Miracle-dz/UniFAR-FTUs huggingface dataset:
Periodically stationary multivariate autoregressive models

A class of multivariate periodic autoregressive models is proposed where coupling between time series is achieved through linear mean functions. Various response distributions with quadratic mean-variance relationships fit into the framework, including the negative binomial, gamma and Gaussian distributions. We develop an iterative algorithm to obtain unconditional means, variances and auto-/cross-covariances for models with higher order lags. Analytical solutions are given for the univariate model with lag one and multivariate models with linear mean-variance relationship. A special case of the model class is an established framework for modelling multivariate time series of counts from routine surveillance of infectious diseases. We extend this model class to allow for distributed lags and apply it to a dataset on norovirus gastroenteritis in two German states. The availability of unconditional moments and auto/cross-correlations enhances model assessment and interpretation.
Confidence Intervals that Utilize Uncertain Prior Information about Exogeneity in Panel Data

Consider panel data modelled by a linear random intercept model that includes a time-varying covariate. Suppose that we have uncertain prior information that this covariate is exogenous. We present a new confidence interval for the slope parameter that utilizes this uncertain prior information. This interval has minimum coverage probability very close to its nominal coverage. Let the scaled expected length of this new confidence interval be its expected length divided by the expected length of the confidence interval, with the same minimum coverage, constructed using the fixed effects model. This new interval has scaled expected length that (a) is substantially less than 1 when the prior information is correct, (b) has a maximum value that is not too much larger than 1 and (c) is close to 1 when the data strongly contradict the prior information. We illustrate the properties of this new interval using an airfare data set.
Interpoint distance based two sample tests in high dimension

In this paper, we study a class of two sample test statistics based on inter-point distances in the high dimensional and low sample size setting. Our test statistics include the well-known energy distance and maximum mean discrepancy with Gaussian and Laplacian kernels, and the critical values are obtained via permutations. We show that all these tests are inconsistent when the two high dimensional distributions correspond to the same marginal distributions but differ in other aspects of the distributions. The tests based on energy distance and maximum mean discrepancy are mainly targeting the differences between marginal means and variances, whereas the test based on $L^1$-distance can capture the difference in marginal distributions. Our theory sheds new light on the limitation of inter-point distance based tests, the impact of different distance metrics, and the behavior of permutation tests in high dimension. Some simulation results and a real data illustration are also presented to corroborate our theoretical findings.
A Distribution-Free Test of Independence and Its Application to Variable Selection

Motivated by the importance of measuring the association between the response and predictors in high dimensional data, In this article, we propose a new mean variance test of independence between a categorical random variable and a continuous one based on mean variance index. The mean variance index is zero if and only if two variables are independent. Under the independence, we derive an explicit form of its asymptotic null distribution, which provides us with an efficient and fast way to compute the empirical p-value in practice. The number of classes of the categorical variable is allowed to diverge slowly to the infinity. It is essentially a rank test and thus distribution-free. No assumption on the distributions of two random variables is required and the test statistic is invariant under one-to-one transformations. It is resistent to heavy-tailed distributions and extreme values. We assess its performance by Monte Carlo simulations and demonstrate that the proposed test achieves a higher power in comparison with the existing tests. We apply the proposed MV test to a high dimensional colon cancer gene expression data to detect the significant genes associated with the tissue syndrome.
Variable selection in high-dimensional linear model with possibly asymmetric or heavy-tailed errors.

We consider the problem of automatic variable selection in a linear model with asymmetric or heavy-tailed errors when the number of explanatory variables diverges with the sample size. For this high-dimensional model, the penalized least square method is not appropriate and the quantile framework makes the inference more difficult because to the non differentiability of the loss function. We propose and study an estimation method by penalizing the expectile process with an adaptive LASSO penalty. Two cases are considered: the number of model parameters is smaller and afterwards larger than the sample size, the two cases being distinct by the adaptive penalties considered. For each case we give the rate convergence and establish the oracle properties of the adaptive LASSO expectile estimator. The proposed estimators are evaluated through Monte Carlo simulations and compared with the adaptive LASSO quantile estimator. We applied also our estimation method to real data in genetics when the number of parameters is greater than the sample size.
Dose-response modeling in high-throughput cancer drug screenings: A case study with recommendations for practitioners

