Sieve Inference on Semi-nonparametric Time Series Models

The method of sieves has been widely used in estimating semiparametric and nonparametric models. In this paper, we first provide a general theory on the asymptotic normality of plug-in sieve M estimators of possibly irregular functionals of semi/nonparametric time series models. Next, we establish a surprising result that the asymptotic variances of plug-in sieve M estimators of irregular (i.e., slower than root-T estimable) functionals do not depend on temporal dependence. Nevertheless, ignoring the temporal dependence in small samples may not lead to accurate inference. We then propose an easy-to-compute and more accurate inference procedure based on a "pre-asymptotic" sieve variance estimator that captures temporal dependence. We construct a "pre-asymptotic" Wald statistic using an orthonormal series long run variance (OS-LRV) estimator. For sieve M estimators of both regular (i.e., root-T estimable) and irregular functionals, a scaled "pre-asymptotic" Wald statistic is asymptotically F distributed when the series number of terms in the OS-LRV estimator is held fixed. Simulations indicate that our scaled "pre-asymptotic" Wald test with F critical values has more accurate size in finite samples than the usual Wald test with chi-square critical values.Weak dependence, Sieve M estimation, Sieve Riesz representor, Irregular functional, Misspecification, Pre-asymptotic variance, Orthogonal series long run variance estimation, F distribution

Sieve Inference on Semi-nonparametric Time Series Models

The method of sieves has been widely used in estimating semiparametric and nonparametric models. In this paper, we first provide a general theory on the asymptotic normality of plug-in sieve M estimators of possibly irregular functionals of semi/nonparametric time series models. Next, we establish a surprising result that the asymptotic variances of plug-in sieve M estimators of irregular (i.e., slower than root-T estimable) functionals do not depend on temporal dependence. Nevertheless, ignoring the temporal dependence in small samples may not lead to accurate inference. We then propose an easy-to-compute and more accurate inference procedure based on a “pre-asymptotic” sieve variance estimator that captures temporal dependence. We construct a “pre-asymptotic” Wald statistic using an orthonormal series long run variance (OS-LRV) estimator. For sieve M estimators of both regular (i.e., root-T estimable) and irregular functionals, a scaled “pre-asymptotic” Wald statistic is asymptotically F distributed when the series number of terms in the OS-LRV estimator is held fixed. Simulations indicate that our scaled “pre-asymptotic” Wald test with F critical values has more accurate size in finite samples than the usual Wald test with chi-square critical values

zkFL: Zero-Knowledge Proof-based Gradient Aggregation for Federated Learning

Federated Learning (FL) is a machine learning paradigm, which enables multiple and decentralized clients to collaboratively train a model under the orchestration of a central aggregator. Traditional FL solutions rely on the trust assumption of the centralized aggregator, which forms cohorts of clients in a fair and honest manner. However, a malicious aggregator, in reality, could abandon and replace the client's training models, or launch Sybil attacks to insert fake clients. Such malicious behaviors give the aggregator more power to control clients in the FL setting and determine the final training results. In this work, we introduce zkFL, which leverages zero-knowledge proofs (ZKPs) to tackle the issue of a malicious aggregator during the training model aggregation process. To guarantee the correct aggregation results, the aggregator needs to provide a proof per round. The proof can demonstrate to the clients that the aggregator executes the intended behavior faithfully. To further reduce the verification cost of clients, we employ a blockchain to handle the proof in a zero-knowledge way, where miners (i.e., the nodes validating and maintaining the blockchain data) can verify the proof without knowing the clients' local and aggregated models. The theoretical analysis and empirical results show that zkFL can achieve better security and privacy than traditional FL, without modifying the underlying FL network structure or heavily compromising the training speed

FLock: Defending Malicious Behaviors in Federated Learning with Blockchain

Federated learning (FL) is a promising way to allow multiple data owners (clients) to collaboratively train machine learning models without compromising data privacy. Yet, existing FL solutions usually rely on a centralized aggregator for model weight aggregation, while assuming clients are honest. Even if data privacy can still be preserved, the problem of single-point failure and data poisoning attack from malicious clients remains unresolved. To tackle this challenge, we propose to use distributed ledger technology (DLT) to achieve FLock, a secure and reliable decentralized Federated Learning system built on blockchain. To guarantee model quality, we design a novel peer-to-peer (P2P) review and reward/slash mechanism to detect and deter malicious clients, powered by on-chain smart contracts. The reward/slash mechanism, in addition, serves as incentives for participants to honestly upload and review model parameters in the FLock system. FLock thus improves the performance and the robustness of FL systems in a fully P2P manner.Comment: Accepted by NeurIPS 2022 Worksho