Nonconcave penalized composite conditional likelihood estimation of sparse Ising models

The Ising model is a useful tool for studying complex interactions within a system. The estimation of such a model, however, is rather challenging, especially in the presence of high-dimensional parameters. In this work, we propose efficient procedures for learning a sparse Ising model based on a penalized composite conditional likelihood with nonconcave penalties. Nonconcave penalized likelihood estimation has received a lot of attention in recent years. However, such an approach is computationally prohibitive under high-dimensional Ising models. To overcome such difficulties, we extend the methodology and theory of nonconcave penalized likelihood to penalized composite conditional likelihood estimation. The proposed method can be efficiently implemented by taking advantage of coordinate-ascent and minorization--maximization principles. Asymptotic oracle properties of the proposed method are established with NP-dimensionality. Optimality of the computed local solution is discussed. We demonstrate its finite sample performance via simulation studies and further illustrate our proposal by studying the Human Immunodeficiency Virus type 1 protease structure based on data from the Stanford HIV drug resistance database. Our statistical learning results match the known biological findings very well, although no prior biological information is used in the data analysis procedure.Comment: Published in at http://dx.doi.org/10.1214/12-AOS1017 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Structured additive regression for multicategorical space-time data: A mixed model approach

In many practical situations, simple regression models suffer from the fact that the dependence of responses on covariates can not be sufficiently described by a purely parametric predictor. For example effects of continuous covariates may be nonlinear or complex interactions between covariates may be present. A specific problem of space-time data is that observations are in general spatially and/or temporally correlated. Moreover, unobserved heterogeneity between individuals or units may be present. While, in recent years, there has been a lot of work in this area dealing with univariate response models, only limited attention has been given to models for multicategorical space-time data. We propose a general class of structured additive regression models (STAR) for multicategorical responses, allowing for a flexible semiparametric predictor. This class includes models for multinomial responses with unordered categories as well as models for ordinal responses. Non-linear effects of continuous covariates, time trends and interactions between continuous covariates are modelled through Bayesian versions of penalized splines and flexible seasonal components. Spatial effects can be estimated based on Markov random fields, stationary Gaussian random fields or two-dimensional penalized splines. We present our approach from a Bayesian perspective, allowing to treat all functions and effects within a unified general framework by assigning appropriate priors with different forms and degrees of smoothness. Inference is performed on the basis of a multicategorical linear mixed model representation. This can be viewed as posterior mode estimation and is closely related to penalized likelihood estimation in a frequentist setting. Variance components, corresponding to inverse smoothing parameters, are then estimated by using restricted maximum likelihood. Numerically efficient algorithms allow computations even for fairly large data sets. As a typical example we present results on an analysis of data from a forest health survey

A mixed model approach for structured hazard regression

The classical Cox proportional hazards model is a benchmark approach to analyze continuous survival times in the presence of covariate information. In a number of applications, there is a need to relax one or more of its inherent assumptions, such as linearity of the predictor or the proportional hazards property. Also, one is often interested in jointly estimating the baseline hazard together with covariate effects or one may wish to add a spatial component for spatially correlated survival data. We propose an extended Cox model, where the (log-)baseline hazard is weakly parameterized using penalized splines and the usual linear predictor is replaced by a structured additive predictor incorporating nonlinear effects of continuous covariates and further time scales, spatial effects, frailty components, and more complex interactions. Inclusion of time-varying coefficients leads to models that relax the proportional hazards assumption. Nonlinear and time-varying effects are modelled through penalized splines, and spatial components are treated as correlated random effects following either a Markov random field or a stationary Gaussian random field. All model components, including smoothing parameters, are specified within a unified framework and are estimated simultaneously based on mixed model methodology. The estimation procedure for such general mixed hazard regression models is derived using penalized likelihood for regression coefficients and (approximate) marginal likelihood for smoothing parameters. Performance of the proposed method is studied through simulation and an application to leukemia survival data in Northwest England

Function estimation with locally adaptive dynamic models

We present a nonparametric Bayesian method for fitting unsmooth and highly oscillating functions, which is based on a locally adaptive hierarchical extension of standard dynamic or state space models. The main idea is to introduce locally varying variances in the state equations and to add a further smoothness prior for this variance function. Estimation is fully Bayesian and carried out by recent MCMC techniques. The whole approach can be understood as an alternative to other nonparametric function estimators, such as local or penalized regression with variable bandwidth or smoothing parameter selection. Performance is illustrated with simulated data, including unsmooth examples constructed for wavelet shrinkage, and by an application to sales data. Although the approach is developed for classical Gaussian nonparametric regression, it can be extended to more complex regression problems

