8 research outputs found
Algebraic polynomials and moments of stochastic integrals
We propose an algebraic method for proving estimates on moments of stochastic
integrals. The method uses qualitative properties of roots of algebraic
polynomials from certain general classes. As an application, we give a new
proof of a variation of the Burkholder-Davis-Gundy inequality for the case of
stochastic integrals with respect to real locally square integrable
martingales. Further possible applications and extensions of the method are
outlined.Comment: Published in Statistics and Probability Letters by the Elsevier.
Permanent link: http://dx.doi.org/10.1016/j.spl.2011.01.022 Preliminary
version of this paper appeared on October 27, 2009 as EURANDOM Report
2009-03
Multiple testing, uncertainty and realistic pictures
We study statistical detection of grayscale objects in noisy images. The
object of interest is of unknown shape and has an unknown intensity, that can
be varying over the object and can be negative. No boundary shape constraints
are imposed on the object, only a weak bulk condition for the object's interior
is required. We propose an algorithm that can be used to detect grayscale
objects of unknown shapes in the presence of nonparametric noise of unknown
level. Our algorithm is based on a nonparametric multiple testing procedure. We
establish the limit of applicability of our method via an explicit,
closed-form, non-asymptotic and nonparametric consistency bound. This bound is
valid for a wide class of nonparametric noise distributions. We achieve this by
proving an uncertainty principle for percolation on finite lattices.Comment: This paper initially appeared in January 2011 as EURANDOM Report
2011-004. Link to the abstract at EURANDOM Repository:
http://www.eurandom.tue.nl/reports/2011/004-abstract.pdf Link to the paper at
EURANDOM Repository: http://www.eurandom.tue.nl/reports/2011/004-report.pd
Unsupervised robust nonparametric learning of hidden community properties
We consider learning of fundamental properties of communities in large noisy
networks, in the prototypical situation where the nodes or users are split into
two classes according to a binary property, e.g., according to their opinions
or preferences on a topic. For learning these properties, we propose a
nonparametric, unsupervised, and scalable graph scan procedure that is, in
addition, robust against a class of powerful adversaries. In our setup, one of
the communities can fall under the influence of a knowledgeable adversarial
leader, who knows the full network structure, has unlimited computational
resources and can completely foresee our planned actions on the network. We
prove strong consistency of our results in this setup with minimal assumptions.
In particular, the learning procedure estimates the baseline activity of normal
users asymptotically correctly with probability 1; the only assumption being
the existence of a single implicit community of asymptotically negligible
logarithmic size. We provide experiments on real and synthetic data to
illustrate the performance of our method, including examples with adversaries.Comment: Experiments with new types of adversaries adde
Fast and Accurate Uncertainty Estimation in Chemical Machine Learning
We present a scheme to obtain an inexpensive and reliable estimate of the uncertainty associated with the predictions of a machine-learning model of atomic and molecular properties. The scheme is based on resampling, with multiple models being generated based on subsampling of the same training data. The accuracy of the uncertainty prediction can be benchmarked by maximum likelihood estimation, which can also be used to correct for correlations between resampled models and to improve the performance of the uncertainty estimation by a cross-validation procedure. In the case of sparse Gaussian Process Regression models, this resampled estimator can be evaluated at negligible cost. We demonstrate the reliability of these estimates for the prediction of molecular and materials energetics and for the estimation of nuclear chemical shieldings in molecular crystals. Extension to estimate the uncertainty in energy differences, forces, or other correlated predictions is straightforward. This method can be easily applied to other machine-learning schemes and will be beneficial to make data-driven predictions more reliable and to facilitate training-set optimization and active-learning strategies