Personalized cancer treatments based on the molecular profile of a patient's tumor are becoming a standard of care in oncology. Experimentalists and pharmacologists rely on high-throughput, \textit{in vitro} screenings of many compounds against many different cell lines to build models of drug response. These models help them discover new potential therapeutics that may apply to broad classes of tumors matching some molecular pattern. We propose a hierarchical Bayesian model of how cancer cell lines respond to drugs in these experiments and develop a method for fitting the model to real-world data. Through a case study, the model is shown both quantitatively and qualitatively to capture nontrivial associations between molecular features and drug response. Finally, we draw five conclusions and recommendations that may benefit experimentalists, analysts, and clinicians working in the field of personalized medicine for cancer therapeutics.
A note on the geometry of the MAP partition in some Normal Bayesian Mixture Models

We investigate the geometry of the maximal a posteriori (MAP) partition in the Bayesian Mixture Model where the component distribution is multivariate Normal with Normal-inverse-Wishart prior on the component mean and covariance. We prove that in this case the clusters in any MAP partition are quadratically separable. Basically this means that every two clusters are separated by a quadratic surface. In connection with results of Rajkowski (2018), where the linear separability of clusters in the Bayesian Mixture Model with a fixed component covariance matrix was proved, it gives a nice Bayesian analogue of the geometric properties of Fisher Discriminant Analysis (LDA and QDA). We also describe a simple model where the covariance shape is fixed but there is a scaling parameter which may change from cluster to cluster. We prove that in any MAP partition for this model every two clusters are separated by an ellipsoid.
Environmental contours based on kernel density estimation

An offshore wind turbine needs to withstand the environmental loads, which can be expected during its life time. Consequently, designers must define loads based on extreme environmental conditions to verify structural integrity. The environmental contour method is an approach to systematically derive these extreme environmental design conditions. The method needs a probability density function as its input. Here we propose the use of constant bandwidth kernel density estimation to derive the joint probability density function of significant wave height and wind speed. We compare kernel density estimation with the currently recommended conditional modeling approach. In comparison, kernel density estimation seems better suited to describe the statistics of environmental conditions of simultaneously high significant wave height and wind speed. Consequently, an environmental contour based on kernel density estimation does include these environmental conditions while an environmental contour based on the conditional modeling approach does not. Since these environmental conditions often lead to the highest structural responses, it is especially important that the used method outputs these conditions as design requirements.
Is a single unique Bayesian network enough to accurately represent your data

Bayesian network (BN) modelling is extensively used in systems epidemiology. Usually it consists in selecting and reporting the best-fitting structure conditional to the data. A major practical concern is avoiding overfitting, on account of its extreme flexibility and its modelling richness. Many approaches have been proposed to control for overfitting. Unfortunately, they essentially all rely on very crude decisions that result in too simplistic approaches for such complex systems. In practice, with limited data sampled from complex system, this approach seems too simplistic. An alternative would be to use the Monte Carlo Markov chain model choice (MC3) over the network to learn the landscape of reasonably supported networks, and then to present all possible arcs with their MCMC support. This paper presents an R implementation, called mcmcabn, of a flexible structural MC3 that is accessible to non-specialists.
Shrinkage estimation of large covariance matrices using multiple shrinkage targets.

Linear shrinkage estimators of a covariance matrix --- defined by a weighted average of the sample covariance matrix and a pre-specified shrinkage target matrix --- are popular when analysing high-throughput molecular data. However, their performance strongly relies on an appropriate choice of target matrix. This paper introduces a more flexible class of linear shrinkage estimators that can accommodate multiple shrinkage target matrices, directly accounting for the uncertainty regarding the target choice. This is done within a conjugate Bayesian framework, which is computationally efficient. Using both simulated and real data, we show that the proposed estimator is less sensitive to target misspecification and can outperform state-of-the-art (nonparametric) single-target linear shrinkage estimators. Using protein expression data from The Cancer Proteome Atlas we illustrate how multiple sources of prior information (obtained from more than 30 different cancer types) can be incorporated into the proposed multi-target linear shrinkage estimator. In particular, it is shown that the target-specific weights can provide insights into the differences and similarities between cancer types. Software for the method is freely available as an R-package at this http URL.
Infinite dimensional adaptive MCMC for Gaussian processes.

