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In this paper we obtain quantitative Bernstein-von Mises type bounds on the normal approximation of the posterior distribution in exponential family models when centering either around the posterior mode or around the maximum likelihood estimator. Our bounds, obtained through a version of Stein's method, are non-asymptotic, and data dependent; they are of the correct order both in the total variation and Wasserstein distances, as well as for approximations for expectations of smooth functions of the posterior. All our results are valid for univariate and multivariate posteriors alike, and do not require a conjugate prior setting. We illustrate our findings on a variety of exponential family distributions, including Poisson, multinomial and normal distribution with unknown mean and variance. The resulting bounds have an explicit dependence on the prior distribution and on sufficient statistics of the data from the sample, and thus provide insight into how these factors may affect the quality of the normal approximation. The performance of the bounds is also assessed with simulations.

The paper studies non-stationary high-dimensional vector autoregressions of order $k$, VAR($k$). Additional deterministic terms such as trend or seasonality are allowed. The number of time periods, $T$, and number of coordinates, $N$, are assumed to be large and of the same order. Under such regime the first-order asymptotics of the Johansen likelihood ratio (LR), Pillai-Barlett, and Hotelling-Lawley tests for cointegration is derived: Test statistics converge to non-random integrals. For more refined analysis, the paper proposes and analyzes a modification of the Johansen test. The new test for the absence of cointegration converges to the partial sum of the Airy$_1$ point process. Supporting Monte Carlo simulations indicate that the same behavior persists universally in many situations beyond our theorems. The paper presents an empirical implementation of the approach to the analysis of stocks in S$\&$P$100$ and of cryptocurrencies. The latter example has strong presence of multiple cointegrating relationships, while the former is consistent with the null of no cointegration.

In data science, vector autoregression (VAR) models are popular in modeling multivariate time series in the environmental sciences and other applications. However, these models are computationally complex with the number of parameters scaling quadratically with the number of time series. In this work, we propose a so-called neighborhood vector autoregression (NVAR) model to efficiently analyze large-dimensional multivariate time series. We assume that the time series have underlying neighborhood relationships, e.g., spatial or network, among them based on the inherent setting of the problem. When this neighborhood information is available or can be summarized using a distance matrix, we demonstrate that our proposed NVAR method provides a computationally efficient and theoretically sound estimation of model parameters. The performance of the proposed method is compared with other existing approaches in both simulation studies and a real application of stream nitrogen study.

Assessing goodness-of-fit is challenging because theoretically there is no uniformly powerful test, whereas in practice the question `what would be a preferable default test?' is important to applied statisticians. To take a look at this so-called omnibus testing problem, this paper considers the class of reweighted Anderson-Darling tests and makes two fold contributions. The first contribution is to provide a geometric understanding of the problem via establishing an explicit one-to-one correspondence between the weights and their focal directions of deviations of the distributions under alternative hypothesis from those under the null. It is argued that the weights that produce the test statistic with minimum variance can serve as a general-purpose test. In addition, this default or optimal weights-based test is found to be practically equivalent to the Zhang test, which has been commonly perceived powerful. The second contribution is to establish new large-sample results. It is shown that like Anderson-Darling, the minimum variance test statistic under the null has the same distribution as that of a weighted sum of an infinite number of independent squared normal random variables. These theoretical results are shown to be useful for large sample-based approximations. Finally, the paper concludes with a few remarks, including how the present approach can be extended to create new multinomial goodness-of-fit tests.

A goodness-of-fit test for one-parameter count distributions with finite second moment is proposed. The test statistic is derived from the $L_1$-distance of a function of the probability generating function of the model under the null hypothesis and that of the random variable actually generating data, when the latter belongs to a suitable wide class of alternatives. The test statistic has a rather simple form and it is asymptotically normally distributed under the null hypothesis, allowing a straightforward implementation of the test. Moreover, the test is consistent for alternative distributions belonging to the class, but also for all the alternative distributions whose probability of zero is different from that under the null hypothesis. Thus, the use of the test is proposed and investigated also for alternatives not in the class. The finite-sample properties of the test are assessed by means of an extensive simulation study.

