Data in non-Euclidean spaces are commonly encountered in many fields of Science and Engineering. For instance, in Robotics, attitude sensors capture orientation which is an element of a Lie group. In the recent past, several researchers have reported methods that take into account the geometry of Lie Groups in designing parameter estimation algorithms in nonlinear spaces. Maximum likelihood estimators (MLE) are quite commonly used for such tasks and it is well known in the field of statistics that Stein's shrinkage estimators dominate the MLE in a mean-squared sense assuming the observations are from a normal population. In this paper, we present a novel shrinkage estimator for data residing in Lie groups, specifically, abelian or compact Lie groups. The key theoretical results presented in this paper are: (i) Stein's Lemma and its proof for Lie groups and, (ii) proof of dominance of the proposed shrinkage estimator over MLE for abelian and compact Lie groups. We present examples of simulation studies of the dominance of the proposed shrinkage estimator and an application of shrinkage estimation to multiple-robot localization.
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We propose a new wavelet-based method for density estimation when the data are size-biased. More specifically, we consider a power of the density of interest, where this power exceeds 1/2. Warped wavelet bases are employed, where warping is attained by some continuous cumulative distribution function. This can be seen as a general framework in which the conventional orthonormal wavelet estimation is the case where warping distribution is the standard uniform c.d.f. We show that both linear and nonlinear wavelet estimators are consistent, with optimal and/or near-optimal rates. Monte Carlo simulations are performed to compare four special settings which are easy to interpret in practice. An application with a real dataset on fatal traffic accidents involving alcohol illustrates the method. We observe that warped bases provide more flexible and superior estimates for both simulated and real data. Moreover, we find that estimating the power of a density (for instance, its square root) further improves the results.
We study frequentist risk properties of predictive density estimators for mean mixtures of multivariate normal distributions, involving an unknown location parameter $\theta \in \mathbb{R}^d$, and which include multivariate skew normal distributions. We provide explicit representations for Bayesian posterior and predictive densities, including the benchmark minimum risk equivariant (MRE) density, which is minimax and generalized Bayes with respect to an improper uniform density for $\theta$. For four dimensions or more, we obtain Bayesian densities that improve uniformly on the MRE density under Kullback-Leibler loss. We also provide plug-in type improvements, investigate implications for certain type of parametric restrictions on $\theta$, and illustrate and comment the findings based on numerical evaluations.
Reinforcement Learning (RL) has the promise of providing data-driven support for decision-making in a wide range of problems in healthcare, education, business, and other domains. Classical RL methods focus on the mean of the total return and, thus, may provide misleading results in the setting of the heterogeneous populations that commonly underlie large-scale datasets. We introduce the K-Heterogeneous Markov Decision Process (K-Hetero MDP) to address sequential decision problems with population heterogeneity. We propose the Auto-Clustered Policy Evaluation (ACPE) for estimating the value of a given policy, and the Auto-Clustered Policy Iteration (ACPI) for estimating the optimal policy in a given policy class. Our auto-clustered algorithms can automatically detect and identify homogeneous sub-populations, while estimating the Q function and the optimal policy for each sub-population. We establish convergence rates and construct confidence intervals for the estimators obtained by the ACPE and ACPI. We present simulations to support our theoretical findings, and we conduct an empirical study on the standard MIMIC-III dataset. The latter analysis shows evidence of value heterogeneity and confirms the advantages of our new method.
Policy gradient (PG) estimation becomes a challenge when we are not allowed to sample with the target policy but only have access to a dataset generated by some unknown behavior policy. Conventional methods for off-policy PG estimation often suffer from either significant bias or exponentially large variance. In this paper, we propose the double Fitted PG estimation (FPG) algorithm. FPG can work with an arbitrary policy parameterization, assuming access to a Bellman-complete value function class. In the case of linear value function approximation, we provide a tight finite-sample upper bound on policy gradient estimation error, that is governed by the amount of distribution mismatch measured in feature space. We also establish the asymptotic normality of FPG estimation error with a precise covariance characterization, which is further shown to be statistically optimal with a matching Cramer-Rao lower bound. Empirically, we evaluate the performance of FPG on both policy gradient estimation and policy optimization, using either softmax tabular or ReLU policy networks. Under various metrics, our results show that FPG significantly outperforms existing off-policy PG estimation methods based on importance sampling and variance reduction techniques.
