18,457 research outputs found
Learning the structure of Bayesian Networks: A quantitative assessment of the effect of different algorithmic schemes
One of the most challenging tasks when adopting Bayesian Networks (BNs) is
the one of learning their structure from data. This task is complicated by the
huge search space of possible solutions, and by the fact that the problem is
NP-hard. Hence, full enumeration of all the possible solutions is not always
feasible and approximations are often required. However, to the best of our
knowledge, a quantitative analysis of the performance and characteristics of
the different heuristics to solve this problem has never been done before.
For this reason, in this work, we provide a detailed comparison of many
different state-of-the-arts methods for structural learning on simulated data
considering both BNs with discrete and continuous variables, and with different
rates of noise in the data. In particular, we investigate the performance of
different widespread scores and algorithmic approaches proposed for the
inference and the statistical pitfalls within them
A Coverage Study of the CMSSM Based on ATLAS Sensitivity Using Fast Neural Networks Techniques
We assess the coverage properties of confidence and credible intervals on the
CMSSM parameter space inferred from a Bayesian posterior and the profile
likelihood based on an ATLAS sensitivity study. In order to make those
calculations feasible, we introduce a new method based on neural networks to
approximate the mapping between CMSSM parameters and weak-scale particle
masses. Our method reduces the computational effort needed to sample the CMSSM
parameter space by a factor of ~ 10^4 with respect to conventional techniques.
We find that both the Bayesian posterior and the profile likelihood intervals
can significantly over-cover and identify the origin of this effect to physical
boundaries in the parameter space. Finally, we point out that the effects
intrinsic to the statistical procedure are conflated with simplifications to
the likelihood functions from the experiments themselves.Comment: Further checks about accuracy of neural network approximation, fixed
typos, added refs. Main results unchanged. Matches version accepted by JHE
Bayesian hierarchical modeling for signaling pathway inference from single cell interventional data
Recent technological advances have made it possible to simultaneously measure
multiple protein activities at the single cell level. With such data collected
under different stimulatory or inhibitory conditions, it is possible to infer
the causal relationships among proteins from single cell interventional data.
In this article we propose a Bayesian hierarchical modeling framework to infer
the signaling pathway based on the posterior distributions of parameters in the
model. Under this framework, we consider network sparsity and model the
existence of an association between two proteins both at the overall level
across all experiments and at each individual experimental level. This allows
us to infer the pairs of proteins that are associated with each other and their
causal relationships. We also explicitly consider both intrinsic noise and
measurement error. Markov chain Monte Carlo is implemented for statistical
inference. We demonstrate that this hierarchical modeling can effectively pool
information from different interventional experiments through simulation
studies and real data analysis.Comment: Published in at http://dx.doi.org/10.1214/10-AOAS425 the Annals of
Applied Statistics (http://www.imstat.org/aoas/) by the Institute of
Mathematical Statistics (http://www.imstat.org
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Mortality risk and the valuation of annuities with guaranteed minimum death benefit options: application to the Italian population
In this note, we describe the payoff of Guaranteed Minimum Death Benefit options (GMDB) embedded in annuity contracts and discuss their valuation using data for the Italian male population as a case study. These put options have stochastic maturity dates due to the involuntary exercise at the moment of death. We value the GMDB as a weighted average price of a set of deterministic put options with different maturity dates, where the weights are the probability of death at every date. We take into account the mortality risk and investigate the sensitivity of the price of the option to changes in mortality probability using both deterministic and stochastic approaches
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Modelling the joint distribution of competing risks survival times using copula functions
The problem of modelling the joint distribution of survival times in a competing risks model, using copula functions is considered. In order to evaluate this joint distribution and the related overall survival function, a system of non-linear differential equations is solved, which relates the crude and net survival functions of the modelled competing risks, through the copula. A similar approach to modelling dependent multiple decrements was applied by Carriere (1994) who used a Gaussian copula applied to an incomplete double decrement model which makes it difficult to calculate any actuarial functions and draw relevant conclusions. Here, we extend this methodology by studying the effect of complete and partial elimination of up to four competing risks on the overall survival function, the life expectancy and life annuity values. We further investigate how different choices of the copula function affect the resulting joint distribution of survival times and in particular the actuarial functions which are of importance in pricing life insurance and annuity products. For illustrative purposes, we have used a real data set and used extrapolation to prepare a complete multiple decrement model up to age 120. Extensive numerical results illustrate the sensitivity of the model with respect to the choice ofcopula and its parameter(s)
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Asymptotic and numerical analysis of the optimal investment strategy for an insurer
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