximization algorithm and its variants. To tackle this difficulty, some problem-specific algorithms have been developed in the literature, but there still lacks a general algorithm. This work is to fill the gap: we propose a general algorithm for high dimensional missing data problems. The algorithm…

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An Adaptive Exchange Algorithm for Sampling From Distributions With Intractable Normalizing Constants

对归一化常数难以计算的分布进行抽样的自适应交换算法

Sampling from the posterior distribution for a model whose normalizing constant is intractable is a long-standing problem in statistical research. We propose a new algorithm, adaptive auxiliary variable exchange algorithm, or, in short, adaptive exchange (AEX) algorithm, to tackle this problem. The new algorithm can be viewed as a MCMC extension of the exchange algorithm, which generates auxiliary variables via an importance sampling procedure from a Markov chain running in…

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A Split-and-Merge Bayesian Variable Selection Approach for Ultrahigh Dimensional Regression

超高维回归的拆分合并贝叶斯变量选择方法

Summary We propose a Bayesian variable selection approach for ultrahigh dimensional linear regression based on the strategy of split and merge. The approach proposed consists of two stages: split the ultrahigh dimensional data set into a number of lower dimensional subsets and select relevant variables from each of the subsets, and aggregate the variables selected from each subset and then select relevant variables from the aggregated data set. Since the approach proposed…

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High-Dimensional Variable Selection With Reciprocal L 1 -Regularization

基于倒数 L1 正则化的高维变量选择

During the past decade, penalized likelihood methods have been widely used in variable selection problems, where the penalty functions are typically symmetric about 0, continuous and nondecreasing in (0, ∞). We propose a new penalized likelihood method, reciprocal Lasso (or in short, rLasso), based on a new class of penalty functions that are decreasing in (0, ∞), discontinuous at 0, and converge to infinity when the coefficients approach zero. The new penalty functions give…

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An Equivalent Measure of Partial Correlation Coefficients for High-Dimensional Gaussian Graphical Models

高维高斯图模型中用于网络构建的等价偏相关度量

Gaussian graphical models (GGMs) are frequently used to explore networks, such as gene regulatory networks, among a set of variables. Under the classical theory of GGMs, the construction of Gaussian graphical networks amounts to finding the pairs of variables with nonzero partial correlation coefficients. However, this is infeasible for high-dimensional problems for which the number of variables is larger than the sample size. In this article, we propose a new measure of…

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Simulated Stochastic Approximation Annealing for Global Optimization With a Square-Root Cooling Schedule

采用平方根降温的模拟随机逼近退火全局优化

Simulated annealing has been widely used in the solution of optimization problems. As known by many researchers, the global optima cannot be guaranteed to be located by simulated annealing unless a logarithmic cooling schedule is used. However, the logarithmic cooling schedule is so slow that no one can afford to use this much CPU time. This article proposes a new stochastic optimization algorithm, the so-called simulated stochastic approximation annealing algorithm, which…

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Bayesian Subset Modeling for High-Dimensional Generalized Linear Models

高维广义线性模型的贝叶斯子集建模

This article presents a new prior setting for high-dimensional generalized linear models, which leads to a Bayesian subset regression (BSR) with the maximum a posteriori model approximately equivalent to the minimum extended Bayesian information criterion model. The consistency of the resulting posterior is established under mild conditions. Further, a variable screening procedure is proposed based on the marginal inclusion probability, which shares the same properties of…

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A Resampling-Based Stochastic Approximation Method for Analysis of Large Geostatistical Data

大型地统计数据分析的重抽样随机逼近方法

The Gaussian geostatistical model has been widely used in modeling of spatial data. However, it is challenging to computationally implement this method because it requires the inversion of a large covariance matrix, particularly when there is a large number of observations. This article proposes a resampling-based stochastic approximation method to address this challenge. At each iteration of the proposed method, a small subsample is drawn from the full dataset, and then the…

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Sea Surface Temperature Modeling using Radial Basis Function Networks With a Dynamically Weighted Particle Filter

径向基函数网络与动态加权粒子滤波的海表温度建模

The sea surface temperature (SST) is an important factor of the earth climate system. A deep understanding of SST is essential for climate monitoring and prediction. In general, SST follows a nonlinear pattern in both time and location and can be modeled by a dynamic system which changes with time and location. In this article, we propose a radial basis function network-based dynamic model which is able to catch the nonlinearity of the data and propose to use the dynamically…

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Intrinsic Regression Models for Medial Representation of Subcortical Structures