An overview of probabilistic and time series models in finance

In this paper, we partially review probabilistic and time series models in finance. Both discrete and continuous .time models are described. The characterization of the No- Arbitrage paradigm is extensively studied in several financial market contexts. As the probabilistic models become more and more complex to be realistic, the Econometrics needed to estimate them are more difficult. Consequently, there is still much research to be done on the link between probabilistic and time series models.Modeling Text Databases.- An Overview of Probabilistic and Time Series Models in Finance.- Stereological Estimation of the Rose of Directions.- Approximations for Multiple Scan Statistics.- Krawtchouk Polynomials and Krawtchouk Matrices.- An Elementary Rigorous Introduction to Exact Sampling.- On the Different Extensions of the Ergodic Theorem of Information Theory.- Dynamic Stochastic Models for Indexes and Thesauri.- Stability and Optimal Control.- Statistical Distances Based on Euclidean Graphs.- Implied Volatility.- On the Increments of the Brownian Sheet.- Compound Poisson Approximation.- Penalized Model Selection for Ill-posed Linear Problems.- The Arov-Grossman Model.- Recent Results in Geometric Analysis.- Dependence or Independence of the Sample Mean.- Optimal Stopping Problems for Time-Homogeneous Diffusions.- Criticality in Epidemics.- Acknowledgments.- Reference.- Index

Robust penalized regression for complex high-dimensional data

Robust high-dimensional data analysis has become an important and challenging task in complex Big Data analysis due to the high-dimensionality and data contamination. One of the most popular procedures is the robust penalized regression. In this dissertation, we address three typical robust ultra-high dimensional regression problems via penalized regression approaches. The first problem is related to the linear model with the existence of outliers, dealing with the outlier detection, variable selection and parameter estimation simultaneously. The second problem is related to robust high-dimensional mean regression with irregular settings such as the data contamination, data asymmetry and heteroscedasticity. The third problem is related to robust bi-level variable selection for the linear regression model with grouping structures in covariates. In Chapter 1, we introduce the background and challenges by overviews of penalized least squares methods and robust regression techniques. In Chapter 2, we propose a novel approach in a penalized weighted least squares framework to perform simultaneous variable selection and outlier detection. We provide a unified link between the proposed framework and a robust M-estimation in general settings. We also establish the non-asymptotic oracle inequalities for the joint estimation of both the regression coefficients and weight vectors. In Chapter 3, we establish a framework of robust estimators in high-dimensional regression models using Penalized Robust Approximated quadratic M estimation (PRAM). This framework allows general settings such as random errors lack of symmetry and homogeneity, or covariates are not sub-Gaussian. Theoretically, we show that, in the ultra-high dimension setting, the PRAM estimator has local estimation consistency at the minimax rate enjoyed by the LS-Lasso and owns the local oracle property, under certain mild conditions. In Chapter 4, we extend the study in Chapter 3 to robust high-dimensional data analysis with structured sparsity. In particular, we propose a framework of high-dimensional M-estimators for bi-level variable selection. This framework encourages bi-level sparsity through a computationally efficient two-stage procedure. It produces strong robust parameter estimators if some nonconvex redescending loss functions are applied. In theory, we provide sufficient conditions under which our proposed two-stage penalized M-estimator possesses simultaneous local estimation consistency and the bi-level variable selection consistency, if a certain nonconvex penalty function is used at the group level. The performances of the proposed estimators are demonstrated in both simulation studies and real examples. In Chapter 5, we provide some discussions and future work

Penalized estimation for non-identifiable models

We derive asymptotic properties of penalized estimators for singular models for which identifiability may break and the true parameter values can lie on the boundary of the parameter space. Selection consistency of the estimators is also validated. The problem that the true values lie on the boundary is dealt with by our previous results that are applicable to singular models, besides, penalized estimation and non-ergodic statistics. In order to overcome non-identifiability, we consider a suitable penalty such as the non-convex Bridge and the adaptive Lasso that stabilizes the asymptotic behavior of the estimator and shrinks inactive parameters. Then the estimator converges to one of the most parsimonious values among all the true values. In particular, the oracle property can also be obtained even if parametric structure of the singular model is so complex that likelihood ratio tests for model selection are labor intensive to perform. Among many potential applications, the examples handled in the paper are: (i) the superposition of parametric proportional hazard models and (ii) a counting process having intensity with multicollinear covariates

Convex and non-convex regularization methods for spatial point processes intensity estimation

This paper deals with feature selection procedures for spatial point processes intensity estimation. We consider regularized versions of estimating equations based on Campbell theorem derived from two classical functions: Poisson likelihood and logistic regression likelihood. We provide general conditions on the spatial point processes and on penalty functions which ensure consistency, sparsity and asymptotic normality. We discuss the numerical implementation and assess finite sample properties in a simulation study. Finally, an application to tropical forestry datasets illustrates the use of the proposed methods