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Conformal inference is a popular tool for constructing prediction intervals (PI). We consider here the scenario of post-selection/selective conformal inference, that is PIs are reported only for individuals selected from an unlabeled test data. To account for multiplicity, we develop a general split conformal framework to construct selective PIs with the false coverage-statement rate (FCR) control. We first investigate the Benjamini and Yekutieli (2005)'s FCR-adjusted method in the present setting, and show that it is able to achieve FCR control but yields uniformly inflated PIs. We then propose a novel solution to the problem, named as Selective COnditional conformal Predictions (SCOP), which entails performing selection procedures on both calibration set and test set and construct marginal conformal PIs on the selected sets by the aid of conditional empirical distribution obtained by the calibration set. Under a unified framework and exchangeable assumptions, we show that the SCOP can exactly control the FCR. More importantly, we provide non-asymptotic miscoverage bounds for a general class of selection procedures beyond exchangeablity and discuss the conditions under which the SCOP is able to control the FCR. As special cases, the SCOP with quantile-based selection or conformal p-values-based multiple testing procedures enjoys valid coverage guarantee under mild conditions. Numerical results confirm the effectiveness and robustness of SCOP in FCR control and show that it achieves more narrowed PIs over existing methods in many settings.

We define data transformations that leave certain classes of distributions invariant, while acting in a specific manner upon the parameters of the said distributions. It is shown that under such transformations the maximum likelihood estimators behave in exactly the same way as the parameters being estimated. As a consequence goodness--of--fit tests based on standardized data obtained through the inverse of this invariant data--transformation reduce to the case of testing a standard member of the family with fixed parameter values. While presenting our results, we also provide a selective review of the subject of equivariant estimators always in connection to invariant goodness--of--fit tests. A small Monte Carlo study is presented for the special case of testing for the Weibull distribution, along with real--data illustrations.

Due to the diffusion of IoT, modern software systems are often thought to control and coordinate smart devices in order to manage assets and resources, and to guarantee efficient behaviours. For this class of systems, which interact extensively with humans and with their environment, it is thus crucial to guarantee their correct behaviour in order to avoid unexpected and possibly dangerous situations. In this paper we will present a framework that allows us to measure the robustness of systems. This is the ability of a program to tolerate changes in the environmental conditions and preserving the original behaviour. In the proposed framework, the interaction of a program with its environment is represented as a sequence of random variables describing how both evolve in time. For this reason, the considered measures will be defined among probability distributions of observed data. The proposed framework will be then used to define the notions of adaptability and reliability. The former indicates the ability of a program to absorb perturbation on environmental conditions after a given amount of time. The latter expresses the ability of a program to maintain its intended behaviour (up-to some reasonable tolerance) despite the presence of perturbations in the environment. Moreover, an algorithm, based on statistical inference, is proposed to evaluate the proposed metric and the aforementioned properties. We use two case studies to the describe and evaluate the proposed approach.

In a two-way contingency table analysis with explanatory and response variables, the analyst is interested in the independence of the two variables. However, if the test of independence does not show independence or clearly shows a relationship, the analyst is interested in the degree of their association. Various measures have been proposed to calculate the degree of their association, one of which is the proportional reduction in variation (PRV) measure which describes the PRV from the marginal distribution to the conditional distribution of the response. The conventional PRV measures can assess the association of the entire contingency table, but they can not accurately assess the association for each explanatory variable. In this paper, we propose a geometric mean type of PRV (geoPRV) measure that aims to sensitively capture the association of each explanatory variable to the response variable by using a geometric mean, and it enables analysis without underestimation when there is partial bias in cells of the contingency table. Furthermore, the geoPRV measure is constructed by using any functions that satisfy specific conditions, which has application advantages and makes it possible to express conventional PRV measures as geometric mean types in special cases.

Forward simulation-based uncertainty quantification that studies the distribution of quantities of interest (QoI) is a crucial component for computationally robust engineering design and prediction. There is a large body of literature devoted to accurately assessing statistics of QoIs, and in particular, multilevel or multifidelity approaches are known to be effective, leveraging cost-accuracy tradeoffs between a given ensemble of models. However, effective algorithms that can estimate the full distribution of QoIs are still under active development. In this paper, we introduce a general multifidelity framework for estimating the cumulative distribution function (CDF) of a vector-valued QoI associated with a high-fidelity model under a budget constraint. Given a family of appropriate control variates obtained from lower-fidelity surrogates, our framework involves identifying the most cost-effective model subset and then using it to build an approximate control variates estimator for the target CDF. We instantiate the framework by constructing a family of control variates using intermediate linear approximators and rigorously analyze the corresponding algorithm. Our analysis reveals that the resulting CDF estimator is uniformly consistent and asymptotically optimal as the budget tends to infinity, with only mild moment and regularity assumptions on the joint distribution of QoIs. The approach provides a robust multifidelity CDF estimator that is adaptive to the available budget, does not require \textit{a priori} knowledge of cross-model statistics or model hierarchy, and applies to multiple dimensions. We demonstrate the efficiency and robustness of the approach using test examples of parametric PDEs and stochastic differential equations including both academic instances and more challenging engineering problems.