皮层下结构中轴表示的内蕴回归模型

The aim of this paper is to develop a semiparametric model for describing the variability of the medial representation of subcortical structures, which belongs to a Riemannian manifold, and establishing its association with covariates of interest, such as diagnostic status, age and gender. We develop a two-stage estimation procedure to calculate the parameter estimates. The first stage is to calculate an intrinsic least squares estimator of the parameter vector using the…

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Trajectory averaging for stochastic approximation MCMC algorithms

随机逼近MCMC算法的轨迹平均

The subject of stochastic approximation was founded by Robbins and Monro [Ann. Math. Statist. 22 (1951) 400–407]. After five decades of continual development, it has developed into an important area in systems control and optimization, and it has also served as a prototype for the development of adaptive algorithms for on-line estimation and control of stochastic systems. Recently, it has been used in statistics with Markov chain Monte Carlo for solving maximum likelihood…

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Improving SAMC using smoothing methods: Theory and applications to Bayesian model selection problems

利用平滑方法改进 SAMC:理论与贝叶斯模型选择应用

Stochastic approximation Monte Carlo (SAMC) has recently been proposed by Liang, Liu and Carroll [J. Amer. Statist. Assoc. 102 (2007) 305–320] as a general simulation and optimization algorithm. In this paper, we propose to improve its convergence using smoothing methods and discuss the application of the new algorithm to Bayesian model selection problems. The new algorithm is tested through a change-point identification example. The numerical results indicate that the new…

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Stochastic Approximation in Monte Carlo Computation

蒙特卡洛计算中的随机逼近

The Wang–Landau (WL) algorithm is an adaptive Markov chain Monte Carlo algorithm used to calculate the spectral density for a physical system. A remarkable feature of the WL algorithm is that it is not trapped by local energy minima, which is very important for systems with rugged energy landscapes. This feature has led to many successful applications of the algorithm in statistical physics and biophysics; however, there does not exist rigorous theory to support its…

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A Generalized Wang–Landau Algorithm for Monte Carlo Computation

用于蒙特卡洛计算的广义 Wang–Landau 算法

Inference for a complex system with a rough energy landscape is a central topic in Monte Carlo computation. Motivated by the successes of the Wang–Landau algorithm in discrete systems, we generalize the algorithm to continuous systems. The generalized algorithm has some features that conventional Monte Carlo algorithms do not have. First, it provides a new method for Monte Carlo integration based on stochastic approximation; second, it is an excellent tool for Monte Carlo…

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Dynamically Weighted Importance Sampling in Monte Carlo Computation

蒙特卡洛计算中的动态加权重要性抽样

This article describes a new Monte Carlo algorithm, dynamically weighted importance sampling (DWIS), for simulation and optimization. In DWIS, the state of the Markov chain is augmented to a population. At each iteration, the population is subject to two move steps, dynamic weighting and population control. These steps ensure that DWIS can move across energy barriers like dynamic weighting, but with the weights well controlled and with a finite expectation. The estimates can…

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Real-Parameter Evolutionary Monte Carlo With Applications to Bayesian Mixture Models

实参数进化蒙特卡洛及其在贝叶斯混合模型中的应用

We propose an evolutionary Monte Carlo algorithm to sample from a target distribution with real-valued parameters. The attractive features of the algorithm include the ability to learn from the samples obtained in previous steps and the ability to improve the mixing of a system by sampling along a temperature ladder. The effectiveness of the algorithm is examined through three multimodal examples and Bayesian neural networks. The numerical results confirm that the real-coded…

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A Theory for Dynamic Weighting in Monte Carlo Computation

蒙特卡洛计算中动态加权的理论

This article provides a first theoretical analysis of a new Monte Carlo approach, the dynamic weighting algorithm, proposed recently by Wong and Liang. In dynamic weighting Monte Carlo, one augments the original state space of interest by a weighting factor, which allows the resulting Markov chain to move more freely and to escape from local modes. It uses a new invariance principle to guide the construction of transition rules. We analyze the behavior of the weights…

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The Multiple-Try Method and Local Optimization in Metropolis Sampling

Metropolis 抽样中的多重尝试方法与局部优化

This article describes a new Metropolis-like transition rule, the multiple-try Metropolis, for Markov chain Monte Carlo (MCMC) simulations. By using this transition rule together with adaptive direction sampling, we propose a novel method for incorporating local optimization steps into a MCMC sampler in continuous state-space. Numerical studies show that the new method performs significantly better than the traditional Metropolis-Hastings (M-H) sampler. With minor tailoring…

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