1 research outputs found
On the criticality of inferred models
Advanced inference techniques allow one to reconstruct the pattern of
interaction from high dimensional data sets. We focus here on the statistical
properties of inferred models and argue that inference procedures are likely to
yield models which are close to a phase transition. On one side, we show that
the reparameterization invariant metrics in the space of probability
distributions of these models (the Fisher Information) is directly related to
the model's susceptibility. As a result, distinguishable models tend to
accumulate close to critical points, where the susceptibility diverges in
infinite systems. On the other, this region is the one where the estimate of
inferred parameters is most stable. In order to illustrate these points, we
discuss inference of interacting point processes with application to financial
data and show that sensible choices of observation time-scales naturally yield
models which are close to criticality.Comment: 6 pages, 2 figures, version to appear in JSTA