In this paper, we estimate the seroprevalence against COVID-19 by country and derive the seroprevalence over the world. To estimate seroprevalence, we use serological surveys (also called the serosurveys) conducted within each country. When the serosurveys are incorporated to estimate world seroprevalence, there are two issues. First, there are countries in which a serological survey has not been conducted. Second, the sample collection dates differ from country to country. We attempt to tackle these problems using the vaccination data, confirmed cases data, and national statistics. We construct Bayesian models to estimate the numbers of people who have antibodies produced by infection or vaccination separately. For the number of people with antibodies due to infection, we develop a hierarchical model for combining the information included in both confirmed cases data and national statistics. At the same time, we propose regression models to estimate missing values in the vaccination data. As of 31st of July 2021, using the proposed methods, we obtain the 95% credible interval of the world seroprevalence as [38.6%, 59.2%].
We study regression adjustments with additional covariates in randomized experiments under covariate-adaptive randomizations (CARs) when subject compliance is imperfect. We develop a regression-adjusted local average treatment effect (LATE) estimator that is proven to improve efficiency in the estimation of LATEs under CARs. Our adjustments can be parametric in linear and nonlinear forms, nonparametric, and high-dimensional. Even when the adjustments are misspecified, our proposed estimator is still consistent and asymptotically normal, and their inference method still achieves the exact asymptotic size under the null. When the adjustments are correctly specified, our estimator achieves the minimum asymptotic variance. When the adjustments are parametrically misspecified, we construct a new estimator which is weakly more efficient than linearly and nonlinearly adjusted estimators, as well as the one without any adjustments. Simulation evidence and empirical application confirm efficiency gains achieved by regression adjustments relative to both the estimator without adjustment and the standard two-stage least squares estimator.
Optimum parameter estimation methods require knowledge of a parametric probability density that statistically describes the available observations. In this work we examine Bayesian and non-Bayesian parameter estimation problems under a data-driven formulation where the necessary parametric probability density is replaced by available data. We present various data-driven versions that either result in neural network approximations of the optimum estimators or in well defined optimization problems that can be solved numerically. In particular, for the data-driven equivalent of non-Bayesian estimation we end up with optimization problems similar to the ones encountered for the design of generative networks.
This paper considers the problem of measure estimation under the barycentric coding model (BCM), in which an unknown measure is assumed to belong to the set of Wasserstein-2 barycenters of a finite set of known measures. Estimating a measure under this model is equivalent to estimating the unknown barycenteric coordinates. We provide novel geometrical, statistical, and computational insights for measure estimation under the BCM, consisting of three main results. Our first main result leverages the Riemannian geometry of Wasserstein-2 space to provide a procedure for recovering the barycentric coordinates as the solution to a quadratic optimization problem assuming access to the true reference measures. The essential geometric insight is that the parameters of this quadratic problem are determined by inner products between the optimal displacement maps from the given measure to the reference measures defining the BCM. Our second main result then establishes an algorithm for solving for the coordinates in the BCM when all the measures are observed empirically via i.i.d. samples. We prove precise rates of convergence for this algorithm -- determined by the smoothness of the underlying measures and their dimensionality -- thereby guaranteeing its statistical consistency. Finally, we demonstrate the utility of the BCM and associated estimation procedures in three application areas: (i) covariance estimation for Gaussian measures; (ii) image processing; and (iii) natural language processing.
Recently, conditional average treatment effect (CATE) estimation has been attracting much attention due to its importance in various fields such as statistics, social and biomedical sciences. This study proposes a partially linear nonparametric Bayes model for the heterogeneous treatment effect estimation. A partially linear model is a semiparametric model that consists of linear and nonparametric components in an additive form. A nonparametric Bayes model that uses a Gaussian process to model the nonparametric component has already been studied. However, this model cannot handle the heterogeneity of the treatment effect. In our proposed model, not only the nonparametric component of the model but also the heterogeneous treatment effect of the treatment variable is modeled by a Gaussian process prior. We derive the analytic form of the posterior distribution of the CATE and prove that the posterior has the consistency property. That is, it concentrates around the true distribution. We show the effectiveness of the proposed method through numerical experiments based on synthetic data.
Long-term outcomes of experimental evaluations are necessarily observed after long delays. We develop semiparametric methods for combining the short-term outcomes of an experimental evaluation with observational measurements of the joint distribution of short-term and long-term outcomes to estimate long-term treatment effects. We characterize semiparametric efficiency bounds for estimation of the average effect of a treatment on a long-term outcome in several instances of this problem. These calculations facilitate the construction of semiparametrically efficient estimators. The finite-sample performance of these estimators is analyzed with a simulation calibrated to a randomized evaluation of the long-term effects of a poverty alleviation program.
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