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

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

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)