Resampling methods for parameter-free and robust feature selection with mutual information

Combining the mutual information criterion with a forward feature selection strategy offers a good trade-off between optimality of the selected feature subset and computation time. However, it requires to set the parameter(s) of the mutual information estimator and to determine when to halt the forward procedure. These two choices are difficult to make because, as the dimensionality of the subset increases, the estimation of the mutual information becomes less and less reliable. This paper proposes to use resampling methods, a K-fold cross-validation and the permutation test, to address both issues. The resampling methods bring information about the variance of the estimator, information which can then be used to automatically set the parameter and to calculate a threshold to stop the forward procedure. The procedure is illustrated on a synthetic dataset as well as on real-world examples

Advances in Feature Selection with Mutual Information

The selection of features that are relevant for a prediction or classification problem is an important problem in many domains involving high-dimensional data. Selecting features helps fighting the curse of dimensionality, improving the performances of prediction or classification methods, and interpreting the application. In a nonlinear context, the mutual information is widely used as relevance criterion for features and sets of features. Nevertheless, it suffers from at least three major limitations: mutual information estimators depend on smoothing parameters, there is no theoretically justified stopping criterion in the feature selection greedy procedure, and the estimation itself suffers from the curse of dimensionality. This chapter shows how to deal with these problems. The two first ones are addressed by using resampling techniques that provide a statistical basis to select the estimator parameters and to stop the search procedure. The third one is addressed by modifying the mutual information criterion into a measure of how features are complementary (and not only informative) for the problem at hand

Measures of Analysis of Time Series (MATS): A MATLAB Toolkit for Computation of Multiple Measures on Time Series Data Bases

In many applications, such as physiology and finance, large time series data bases are to be analyzed requiring the computation of linear, nonlinear and other measures. Such measures have been developed and implemented in commercial and freeware softwares rather selectively and independently. The Measures of Analysis of Time Series ({\tt MATS}) {\tt MATLAB} toolkit is designed to handle an arbitrary large set of scalar time series and compute a large variety of measures on them, allowing for the specification of varying measure parameters as well. The variety of options with added facilities for visualization of the results support different settings of time series analysis, such as the detection of dynamics changes in long data records, resampling (surrogate or bootstrap) tests for independence and linearity with various test statistics, and discrimination power of different measures and for different combinations of their parameters. The basic features of {\tt MATS} are presented and the implemented measures are briefly described. The usefulness of {\tt MATS} is illustrated on some empirical examples along with screenshots.Comment: 25 pages, 9 figures, two tables, the software can be downloaded at http://eeganalysis.web.auth.gr/indexen.ht

Measures of Analysis of Time Series (MATS): A MATLAB Toolkit for Computation of Multiple Measures on Time Series Data Bases

In many applications, such as physiology and finance, large time series data bases are to be analyzed requiring the computation of linear, nonlinear and other measures. Such measures have been developed and implemented in commercial and freeware softwares rather selectively and independently. The Measures of Analysis of Time Series (MATS) MATLAB toolkit is designed to handle an arbitrary large set of scalar time series and compute a large variety of measures on them, allowing for the specification of varying measure parameters as well. The variety of options with added facilities for visualization of the results support different settings of time series analysis, such as the detection of dynamics changes in long data records, resampling (surrogate or bootstrap) tests for independence and linearity with various test statistics, and discrimination power of different measures and for different combinations of their parameters. The basic features of MATS are presented and the implemented measures are briefly described. The usefulness of MATS is illustrated on some empirical examples along with screenshots.

Editorial Comment on the Special Issue of "Information in Dynamical Systems and Complex Systems"

This special issue collects contributions from the participants of the "Information in Dynamical Systems and Complex Systems" workshop, which cover a wide range of important problems and new approaches that lie in the intersection of information theory and dynamical systems. The contributions include theoretical characterization and understanding of the different types of information flow and causality in general stochastic processes, inference and identification of coupling structure and parameters of system dynamics, rigorous coarse-grain modeling of network dynamical systems, and exact statistical testing of fundamental information-theoretic quantities such as the mutual information. The collective efforts reported herein reflect a modern perspective of the intimate connection between dynamical systems and information flow, leading to the promise of better understanding and modeling of natural complex systems and better/optimal design of engineering systems

Multiscale relevance and informative encoding in neuronal spike trains

Neuronal responses to complex stimuli and tasks can encompass a wide range of time scales. Understanding these responses requires measures that characterize how the information on these response patterns are represented across multiple temporal resolutions. In this paper we propose a metric -- which we call multiscale relevance (MSR) -- to capture the dynamical variability of the activity of single neurons across different time scales. The MSR is a non-parametric, fully featureless indicator in that it uses only the time stamps of the firing activity without resorting to any a priori covariate or invoking any specific structure in the tuning curve for neural activity. When applied to neural data from the mEC and from the ADn and PoS regions of freely-behaving rodents, we found that neurons having low MSR tend to have low mutual information and low firing sparsity across the correlates that are believed to be encoded by the region of the brain where the recordings were made. In addition, neurons with high MSR contain significant information on spatial navigation and allow to decode spatial position or head direction as efficiently as those neurons whose firing activity has high mutual information with the covariate to be decoded and significantly better than the set of neurons with high local variations in their interspike intervals. Given these results, we propose that the MSR can be used as a measure to rank and select neurons for their information content without the need to appeal to any a priori covariate.Comment: 38 pages, 16 figure

Diverse correlation structures in gene expression data and their utility in improving statistical inference

It is well known that correlations in microarray data represent a serious nuisance deteriorating the performance of gene selection procedures. This paper is intended to demonstrate that the correlation structure of microarray data provides a rich source of useful information. We discuss distinct correlation substructures revealed in microarray gene expression data by an appropriate ordering of genes. These substructures include stochastic proportionality of expression signals in a large percentage of all gene pairs, negative correlations hidden in ordered gene triples, and a long sequence of weakly dependent random variables associated with ordered pairs of genes. The reported striking regularities are of general biological interest and they also have far-reaching implications for theory and practice of statistical methods of microarray data analysis. We illustrate the latter point with a method for testing differential expression of nonoverlapping gene pairs. While designed for testing a different null hypothesis, this method provides an order of magnitude more accurate control of type 1 error rate compared to conventional methods of individual gene expression profiling. In addition, this method is robust to the technical noise. Quantitative inference of the correlation structure has the potential to extend the analysis of microarray data far beyond currently practiced methods.Comment: Published in at http://dx.doi.org/10.1214/07-AOAS120 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org