Weak consistency of the 1-nearest neighbor measure with applications to missing data

When data is partially missing at random, imputation and importance weighting are often used to estimate moments of the unobserved population. In this paper, we study 1-nearest neighbor (1NN) importance weighting, which estimates moments by replacing missing data with the complete data that is the nearest neighbor in the non-missing covariate space. We define an empirical measure, the 1NN measure, and show that it is weakly consistent for the measure of the missing data. The main idea behind this result is that the 1NN measure is performing inverse probability weighting in the limit. We study applications to missing data and mitigating the impact of covariate shift in prediction tasks

Changepoint Detection over Graphs with the Spectral Scan Statistic

We consider the change-point detection problem of deciding, based on noisy measurements, whether an unknown signal over a given graph is constant or is instead piecewise constant over two connected induced subgraphs of relatively low cut size. We analyze the corresponding generalized likelihood ratio (GLR) statistics and relate it to the problem of finding a sparsest cut in a graph. We develop a tractable relaxation of the GLR statistic based on the combinatorial Laplacian of the graph, which we call the spectral scan statistic, and analyze its properties. We show how its performance as a testing procedure depends directly on the spectrum of the graph, and use this result to explicitly derive its asymptotic properties on few significant graph topologies. Finally, we demonstrate both theoretically and by simulations that the spectral scan statistic can outperform naive testing procedures based on edge thresholding and $\chi^2$ testing

Detecting Activations over Graphs using Spanning Tree Wavelet Bases

We consider the detection of activations over graphs under Gaussian noise, where signals are piece-wise constant over the graph. Despite the wide applicability of such a detection algorithm, there has been little success in the development of computationally feasible methods with proveable theoretical guarantees for general graph topologies. We cast this as a hypothesis testing problem, and first provide a universal necessary condition for asymptotic distinguishability of the null and alternative hypotheses. We then introduce the spanning tree wavelet basis over graphs, a localized basis that reflects the topology of the graph, and prove that for any spanning tree, this approach can distinguish null from alternative in a low signal-to-noise regime. Lastly, we improve on this result and show that using the uniform spanning tree in the basis construction yields a randomized test with stronger theoretical guarantees that in many cases matches our necessary conditions. Specifically, we obtain near-optimal performance in edge transitive graphs, $k$-nearest neighbor graphs, and $\epsilon$-graphs

Estimating Graphlet Statistics via Lifting

Exploratory analysis over network data is often limited by the ability to efficiently calculate graph statistics, which can provide a model-free understanding of the macroscopic properties of a network. We introduce a framework for estimating the graphlet count---the number of occurrences of a small subgraph motif (e.g. a wedge or a triangle) in the network. For massive graphs, where accessing the whole graph is not possible, the only viable algorithms are those that make a limited number of vertex neighborhood queries. We introduce a Monte Carlo sampling technique for graphlet counts, called {\em Lifting}, which can simultaneously sample all graphlets of size up to $k$ vertices for arbitrary $k$. This is the first graphlet sampling method that can provably sample every graphlet with positive probability and can sample graphlets of arbitrary size $k$. We outline variants of lifted graphlet counts, including the ordered, unordered, and shotgun estimators, random walk starts, and parallel vertex starts. We prove that our graphlet count updates are unbiased for the true graphlet count and have a controlled variance for all graphlets. We compare the experimental performance of lifted graphlet counts to the state-of-the art graphlet sampling procedures: Waddling and the pairwise subgraph random walk

Fused Density Estimation: Theory and Methods

In this paper we introduce a method for nonparametric density estimation on geometric networks. We define fused density estimators as solutions to a total variation regularized maximum-likelihood density estimation problem. We provide theoretical support for fused density estimation by proving that the squared Hellinger rate of convergence for the estimator achieves the minimax bound over univariate densities of log-bounded variation. We reduce the original variational formulation in order to transform it into a tractable, finite-dimensional quadratic program. Because random variables on geometric networks are simple generalizations of the univariate case, this method also provides a useful tool for univariate density estimation. Lastly, we apply this method and assess its performance on examples in the univariate and geometric network setting. We compare the performance of different optimization techniques to solve the problem, and use these results to inform recommendations for the computation of fused density estimators

Variance function estimation in high-dimensions

We consider the high-dimensional heteroscedastic regression model, where the mean and the log variance are modeled as a linear combination of input variables. Existing literature on high-dimensional linear regres- sion models has largely ignored non-constant error variances, even though they commonly occur in a variety of applications ranging from biostatis- tics to finance. In this paper we study a class of non-convex penalized pseudolikelihood estimators for both the mean and variance parameters. We show that the Heteroscedastic Iterative Penalized Pseudolikelihood Optimizer (HIPPO) achieves the oracle property, that is, we prove that the rates of convergence are the same as if the true model was known. We demonstrate numerical properties of the procedure on a simulation study and real world data.Comment: Appearing in Proceedings of the 29 th International Conference on Machine Learning, Edinburgh, Scotland, UK, 201