Latent Gaussian processes are widely applied in many fields like, statistics, inverse problems and machine learning. A popular method for inference is through the posterior distribution, which is typically carried out by Markov Chain Monte Carlo (MCMC) algorithms. Most Gaussian processes can be represented as a Gaussian measure in a infinite dimensional space. This is an issue for standard algorithms as they break down in an infinite dimensional setting, thus the need for appropriate infinite dimensional samplers for implementing probabilistic inference in such framework. In this paper, we introduce several adaptive versions of the preconditioned Crank-Nicolson Langevin (pCNL) algorithm, which can be viewed as an infinite dimensional version of the well known Metropolis adjusted Langevin algorithm (MALA) algorithm for Gaussian processes. The basic premise for all our proposals lies in the idea of implementing change of measure formulation to adapt the algorithms to greatly improve their efficiency. A gradient-free version of pCNL is introduced, which is a hybrid of an adaptive independence sampler and an adaptive random walk sampler, and is shown to outperform the standard preconditioned Crank-Nicolson (pCN) scheme. Finally, we demonstrate the efficiency of our proposed algorithm for three different statistical models.
Identifiability of two‐component skew normal mixtures with one known component

We give sufficient identifiability conditions for estimating mixing proportions in two‐component mixtures of skew normal distributions with one known component. We consider the univariate case and two multivariate extensions: a multivariate skew normal distribution (MSN) and the canonical fundamental skew normal distribution (CFUSN). The characteristic function of the CFUSN distribution is additionally derived.
Tweedie gradient boosting for extremely unbalanced zero-inflated data

Abstract Tweedie’s compound Poisson model is a popular method to model insurance claims with probability mass at zero and nonnegative, highly right-skewed distribution. In particular, it is not uncommon to have extremely unbalanced data with excessively large proportion of zero claims, and even traditional Tweedie model may not be satisfactory for fitting the data. In this paper, we propose a boosting-assisted zero-inflated Tweedie model, called EMTboost, that allows zero probability mass to exceed a traditional model. We makes a nonparametric assumption on its Tweedie model component, that unlike a linear model, is able to capture nonlinearities, discontinuities, and complex higher order interactions among predictors. A specialized Expectation-Maximization algorithm is developed that integrates a blockwise coordinate descent strategy and a gradient tree-boosting algorithm to estimate key model parameters. We use extensive simulation and data analysis on synthetic zero-inflated auto-insurance claim data to illustrate our method’s prediction performance.
Permutation-based simultaneous confidence bounds for the false discovery proportion

When multiple hypotheses are tested, interest is often in ensuring that the proportion of false discoveries is small with high confidence. In this paper, confidence upper bounds for the false discovery proportion are constructed, which are simultaneous over all rejection cut-offs. In particular, this allows the user to select a set of hypotheses post hoc such that the false discovery proportion lies below some constant with high confidence. Our method uses permutations to account for the dependence structure in the data. So far only Meinshausen (2006) has developed an exact, permutation-based and computationally feasible method for obtaining simultaneous false discovery proportion bounds. We propose an exact method which uniformly improves that procedure. Further, we provide a generalization of the method that lets the user select the shape of the simultaneous confidence bounds; this gives the user more freedom in determining the power properties of the method. Interestingly, several existing permutation methods, such as significance analysis of microarrays and the maxT method of Westfall & Young (1993), are obtained as special cases.
Fréchet analysis of variance for random objects

Fréchet mean and variance provide a way of obtaining a mean and variance for metric space-valued random variables, and can be used for statistical analysis of data objects that lie in abstract spaces devoid of algebraic structure and operations. Examples of such data objects include covariance matrices, graph Laplacians of networks and univariate probability distribution functions. We derive a central limit theorem for the Fréchet variance under mild regularity conditions, using empirical process theory, and also provide a consistent estimator of the asymptotic variance. These results lead to a test for comparing $k$ populations of metric space-valued data objects in terms of Fréchet means and variances. We examine the finite-sample performance of this novel inference procedure through simulation studies on several special cases that include probability distributions and graph Laplacians, leading to a test for comparing populations of networks. The proposed approach has good finite-sample performance in simulations for different kinds of random objects. We illustrate the proposed methods by analysing data on mortality profiles of various countries and resting-state functional magnetic resonance imaging data.
Projective, sparse and learnable latent position network models

When modeling network data using a latent position model, it is typical to assume that the nodes' positions are independently and identically distributed. However, this assumption implies the average node degree grows linearly with the number of nodes, which is inappropriate when the graph is thought to be sparse. We propose an alternative assumption---that the latent positions are generated according to a Poisson point process---and show that it is compatible with various levels of sparsity. Unlike other notions of sparse latent position models in the literature, our framework also defines a projective sequence of probability models, thus ensuring consistency of statistical inference across networks of different sizes. We establish conditions for consistent estimation of the latent positions, and compare our results to existing frameworks for modeling sparse networks.
Weak convergences of marked empirical processes in a Hilbert space and their applications

