6,409 research outputs found
Nonparametric causal effects based on incremental propensity score interventions
Most work in causal inference considers deterministic interventions that set
each unit's treatment to some fixed value. However, under positivity violations
these interventions can lead to non-identification, inefficiency, and effects
with little practical relevance. Further, corresponding effects in longitudinal
studies are highly sensitive to the curse of dimensionality, resulting in
widespread use of unrealistic parametric models. We propose a novel solution to
these problems: incremental interventions that shift propensity score values
rather than set treatments to fixed values. Incremental interventions have
several crucial advantages. First, they avoid positivity assumptions entirely.
Second, they require no parametric assumptions and yet still admit a simple
characterization of longitudinal effects, independent of the number of
timepoints. For example, they allow longitudinal effects to be visualized with
a single curve instead of lists of coefficients. After characterizing these
incremental interventions and giving identifying conditions for corresponding
effects, we also develop general efficiency theory, propose efficient
nonparametric estimators that can attain fast convergence rates even when
incorporating flexible machine learning, and propose a bootstrap-based
confidence band and simultaneous test of no treatment effect. Finally we
explore finite-sample performance via simulation, and apply the methods to
study time-varying sociological effects of incarceration on entry into
marriage
Unbiased and Consistent Nested Sampling via Sequential Monte Carlo
We introduce a new class of sequential Monte Carlo methods called Nested
Sampling via Sequential Monte Carlo (NS-SMC), which reframes the Nested
Sampling method of Skilling (2006) in terms of sequential Monte Carlo
techniques. This new framework allows convergence results to be obtained in the
setting when Markov chain Monte Carlo (MCMC) is used to produce new samples. An
additional benefit is that marginal likelihood estimates are unbiased. In
contrast to NS, the analysis of NS-SMC does not require the (unrealistic)
assumption that the simulated samples be independent. As the original NS
algorithm is a special case of NS-SMC, this provides insights as to why NS
seems to produce accurate estimates despite a typical violation of its
assumptions. For applications of NS-SMC, we give advice on tuning MCMC kernels
in an automated manner via a preliminary pilot run, and present a new method
for appropriately choosing the number of MCMC repeats at each iteration.
Finally, a numerical study is conducted where the performance of NS-SMC and
temperature-annealed SMC is compared on several challenging and realistic
problems. MATLAB code for our experiments is made available at
https://github.com/LeahPrice/SMC-NS .Comment: 45 pages, some minor typographical errors fixed since last versio
Analysis of Testing-Based Forward Model Selection
This paper introduces and analyzes a procedure called Testing-based forward
model selection (TBFMS) in linear regression problems. This procedure
inductively selects covariates that add predictive power into a working
statistical model before estimating a final regression. The criterion for
deciding which covariate to include next and when to stop including covariates
is derived from a profile of traditional statistical hypothesis tests. This
paper proves probabilistic bounds, which depend on the quality of the tests,
for prediction error and the number of selected covariates. As an example, the
bounds are then specialized to a case with heteroskedastic data, with tests
constructed with the help of Huber-Eicker-White standard errors. Under the
assumed regularity conditions, these tests lead to estimation convergence rates
matching other common high-dimensional estimators including Lasso
Incrementally Learned Mixture Models for GNSS Localization
GNSS localization is an important part of today's autonomous systems,
although it suffers from non-Gaussian errors caused by non-line-of-sight
effects. Recent methods are able to mitigate these effects by including the
corresponding distributions in the sensor fusion algorithm. However, these
approaches require prior knowledge about the sensor's distribution, which is
often not available. We introduce a novel sensor fusion algorithm based on
variational Bayesian inference, that is able to approximate the true
distribution with a Gaussian mixture model and to learn its parametrization
online. The proposed Incremental Variational Mixture algorithm automatically
adapts the number of mixture components to the complexity of the measurement's
error distribution. We compare the proposed algorithm against current
state-of-the-art approaches using a collection of open access real world
datasets and demonstrate its superior localization accuracy.Comment: 8 pages, 5 figures, published in proceedings of IEEE Intelligent
Vehicles Symposium (IV) 201
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