A consistent test based on the probability generating function is proposed for assessing Poissonity against a wide class of count distributions, which includes some of the most frequently adopted alternatives to the Poisson distribution. The statistic, in addition to have an intuitive and simple form, is asymptotically normally distributed, allowing a straightforward implementation of the test. The finite sample properties of the test are investigated by means of an extensive simulation study. The test shows a satisfactory behaviour compared to other tests with known limit distribution.

The precision matrix that encodes conditional linear dependency relations among a set of variables forms an important object of interest in multivariate analysis. Sparse estimation procedures for precision matrices such as the graphical lasso (Glasso) gained popularity as they facilitate interpretability, thereby separating pairs of variables that are conditionally dependent from those that are independent (given all other variables). Glasso lacks, however, robustness to outliers. To overcome this problem, one typically applies a robust plug-in procedure where the Glasso is computed from a robust covariance estimate instead of the sample covariance, thereby providing protection against outliers. In this paper, we study such estimators theoretically, by deriving and comparing their influence function, sensitivity curves and asymptotic variances.

We introduce two new tools to assess the validity of statistical distributions. These tools are based on components derived from a new statistical quantity, the $comparison$ $curve$. The first tool is a graphical representation of these components on a $bar$ $plot$ (B plot), which can provide a detailed appraisal of the validity of the statistical model, in particular when supplemented by acceptance regions related to the model. The knowledge gained from this representation can sometimes suggest an existing $goodness$-$of$-$fit$ test to supplement this visual assessment with a control of the type I error. Otherwise, an adaptive test may be preferable and the second tool is the combination of these components to produce a powerful $\chi^2$-type goodness-of-fit test. Because the number of these components can be large, we introduce a new selection rule to decide, in a data driven fashion, on their proper number to take into consideration. In a simulation, our goodness-of-fit tests are seen to be powerwise competitive with the best solutions that have been recommended in the context of a fully specified model as well as when some parameters must be estimated. Practical examples show how to use these tools to derive principled information about where the model departs from the data.

Classic machine learning methods are built on the $i.i.d.$ assumption that training and testing data are independent and identically distributed. However, in real scenarios, the $i.i.d.$ assumption can hardly be satisfied, rendering the sharp drop of classic machine learning algorithms' performances under distributional shifts, which indicates the significance of investigating the Out-of-Distribution generalization problem. Out-of-Distribution (OOD) generalization problem addresses the challenging setting where the testing distribution is unknown and different from the training. This paper serves as the first effort to systematically and comprehensively discuss the OOD generalization problem, from the definition, methodology, evaluation to the implications and future directions. Firstly, we provide the formal definition of the OOD generalization problem. Secondly, existing methods are categorized into three parts based on their positions in the whole learning pipeline, namely unsupervised representation learning, supervised model learning and optimization, and typical methods for each category are discussed in detail. We then demonstrate the theoretical connections of different categories, and introduce the commonly used datasets and evaluation metrics. Finally, we summarize the whole literature and raise some future directions for OOD generalization problem. The summary of OOD generalization methods reviewed in this survey can be found at //out-of-distribution-generalization.com.

As soon as abstract mathematical computations were adapted to computation on digital computers, the problem of efficient representation, manipulation, and communication of the numerical values in those computations arose. Strongly related to the problem of numerical representation is the problem of quantization: in what manner should a set of continuous real-valued numbers be distributed over a fixed discrete set of numbers to minimize the number of bits required and also to maximize the accuracy of the attendant computations? This perennial problem of quantization is particularly relevant whenever memory and/or computational resources are severely restricted, and it has come to the forefront in recent years due to the remarkable performance of Neural Network models in computer vision, natural language processing, and related areas. Moving from floating-point representations to low-precision fixed integer values represented in four bits or less holds the potential to reduce the memory footprint and latency by a factor of 16x; and, in fact, reductions of 4x to 8x are often realized in practice in these applications. Thus, it is not surprising that quantization has emerged recently as an important and very active sub-area of research in the efficient implementation of computations associated with Neural Networks. In this article, we survey approaches to the problem of quantizing the numerical values in deep Neural Network computations, covering the advantages/disadvantages of current methods. With this survey and its organization, we hope to have presented a useful snapshot of the current research in quantization for Neural Networks and to have given an intelligent organization to ease the evaluation of future research in this area.