Search results for "Statistics & Probability"
showing 10 items of 436 documents
Unbiased Estimators and Multilevel Monte Carlo
2018
Multilevel Monte Carlo (MLMC) and unbiased estimators recently proposed by McLeish (Monte Carlo Methods Appl., 2011) and Rhee and Glynn (Oper. Res., 2015) are closely related. This connection is elaborated by presenting a new general class of unbiased estimators, which admits previous debiasing schemes as special cases. New lower variance estimators are proposed, which are stratified versions of earlier unbiased schemes. Under general conditions, essentially when MLMC admits the canonical square root Monte Carlo error rate, the proposed new schemes are shown to be asymptotically as efficient as MLMC, both in terms of variance and cost. The experiments demonstrate that the variance reduction…
Causal Effect Identification from Multiple Incomplete Data Sources: A General Search-Based Approach
2021
Causal effect identification considers whether an interventional probability distribution can be uniquely determined without parametric assumptions from measured source distributions and structural knowledge on the generating system. While complete graphical criteria and procedures exist for many identification problems, there are still challenging but important extensions that have not been considered in the literature. To tackle these new settings, we present a search algorithm directly over the rules of do-calculus. Due to generality of do-calculus, the search is capable of taking more advanced data-generating mechanisms into account along with an arbitrary type of both observational and…
Conditional particle filters with diffuse initial distributions
2020
Conditional particle filters (CPFs) are powerful smoothing algorithms for general nonlinear/non-Gaussian hidden Markov models. However, CPFs can be inefficient or difficult to apply with diffuse initial distributions, which are common in statistical applications. We propose a simple but generally applicable auxiliary variable method, which can be used together with the CPF in order to perform efficient inference with diffuse initial distributions. The method only requires simulatable Markov transitions that are reversible with respect to the initial distribution, which can be improper. We focus in particular on random-walk type transitions which are reversible with respect to a uniform init…
Unbiased Inference for Discretely Observed Hidden Markov Model Diffusions
2021
We develop a Bayesian inference method for diffusions observed discretely and with noise, which is free of discretisation bias. Unlike existing unbiased inference methods, our method does not rely on exact simulation techniques. Instead, our method uses standard time-discretised approximations of diffusions, such as the Euler--Maruyama scheme. Our approach is based on particle marginal Metropolis--Hastings, a particle filter, randomised multilevel Monte Carlo, and importance sampling type correction of approximate Markov chain Monte Carlo. The resulting estimator leads to inference without a bias from the time-discretisation as the number of Markov chain iterations increases. We give conver…
Estimation of causal effects with small data in the presence of trapdoor variables
2021
We consider the problem of estimating causal effects of interventions from observational data when well-known back-door and front-door adjustments are not applicable. We show that when an identifiable causal effect is subject to an implicit functional constraint that is not deducible from conditional independence relations, the estimator of the causal effect can exhibit bias in small samples. This bias is related to variables that we call trapdoor variables. We use simulated data to study different strategies to account for trapdoor variables and suggest how the related trapdoor bias might be minimized. The importance of trapdoor variables in causal effect estimation is illustrated with rea…
Bayesian inference for the extremal dependence
2016
A simple approach for modeling multivariate extremes is to consider the vector of component-wise maxima and their max-stable distributions. The extremal dependence can be inferred by estimating the angular measure or, alternatively, the Pickands dependence function. We propose a nonparametric Bayesian model that allows, in the bivariate case, the simultaneous estimation of both functional representations through the use of polynomials in the Bernstein form. The constraints required to provide a valid extremal dependence are addressed in a straightforward manner, by placing a prior on the coefficients of the Bernstein polynomials which gives probability one to the set of valid functions. The…
Isotonic regression for metallic microstructure data: estimation and testing under order restrictions
2021
Investigating the main determinants of the mechanical performance of metals is not a simple task. Already known physical inspired qualitative relations between 2D microstructure characteristics and 3D mechanical properties can act as the starting point of the investigation. Isotonic regression allows to take into account ordering relations and leads to more efficient and accurate results when the underlying assumptions actually hold. The main goal in this paper is to test order relations in a model inspired by a materials science application. The statistical estimation procedure is described considering three different scenarios according to the knowledge of the variances: known variance ra…
Panel Data Analysis via Mechanistic Models
2018
Panel data, also known as longitudinal data, consist of a collection of time series. Each time series, which could itself be multivariate, comprises a sequence of measurements taken on a distinct unit. Mechanistic modeling involves writing down scientifically motivated equations describing the collection of dynamic systems giving rise to the observations on each unit. A defining characteristic of panel systems is that the dynamic interaction between units should be negligible. Panel models therefore consist of a collection of independent stochastic processes, generally linked through shared parameters while also having unit-specific parameters. To give the scientist flexibility in model spe…
Mixture Hidden Markov Models for Sequence Data: The seqHMM Package in R
2019
Sequence analysis is being more and more widely used for the analysis of social sequences and other multivariate categorical time series data. However, it is often complex to describe, visualize, and compare large sequence data, especially when there are multiple parallel sequences per subject. Hidden (latent) Markov models (HMMs) are able to detect underlying latent structures and they can be used in various longitudinal settings: to account for measurement error, to detect unobservable states, or to compress information across several types of observations. Extending to mixture hidden Markov models (MHMMs) allows clustering data into homogeneous subsets, with or without external covariate…
Nowcasting COVID‐19 incidence indicators during the Italian first outbreak
2020
A novel parametric regression model is proposed to fit incidence data typically collected during epidemics. The proposal is motivated by real-time monitoring and short-term forecasting of the main epidemiological indicators within the first outbreak of COVID-19 in Italy. Accurate short-term predictions, including the potential effect of exogenous or external variables are provided. This ensures to accurately predict important characteristics of the epidemic (e.g., peak time and height), allowing for a better allocation of health resources over time. Parameter estimation is carried out in a maximum likelihood framework. All computational details required to reproduce the approach and replica…