Empirical interpretation of imprecise probabilities

This paper investigates the possibility of a frequentist interpretation of imprecise probabilities, by generalizing the approach of Bernoulli’s Ars Conjectandi. That is, by studying, in the case of games of chance, under which assumptions imprecise probabilities can be satisfactorily estimated from data. In fact, estimability on the basis of finite amounts of data is a necessary condition for imprecise probabilities in order to have a clear empirical meaning. Unfortunately, imprecise probabilities can be estimated arbitrarily well from data only in very limited settings

Optimum design accounting for the global nonlinear behavior of the model

Among the major difficulties that one may encounter when estimating parameters in a nonlinear regression model are the nonuniqueness of the estimator, its instability with respect to small perturbations of the observations and the presence of local optimizers of the estimation criterion. We show that these estimability issues can be taken into account at the design stage, through the definition of suitable design criteria. Extensions of $E$-, $c$- and $G$-optimality criteria are considered, which when evaluated at a given $\theta ^0$ (local optimal design), account for the behavior of the model response $\eta(\theta )$ for $\theta$ far from $\theta ^0$. In particular, they ensure some protection against close-to-overlapping situations where $\|\eta(\theta )-\eta(\theta ^0)\|$ is small for some $\theta$ far from $\theta ^0$. These extended criteria are concave and necessary and sufficient conditions for optimality (equivalence theorems) can be formulated. They are not differentiable, but when the design space is finite and the set $\Theta$ of admissible $\theta$ is discretized, optimal design forms a linear programming problem which can be solved directly or via relaxation when $\Theta$ is just compact. Several examples are presented.Comment: Published in at http://dx.doi.org/10.1214/14-AOS1232 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Maximum likelihood estimation in log-linear models

We study maximum likelihood estimation in log-linear models under conditional Poisson sampling schemes. We derive necessary and sufficient conditions for existence of the maximum likelihood estimator (MLE) of the model parameters and investigate estimability of the natural and mean-value parameters under a nonexistent MLE. Our conditions focus on the role of sampling zeros in the observed table. We situate our results within the framework of extended exponential families, and we exploit the geometric properties of log-linear models. We propose algorithms for extended maximum likelihood estimation that improve and correct the existing algorithms for log-linear model analysis.Comment: Published in at http://dx.doi.org/10.1214/12-AOS986 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Quantum estimation for quantum technology

Several quantities of interest in quantum information, including entanglement and purity, are nonlinear functions of the density matrix and cannot, even in principle, correspond to proper quantum observables. Any method aimed to determine the value of these quantities should resort to indirect measurements and thus corresponds to a parameter estimation problem whose solution, i.e the determination of the most precise estimator, unavoidably involves an optimization procedure. We review local quantum estimation theory and present explicit formulas for the symmetric logarithmic derivative and the quantum Fisher information of relevant families of quantum states. Estimability of a parameter is defined in terms of the quantum signal-to-noise ratio and the number of measurements needed to achieve a given relative error. The connections between the optmization procedure and the geometry of quantum statistical models are discussed. Our analysis allows to quantify quantum noise in the measurements of non observable quantities and provides a tools for the characterization of signals and devices in quantum technology.Comment: 1 figure, published versio

State-space models' dirty little secrets: even simple linear Gaussian models can have estimation problems

State-space models (SSMs) are increasingly used in ecology to model time-series such as animal movement paths and population dynamics. This type of hierarchical model is often structured to account for two levels of variability: biological stochasticity and measurement error. SSMs are flexible. They can model linear and nonlinear processes using a variety of statistical distributions. Recent ecological SSMs are often complex, with a large number of parameters to estimate. Through a simulation study, we show that even simple linear Gaussian SSMs can suffer from parameter- and state-estimation problems. We demonstrate that these problems occur primarily when measurement error is larger than biological stochasticity, the condition that often drives ecologists to use SSMs. Using an animal movement example, we show how these estimation problems can affect ecological inference. Biased parameter estimates of a SSM describing the movement of polar bears (\textit{Ursus maritimus}) result in overestimating their energy expenditure. We suggest potential solutions, but show that it often remains difficult to estimate parameters. While SSMs are powerful tools, they can give misleading results and we urge ecologists to assess whether the parameters can be estimated accurately before drawing ecological conclusions from their results