16,293 research outputs found
Disintegration and Bayesian Inversion via String Diagrams
The notions of disintegration and Bayesian inversion are fundamental in
conditional probability theory. They produce channels, as conditional
probabilities, from a joint state, or from an already given channel (in
opposite direction). These notions exist in the literature, in concrete
situations, but are presented here in abstract graphical formulations. The
resulting abstract descriptions are used for proving basic results in
conditional probability theory. The existence of disintegration and Bayesian
inversion is discussed for discrete probability, and also for measure-theoretic
probability --- via standard Borel spaces and via likelihoods. Finally, the
usefulness of disintegration and Bayesian inversion is illustrated in several
examples.Comment: Accepted for publication in Mathematical Structures in Computer
Scienc
Searching for the Causal Structure of a Vector Autoregression
Vector autoregressions (VARs) are economically interpretable only when identified by being transformed into a structural form (the SVAR) in which the contemporaneous variables stand in a well-defined causal order. These identifying transformations are not unique. It is widely believed that practitioners must choose among them using a priori theory or other criteria not rooted in the data under analysis. We show how to apply graph-theoretic methods of searching for causal structure based on relations of conditional independence to select among the possible causal orders – or at least to reduce the admissible causal orders to a narrow equivalence class. The graph-theoretic approaches were developed by computer scientists and philosophers (Pearl, Glymour, Spirtes among others) and applied to cross-sectional data. We provide an accessible introduction to this work. Then building on the work of Swanson and Granger (1997), we show how to apply it to searching for the causal order of an SVAR. We present simulation results to show how the efficacy of the search method algorithm varies with signal strength for realistic sample lengths. Our findings suggest that graph-theoretic methods may prove to be a useful tool in the analysis of SVARs.search, causality, structural vector autoregression, graph theory, common cause, causal Markov condition, Wold causal order, identification; PC algorithm
Picturing classical and quantum Bayesian inference
We introduce a graphical framework for Bayesian inference that is
sufficiently general to accommodate not just the standard case but also recent
proposals for a theory of quantum Bayesian inference wherein one considers
density operators rather than probability distributions as representative of
degrees of belief. The diagrammatic framework is stated in the graphical
language of symmetric monoidal categories and of compact structures and
Frobenius structures therein, in which Bayesian inversion boils down to
transposition with respect to an appropriate compact structure. We characterize
classical Bayesian inference in terms of a graphical property and demonstrate
that our approach eliminates some purely conventional elements that appear in
common representations thereof, such as whether degrees of belief are
represented by probabilities or entropic quantities. We also introduce a
quantum-like calculus wherein the Frobenius structure is noncommutative and
show that it can accommodate Leifer's calculus of `conditional density
operators'. The notion of conditional independence is also generalized to our
graphical setting and we make some preliminary connections to the theory of
Bayesian networks. Finally, we demonstrate how to construct a graphical
Bayesian calculus within any dagger compact category.Comment: 38 pages, lots of picture
Structural Agnostic Modeling: Adversarial Learning of Causal Graphs
A new causal discovery method, Structural Agnostic Modeling (SAM), is
presented in this paper. Leveraging both conditional independencies and
distributional asymmetries in the data, SAM aims at recovering full causal
models from continuous observational data along a multivariate non-parametric
setting. The approach is based on a game between players estimating each
variable distribution conditionally to the others as a neural net, and an
adversary aimed at discriminating the overall joint conditional distribution,
and that of the original data. An original learning criterion combining
distribution estimation, sparsity and acyclicity constraints is used to enforce
the end-to-end optimization of the graph structure and parameters through
stochastic gradient descent. Besides the theoretical analysis of the approach
in the large sample limit, SAM is extensively experimentally validated on
synthetic and real data
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