Generalized Network Psychometrics: Combining Network and Latent Variable Models

We introduce the network model as a formal psychometric model, conceptualizing the covariance between psychometric indicators as resulting from pairwise interactions between observable variables in a network structure. This contrasts with standard psychometric models, in which the covariance between test items arises from the influence of one or more common latent variables. Here, we present two generalizations of the network model that encompass latent variable structures, establishing network modeling as parts of the more general framework of Structural Equation Modeling (SEM). In the first generalization, we model the covariance structure of latent variables as a network. We term this framework Latent Network Modeling (LNM) and show that, with LNM, a unique structure of conditional independence relationships between latent variables can be obtained in an explorative manner. In the second generalization, the residual variance-covariance structure of indicators is modeled as a network. We term this generalization Residual Network Modeling (RNM) and show that, within this framework, identifiable models can be obtained in which local independence is structurally violated. These generalizations allow for a general modeling framework that can be used to fit, and compare, SEM models, network models, and the RNM and LNM generalizations. This methodology has been implemented in the free-to-use software package lvnet, which contains confirmatory model testing as well as two exploratory search algorithms: stepwise search algorithms for low-dimensional datasets and penalized maximum likelihood estimation for larger datasets. We show in simulation studies that these search algorithms performs adequately in identifying the structure of the relevant residual or latent networks. We further demonstrate the utility of these generalizations in an empirical example on a personality inventory dataset.Comment: Published in Psychometrik

Non Parametric Models with Instrumental Variables

This paper gives a survey of econometric models characterized by a relation between observable and unobservable random elements where these unobservable terms are assumed to be independent of another set of observable variables called instrumental variables. This kind of specification is usefull to address the question of endogeneity or of selection bias for example. These models are treated non parametrically and in all the example we consider the functional parameter of interest is defined as the solution of a linear or non linear integral equation. The estimation procedure then requires to solve a (generally ill-posed) inverse problem. We illustrate the main questions (construction of the equation, identification, numerical solution, asymptotic properties, selection of the regularization parameter) by the different models we present.

Interpretable statistics for complex modelling: quantile and topological learning

As the complexity of our data increased exponentially in the last decades, so has our need for interpretable features. This thesis revolves around two paradigms to approach this quest for insights. In the first part we focus on parametric models, where the problem of interpretability can be seen as a “parametrization selection”. We introduce a quantile-centric parametrization and we show the advantages of our proposal in the context of regression, where it allows to bridge the gap between classical generalized linear (mixed) models and increasingly popular quantile methods. The second part of the thesis, concerned with topological learning, tackles the problem from a non-parametric perspective. As topology can be thought of as a way of characterizing data in terms of their connectivity structure, it allows to represent complex and possibly high dimensional through few features, such as the number of connected components, loops and voids. We illustrate how the emerging branch of statistics devoted to recovering topological structures in the data, Topological Data Analysis, can be exploited both for exploratory and inferential purposes with a special emphasis on kernels that preserve the topological information in the data. Finally, we show with an application how these two approaches can borrow strength from one another in the identification and description of brain activity through fMRI data from the ABIDE project

Inference for High-Dimensional Sparse Econometric Models

This article is about estimation and inference methods for high dimensional sparse (HDS) regression models in econometrics. High dimensional sparse models arise in situations where many regressors (or series terms) are available and the regression function is well-approximated by a parsimonious, yet unknown set of regressors. The latter condition makes it possible to estimate the entire regression function effectively by searching for approximately the right set of regressors. We discuss methods for identifying this set of regressors and estimating their coefficients based on $\ell_1$-penalization and describe key theoretical results. In order to capture realistic practical situations, we expressly allow for imperfect selection of regressors and study the impact of this imperfect selection on estimation and inference results. We focus the main part of the article on the use of HDS models and methods in the instrumental variables model and the partially linear model. We present a set of novel inference results for these models and illustrate their use with applications to returns to schooling and growth regression

Feature selection guided by structural information

In generalized linear regression problems with an abundant number of features, lasso-type regularization which imposes an $\ell^1$-constraint on the regression coefficients has become a widely established technique. Deficiencies of the lasso in certain scenarios, notably strongly correlated design, were unmasked when Zou and Hastie [J. Roy. Statist. Soc. Ser. B 67 (2005) 301--320] introduced the elastic net. In this paper we propose to extend the elastic net by admitting general nonnegative quadratic constraints as a second form of regularization. The generalized ridge-type constraint will typically make use of the known association structure of features, for example, by using temporal- or spatial closeness. We study properties of the resulting "structured elastic net" regression estimation procedure, including basic asymptotics and the issue of model selection consistency. In this vein, we provide an analog to the so-called "irrepresentable condition" which holds for the lasso. Moreover, we outline algorithmic solutions for the structured elastic net within the generalized linear model family. The rationale and the performance of our approach is illustrated by means of simulated and real world data, with a focus on signal regression.Comment: Published in at http://dx.doi.org/10.1214/09-AOAS302 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org

Robustness and Regularization of Support Vector Machines

We consider regularized support vector machines (SVMs) and show that they are precisely equivalent to a new robust optimization formulation. We show that this equivalence of robust optimization and regularization has implications for both algorithms, and analysis. In terms of algorithms, the equivalence suggests more general SVM-like algorithms for classification that explicitly build in protection to noise, and at the same time control overfitting. On the analysis front, the equivalence of robustness and regularization, provides a robust optimization interpretation for the success of regularized SVMs. We use the this new robustness interpretation of SVMs to give a new proof of consistency of (kernelized) SVMs, thus establishing robustness as the reason regularized SVMs generalize well