The continuous and discrete path variance problem on trees

In this paper we consider the problem of locating path-shaped facilities on a tree minimizing the variance objective function. This kind of objective function is generally adopted in location problems which arise in the public sector applications, such as the location of evacuation routes or mass transit routes. We consider the general case in which a positive weight is assigned to each vertex of the tree and positive real lengths are associated to the edges. We study both the case in which the path is continuous, that is, the end points of the optimal path can be either vertices or points along an edge, and the case in which the path is discrete, that is, the end points of the optimal path must lie in some vertex of the tree. Given a tree with n vertices, for both these problems we provide algorithms with O(n2) time complexity and we extend our results also to the case in which the length of the path is bounded above. Even in this case we provide polynomial algorithms with the same O(n2) complexity. In particular, our algorithm for the continuous path-variance problem improves upon a log n term the previous best known algorithm for this problem provided in [T. Cáceres, M.C. López-de-los-Mozos, J.A. Mesa (2004). The path-variance problem on tree networks, Discrete Applied Mathematics, 145, 72-79]. Finally, we show that no nestedness property holds for (discrete and continuous) point-variance problem with respect to the corresponding path-variance.Ministerio de Ciencia y TecnologíaAzioni Integrate Italia-Spagna (Ministero dell'istruzione, dell'università e della ricerca

The Doubly Adaptive LASSO Methods for Time Series Analysis

In this thesis, we propose a systematic approach called the doubly adaptive LASSO tailored to time series analysis, which includes four specific methods for four time series models, respectively: The PAC-weighted adaptive LASSO for univariate autoregressive (AR) models. Although the LASSO methodology has been applied to AR models, the existing methods in the literature ignore the temporal dependence information embedded in AR time series data. Consequently, the methods may not reflect the characteristics of underlying AR processes, especially, the lag order of AR models. The PAC-weighted adaptive LASSO incorporates the partial autocorrelation (PAC) into the adaptive LASSO weights. The PAC-weighted adaptive LASSO estimator has asymptotic oracle properties and a Monte Carlo study shows promising results. The PAC-weighted adaptive positive LASSO for autoregressive conditional heteroscedastic (ARCH) models. We have not found any results in the literature that apply the LASSO methodology to ARCH models. The PAC-weighted adaptive positive LASSO incorporates the PAC information embedded in squared ARCH process into adaptive LASSO weights. The word positive reflects the fact that the parameters in ARCH models are non-negative. We introduce a new concept named the surrogate of the second-order approximate likelihood, and propose a modified shooting algorithm to implement the PAC-weighted adaptive positive LASSO computationally. The PAC-weighted adaptive positive LASSO estimator has asymptotic oracle properties and a Monte Carlo study shows promising results. The PLAC-weighted adaptive LASSO for vector autoregressive (VAR) models. Although the LASSO methodology has been applied to building VAR time series models, the existing methods in the literature ignore the temporal dependence information embedded in VAR time series data. Consequently, the methods may not reflect the characteristics of VAR time series data, especially, the lag order of VAR models. The PLAC-weighted adaptive LASSO incorporates the partial lag autocorrelation (PLAC) into the adaptive LASSO weights. The PLAC-weighted adaptive LASSO estimator has oracle properties and Monte Carlo studies show promising results. The PLAC-weighted adaptive LASSO for BEKK vector ARCH (VARCH) models. We have not found any results in the literature that apply the LASSO methodology to VARCH processes. We focus on the BEKK VARCH models. The PLAC-weighted adaptive LASSO incorporates the PLAC information embedded in the squared BEKK VARCH process into the adaptive LASSO weights. We extend the concept of the surrogate of the second-order approximate likelihood, and propose a modified shooting algorithm to implement the PLAC-weighted adaptive LASSO computationally. We conduct a Monte Carlo study and have preliminary results from the study. Keywords: Time series, financial time series, data mining, oracle property, LASSO, adaptive LASSO, doubly adaptive LASSO, positive LASSO, PAC-weighted adaptive LASSO, PAC-weighted adaptive positive LASSO, PLAC-weighted adaptive LASSO, autoregressive, AR(P), autoregressive conditional heteroscedastic, ARCH(q), vector autoregressive, multivariate autoregressive, VAR(p), vector ARCH, multivariate ARCH, VARCH(q), analytical score, analytical Hessian, quadratic approximation, surrogate to approximate likelihood, S\&P 500, Nikkei