The demand of computational resources for the modeling process increases as the scale of the datasets does, since traditional approaches for regression involve inverting huge data matrices. The main problem relies on the large data size, and so a standard approach is subsampling that aims at obtaining the most informative portion of the big data. In the current paper, we explore an existing approach based on leverage scores, proposed for subdata selection in linear model discrimination. Our objective is to propose the aforementioned approach for selecting the most informative data points to estimate unknown parameters in both the first-order linear model and a model with interactions. We conclude that the approach based on leverage scores improves existing approaches, providing simulation experiments as well as a real data application.

The Ridgeless minimum $\ell_2$-norm interpolator in overparametrized linear regression has attracted considerable attention in recent years. While it seems to defy the conventional wisdom that overfitting leads to poor prediction, recent research reveals that its norm minimizing property induces an `implicit regularization' that helps prediction in spite of interpolation. This renders the Ridgeless interpolator a theoretically tractable proxy that offers useful insights into the mechanisms of modern machine learning methods. This paper takes a different perspective that aims at understanding the precise stochastic behavior of the Ridgeless interpolator as a statistical estimator. Specifically, we characterize the distribution of the Ridgeless interpolator in high dimensions, in terms of a Ridge estimator in an associated Gaussian sequence model with positive regularization, which plays the role of the prescribed implicit regularization in the context of prediction risk. Our distributional characterizations hold for general random designs and extend uniformly to positively regularized Ridge estimators. As a demonstration of the analytic power of these characterizations, we derive approximate formulae for a general class of weighted $\ell_q$ risks for Ridge(less) estimators that were previously available only for $\ell_2$. Our theory also provides certain further conceptual reconciliation with the conventional wisdom: given any data covariance, a certain amount of regularization in Ridge regression remains beneficial for `most' signals across various statistical tasks including prediction, estimation and inference, as long as the noise level is non-trivial. Surprisingly, optimal tuning can be achieved simultaneously for all the designated statistical tasks by a single generalized or $k$-fold cross-validation scheme, despite being designed specifically for tuning prediction risk.

Probability density estimation is a core problem of statistics and signal processing. Moment methods are an important means of density estimation, but they are generally strongly dependent on the choice of feasible functions, which severely affects the performance. In this paper, we propose a non-classical parametrization for density estimation using sample moments, which does not require the choice of such functions. The parametrization is induced by the squared Hellinger distance, and the solution of it, which is proved to exist and be unique subject to a simple prior that does not depend on data, and can be obtained by convex optimization. Statistical properties of the density estimator, together with an asymptotic error upper bound are proposed for the estimator by power moments. Applications of the proposed density estimator in signal processing tasks are given. Simulation results validate the performance of the estimator by a comparison to several prevailing methods. To the best of our knowledge, the proposed estimator is the first one in the literature for which the power moments up to an arbitrary even order exactly match the sample moments, while the true density is not assumed to fall within specific function classes.

The goal of this work is to study waves interacting with partially immersed objects allowed to move freely in the vertical direction, and in a regime in which the propagation of the waves is described by the one dimensional Boussinesq-Abbott system. The problem can be reduced to a transmission problem for this Boussinesq system, in which the transmission conditions between the components of the domain at the left and at the right of the object are determined through the resolution of coupled forced ODEs in time satisfied by the vertical displacement of the object and the average discharge in the portion of the fluid located under the object. We propose a new extended formulation in which these ODEs are complemented by two other forced ODEs satisfied by the trace of the surface elevation at the contact points. The interest of this new extended formulation is that the forcing terms are easy to compute numerically and that the surface elevation at the contact points is furnished for free. Based on this formulation, we propose a second order scheme that involves a generalization of the MacCormack scheme with nonlocal flux and a source term, which is coupled to a second order Heun scheme for the ODEs. In order to validate this scheme, several explicit solutions for this wave-structure interaction problem are derived and can serve as benchmark for future codes. As a byproduct, our method provides a second order scheme for the generation of waves at the entrance of the numerical domain for the Boussinesq-Abbott system.

Causal discovery and causal reasoning are classically treated as separate and consecutive tasks: one first infers the causal graph, and then uses it to estimate causal effects of interventions. However, such a two-stage approach is uneconomical, especially in terms of actively collected interventional data, since the causal query of interest may not require a fully-specified causal model. From a Bayesian perspective, it is also unnatural, since a causal query (e.g., the causal graph or some causal effect) can be viewed as a latent quantity subject to posterior inference -- other unobserved quantities that are not of direct interest (e.g., the full causal model) ought to be marginalized out in this process and contribute to our epistemic uncertainty. In this work, we propose Active Bayesian Causal Inference (ABCI), a fully-Bayesian active learning framework for integrated causal discovery and reasoning, which jointly infers a posterior over causal models and queries of interest. In our approach to ABCI, we focus on the class of causally-sufficient, nonlinear additive noise models, which we model using Gaussian processes. We sequentially design experiments that are maximally informative about our target causal query, collect the corresponding interventional data, and update our beliefs to choose the next experiment. Through simulations, we demonstrate that our approach is more data-efficient than several baselines that only focus on learning the full causal graph. This allows us to accurately learn downstream causal queries from fewer samples while providing well-calibrated uncertainty estimates for the quantities of interest.