In this paper, weak convergences of marked empirical processes in $L^2(\mathbb{R},\nu)$ and their applications to statistical goodness-of-fit tests are provided, where $L^2(\mathbb{R},\nu)$ is the set of equivalence classes of the square integrable functions on $\mathbb{R}$ with respect to a finite Borel measure $\nu$. The results obtained in our framework of weak convergences are, in the topological sense, weaker than those in the Skorokhod topology on a space of c\'adl\'ag functions or the uniform topology on a space of bounded functions, which have been well studied in previous works. However, our results have the following merits: (1) avoiding conditions which do not suit for our purpose; (2) treating a weight function which makes us possible to propose an Anderson--Darling type test statistics for goodness-of-fit tests. Indeed, the applications presented in this paper are novel.
A hierarchical technique for estimating location parameter in the presence of missing data

This paper proposes a hierarchical method for estimating the location parameters of a multivariate vector in the presence of missing data. At i th step of this procedure an estimate of the location parameters for non-missing components of the vector is based on combining the information in the subset of observations with the non-missing components with updated estimates of the location parameters from all subsets with even more missing components in an iterative fashion. If the variance-covariance matrix is known, then the resulting estimator is unbiased with the smallest variance provided missing data are ignorable. It is also shown that the resulting estimator based on consistent estimators of variance-covariance matrices obtains unbiasedness and the smallest variance asymptotically. This approach can also be extended to some cases of non-ignorable missing data. Applying the methodology to a data with random dropouts yields the well known Kaplan-Meier estimator.
Multivariate count autoregression

We are studying the problems of modeling and inference for multivariate count time series data with Poisson marginals. The focus is on linear and log-linear models. For studying the properties of such processes we develop a novel conceptual framework which is based on copulas. However, our approach does not impose the copula on a vector of counts; instead the joint distribution is determined by imposing a copula function on a vector of associated continuous random variables. This specific construction avoids conceptual difficulties resulting from the joint distribution of discrete random variables yet it keeps the properties of the Poisson process marginally. We employ Markov chain theory and the notion of weak dependence to study ergodicity and stationarity of the models we consider. We obtain easily verifiable conditions for both linear and log-linear models under both theoretical frameworks. Suitable estimating equations are suggested for estimating unknown model parameters. The large sample properties of the resulting estimators are studied in detail. The work concludes with some simulations and a real data example.
Spatio-temporal Patterns of Indian Monsoon Rainfall

The primary objective of this paper is to analyze a set of canonical spatial patterns that approximate the daily rainfall across the Indian region, as identified in the companion paper where we developed a discrete representation of the Indian summer monsoon rainfall using state variables with spatio-temporal coherence maintained using a Markov Random Field prior. In particular, we use these spatio-temporal patterns to study the variation of rainfall during the monsoon season. Firstly, the ten patterns are divided into three families of patterns distinguished by their total rainfall amount and geographic spread. These families are then used to establish `active' and `break' spells of the Indian monsoon at the all-India level. Subsequently, we characterize the behavior of these patterns in time by estimating probabilities of transition from one pattern to another across days in a season. Patterns tend to be `sticky': the self-transition is the most common. We also identify most commonly occurring sequences of patterns. This leads to a simple seasonal evolution model for the summer monsoon rainfall. The discrete representation introduced in the companion paper also identifies typical temporal rainfall patterns for individual locations. This enables us to determine wet and dry spells at local and regional scales. Lastly, we specify sets of locations that tend to have such spells simultaneously, and thus come up with a new regionalization of the landmass.
Balancing Covariates via Propensity Score Weighting

ABSTRACT Covariate balance is crucial for unconfounded descriptive or causal comparisons. However, lack of balance is common in observational studies. This article considers weighting strategies for balancing covariates. We define a general class of weights—the balancing weights—that balance the weighted distributions of the covariates between treatment groups. These weights incorporate the propensity score to weight each group to an analyst-selected target population. This class unifies existing weighting methods, including commonly used weights such as inverse-probability weights as special cases. General large-sample results on nonparametric estimation based on these weights are derived. We further propose a new weighting scheme, the overlap weights, in which each unit’s weight is proportional to the probability of that unit being assigned to the opposite group. The overlap weights are bounded, and minimize the asymptotic variance of the weighted average treatment effect among the class of balancing weights. The overlap weights also possess a desirable small-sample exact balance property, based on which we propose a new method that achieves exact balance for means of any selected set of covariates. Two applications illustrate these methods and compare them with other approaches.