Avances en Matemática Discreta en Andalucía. V Encuentro andaluz de Matemática Discreta. La Línea de la Concepción (Cádiz), 4-5 de julio de 2007

V Encuentro andaluz de Matemática Discreta. La Línea de la Concepción (Cádiz), 4-5 de julio de 200

Novel Methods for Multivariate Ordinal Data applied to Genetic Diplotypes, Genomic Pathways, Risk Profiles, and Pattern Similarity

Introduction: Conventional statistical methods for multivariate data (e.g., discriminant/regression) are based on the (generalized) linear model, i.e., the data are interpreted as points in a Euclidian space of independent dimensions. The dimensionality of the data is then reduced by assuming the components to be related by a specific function of known type (linear, exponential, etc.), which allows the distance of each point from a hyperspace to be determined. While mathematically elegant, these approaches may have shortcomings when applied to real world applications where the relative importance, the functional relationship, and the correlation among the variables tend to be unknown. Still, in many applications, each variable can be assumed to have at least an “orientation”, i.e., it can reasonably assumed that, if all other conditions are held constant, an increase in this variable is either “good” or “bad”. The direction of this orientation can be known or unknown. In genetics, for instance, having more “abnormal” alleles may increase the risk (or magnitude) of a disease phenotype. In genomics, the expression of several related genes may indicate disease activity. When screening for security risks, more indicators for atypical behavior may constitute raise more concern, in face or voice recognition, more indicators being similar may increase the likelihood of a person being identified. Methods: In 1998, we developed a nonparametric method for analyzing multivariate ordinal data to assess the overall risk of HIV infection based on different types of behavior or the overall protective effect of barrier methods against HIV infection. By using u-statistics, rather than the marginal likelihood, we were able to increase the computational efficiency of this approach by several orders of magnitude. Results: We applied this approach to assessing immunogenicity of a vaccination strategy in cancer patients. While discussing the pitfalls of the conventional methods for linking quantitative traits to haplotypes, we realized that this approach could be easily modified into to a statistically valid alternative to a previously proposed approaches. We have now begun to use the same methodology to correlate activity of anti-inflammatory drugs along genomic pathways with disease severity of psoriasis based on several clinical and histological characteristics. Conclusion: Multivariate ordinal data are frequently observed to assess semiquantitative characteristics, such as risk profiles (genetic, genomic, or security) or similarity of pattern (faces, voices, behaviors). The conventional methods require empirical validation, because the functions and weights chosen cannot be justified on theoretical grounds. The proposed statistical method for analyzing profiles of ordinal variables, is intrinsically valid. Since no additional assumptions need to be made, the often time-consuming empirical validation can be skipped.ranking; nonparametric; robust; scoring; multivariate

Structured Sparsity: Discrete and Convex approaches

Compressive sensing (CS) exploits sparsity to recover sparse or compressible signals from dimensionality reducing, non-adaptive sensing mechanisms. Sparsity is also used to enhance interpretability in machine learning and statistics applications: While the ambient dimension is vast in modern data analysis problems, the relevant information therein typically resides in a much lower dimensional space. However, many solutions proposed nowadays do not leverage the true underlying structure. Recent results in CS extend the simple sparsity idea to more sophisticated {\em structured} sparsity models, which describe the interdependency between the nonzero components of a signal, allowing to increase the interpretability of the results and lead to better recovery performance. In order to better understand the impact of structured sparsity, in this chapter we analyze the connections between the discrete models and their convex relaxations, highlighting their relative advantages. We start with the general group sparse model and then elaborate on two important special cases: the dispersive and the hierarchical models. For each, we present the models in their discrete nature, discuss how to solve the ensuing discrete problems and then describe convex relaxations. We also consider more general structures as defined by set functions and present their convex proxies. Further, we discuss efficient optimization solutions for structured sparsity problems and illustrate structured sparsity in action via three applications.Comment: 30 pages, 18 figure