Concentration and Confidence for Discrete Bayesian Sequence Predictors

Bayesian sequence prediction is a simple technique for predicting future symbols sampled from an unknown measure on infinite sequences over a countable alphabet. While strong bounds on the expected cumulative error are known, there are only limited results on the distribution of this error. We prove tight high-probability bounds on the cumulative error, which is measured in terms of the Kullback-Leibler (KL) divergence. We also consider the problem of constructing upper confidence bounds on the KL and Hellinger errors similar to those constructed from Hoeffding-like bounds in the i.i.d. case. The new results are applied to show that Bayesian sequence prediction can be used in the Knows What It Knows (KWIK) framework with bounds that match the state-of-the-art.Comment: 17 page

Inferring hidden Markov models from noisy time sequences: a method to alleviate degeneracy in molecular dynamics

We present a new method for inferring hidden Markov models from noisy time sequences without the necessity of assuming a model architecture, thus allowing for the detection of degenerate states. This is based on the statistical prediction techniques developed by Crutchfield et al., and generates so called causal state models, equivalent to hidden Markov models. This method is applicable to any continuous data which clusters around discrete values and exhibits multiple transitions between these values such as tethered particle motion data or Fluorescence Resonance Energy Transfer (FRET) spectra. The algorithms developed have been shown to perform well on simulated data, demonstrating the ability to recover the model used to generate the data under high noise, sparse data conditions and the ability to infer the existence of degenerate states. They have also been applied to new experimental FRET data of Holliday Junction dynamics, extracting the expected two state model and providing values for the transition rates in good agreement with previous results and with results obtained using existing maximum likelihood based methods.Comment: 19 pages, 9 figure

Prediction of time series by statistical learning: general losses and fast rates

We establish rates of convergences in time series forecasting using the statistical learning approach based on oracle inequalities. A series of papers extends the oracle inequalities obtained for iid observations to time series under weak dependence conditions. Given a family of predictors and $n$ observations, oracle inequalities state that a predictor forecasts the series as well as the best predictor in the family up to a remainder term $\Delta_n$. Using the PAC-Bayesian approach, we establish under weak dependence conditions oracle inequalities with optimal rates of convergence. We extend previous results for the absolute loss function to any Lipschitz loss function with rates $\Delta_n\sim\sqrt{c(\Theta)/ n}$ where $c(\Theta)$ measures the complexity of the model. We apply the method for quantile loss functions to forecast the french GDP. Under additional conditions on the loss functions (satisfied by the quadratic loss function) and on the time series, we refine the rates of convergence to $\Delta_n \sim c(\Theta)/n$. We achieve for the first time these fast rates for uniformly mixing processes. These rates are known to be optimal in the iid case and for individual sequences. In particular, we generalize the results of Dalalyan and Tsybakov on sparse regression estimation to the case of autoregression

Recent advances in directional statistics

Mainstream statistical methodology is generally applicable to data observed in Euclidean space. There are, however, numerous contexts of considerable scientific interest in which the natural supports for the data under consideration are Riemannian manifolds like the unit circle, torus, sphere and their extensions. Typically, such data can be represented using one or more directions, and directional statistics is the branch of statistics that deals with their analysis. In this paper we provide a review of the many recent developments in the field since the publication of Mardia and Jupp (1999), still the most comprehensive text on directional statistics. Many of those developments have been stimulated by interesting applications in fields as diverse as astronomy, medicine, genetics, neurology, aeronautics, acoustics, image analysis, text mining, environmetrics, and machine learning. We begin by considering developments for the exploratory analysis of directional data before progressing to distributional models, general approaches to inference, hypothesis testing, regression, nonparametric curve estimation, methods for dimension reduction, classification and clustering, and the modelling of time series, spatial and spatio-temporal data. An overview of currently available software for analysing directional data is also provided, and potential future developments discussed.Comment: 61 page

Bayesian Synthesis: Combining subjective analyses, with an application to ozone data

Bayesian model averaging enables one to combine the disparate predictions of a number of models in a coherent fashion, leading to superior predictive performance. The improvement in performance arises from averaging models that make different predictions. In this work, we tap into perhaps the biggest driver of different predictions---different analysts---in order to gain the full benefits of model averaging. In a standard implementation of our method, several data analysts work independently on portions of a data set, eliciting separate models which are eventually updated and combined through a specific weighting method. We call this modeling procedure Bayesian Synthesis. The methodology helps to alleviate concerns about the sizable gap between the foundational underpinnings of the Bayesian paradigm and the practice of Bayesian statistics. In experimental work we show that human modeling has predictive performance superior to that of many automatic modeling techniques, including AIC, BIC, Smoothing Splines, CART, Bagged CART, Bayes CART, BMA and LARS, and only slightly inferior to that of BART. We also show that Bayesian Synthesis further improves predictive performance. Additionally, we examine the predictive performance of a simple average across analysts, which we dub Convex Synthesis, and find that it also produces an improvement.Comment: Published in at http://dx.doi.org/10.1214/10-AOAS444 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org