Considering two random variables with different laws to which we only have access through finite size iid samples, we address how to reweight the first sample so that its empirical distribution converges towards the true law of the second sample as the size of both samples goes to infinity. We study an optimal reweighting that minimizes the Wasserstein distance between the empirical measures of the two samples, and leads to an expression of the weights in terms of Nearest Neighbors. The consistency and some asymptotic convergence rates in terms of expected Wasserstein distance are derived, and do not need the assumption of absolute continuity of one random variable with respect to the other. These results have some application in Uncertainty Quantification for decoupled estimation and in the bound of the generalization error for the Nearest Neighbor Regression under covariate shift.
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We propose a stable, parallel approach to train Wasserstein Conditional Generative Adversarial Neural Networks (W-CGANs) under the constraint of a fixed computational budget. Differently from previous distributed GANs training techniques, our approach avoids inter-process communications, reduces the risk of mode collapse and enhances scalability by using multiple generators, each one of them concurrently trained on a single data label. The use of the Wasserstein metric also reduces the risk of cycling by stabilizing the training of each generator. We illustrate the approach on the CIFAR10, CIFAR100, and ImageNet1k datasets, three standard benchmark image datasets, maintaining the original resolution of the images for each dataset. Performance is assessed in terms of scalability and final accuracy within a limited fixed computational time and computational resources. To measure accuracy, we use the inception score, the Frechet inception distance, and image quality. An improvement in inception score and Frechet inception distance is shown in comparison to previous results obtained by performing the parallel approach on deep convolutional conditional generative adversarial neural networks (DC-CGANs) as well as an improvement of image quality of the new images created by the GANs approach. Weak scaling is attained on both datasets using up to 2,000 NVIDIA V100 GPUs on the OLCF supercomputer Summit.
We consider an analysis of variance type problem, where the sample observations are random elements in an infinite dimensional space. This scenario covers the case, where the observations are random functions. For such a problem, we propose a test based on spatial signs. We develop an asymptotic implementation as well as a bootstrap implementation and a permutation implementation of this test and investigate their size and power properties. We compare the performance of our test with that of several mean based tests of analysis of variance for functional data studied in the literature. Interestingly, our test not only outperforms the mean based tests in several non-Gaussian models with heavy tails or skewed distributions, but in some Gaussian models also. Further, we also compare the performance of our test with the mean based tests in several models involving contaminated probability distributions. Finally, we demonstrate the performance of these tests in three real datasets: a Canadian weather dataset, a spectrometric dataset on chemical analysis of meat samples and a dataset on orthotic measurements on volunteers.
We develop a general method to study the Fisher information distance in central limit theorem for nonlinear statistics. We first construct explicit representations for the score functions. We then use these representations to derive quantitative estimates for the Fisher information distance. To illustrate the applicability of our approach, explicit rates of Fisher information convergence for quadratic forms and the functions of sample means are provided. The case of the sums of independent random variables are discussed as well.
We consider a general online stochastic optimization problem with multiple budget constraints over a horizon of finite time periods. In each time period, a reward function and multiple cost functions are revealed, and the decision maker needs to specify an action from a convex and compact action set to collect the reward and consume the budget. Each cost function corresponds to the consumption of one budget. In each period, the reward and cost functions are drawn from an unknown distribution, which is non-stationary across time. The objective of the decision maker is to maximize the cumulative reward subject to the budget constraints. This formulation captures a wide range of applications including online linear programming and network revenue management, among others. In this paper, we consider two settings: (i) a data-driven setting where the true distribution is unknown but a prior estimate (possibly inaccurate) is available; (ii) an uninformative setting where the true distribution is completely unknown. We propose a unified Wasserstein-distance based measure to quantify the inaccuracy of the prior estimate in setting (i) and the non-stationarity of the system in setting (ii). We show that the proposed measure leads to a necessary and sufficient condition for the attainability of a sublinear regret in both settings. For setting (i), we propose a new algorithm, which takes a primal-dual perspective and integrates the prior information of the underlying distributions into an online gradient descent procedure in the dual space. The algorithm also naturally extends to the uninformative setting (ii). Under both settings, we show the corresponding algorithm achieves a regret of optimal order. In numerical experiments, we demonstrate how the proposed algorithms can be naturally integrated with the re-solving technique to further boost the empirical performance.
We study reliable communication over point-to-point adversarial channels in which the adversary can observe the transmitted codeword via some function that takes the $n$-bit codeword as input and computes an $rn$-bit output for some given $r \in [0,1]$. We consider the scenario where the $rn$-bit observation is computationally bounded -- the adversary is free to choose an arbitrary observation function as long as the function can be computed using a polynomial amount of computational resources. This observation-based restriction differs from conventional channel-based computational limitations, where in the later case, the resource limitation applies to the computation of the (adversarial) channel error. For all $r \in [0,1-H(p)]$ where $H(\cdot)$ is the binary entropy function and $p$ is the adversary's error budget, we characterize the capacity of the above channel. For this range of $r$, we find that the capacity is identical to the completely obvious setting ($r=0$). This result can be viewed as a generalization of known results on myopic adversaries and channels with active eavesdroppers for which the observation process depends on a fixed distribution and fixed-linear structure, respectively, that cannot be chosen arbitrarily by the adversary.
We propose \textbf{JAWS}, a series of wrapper methods for distribution-free uncertainty quantification tasks under covariate shift, centered on our core method \textbf{JAW}, the \textbf{JA}ckknife+ \textbf{W}eighted with likelihood-ratio weights. JAWS also includes computationally efficient \textbf{A}pproximations of JAW using higher-order influence functions: \textbf{JAWA}. Theoretically, we show that JAW relaxes the jackknife+'s assumption of data exchangeability to achieve the same finite-sample coverage guarantee even under covariate shift. JAWA further approaches the JAW guarantee in the limit of either the sample size or the influence function order under mild assumptions. Moreover, we propose a general approach to repurposing any distribution-free uncertainty quantification method and its guarantees to the task of risk assessment: a task that generates the estimated probability that the true label lies within a user-specified interval. We then propose \textbf{JAW-R} and \textbf{JAWA-R} as the repurposed versions of proposed methods for \textbf{R}isk assessment. Practically, JAWS outperform the state-of-the-art predictive inference baselines in a variety of biased real world data sets for both interval-generation and risk-assessment auditing tasks.
Spatial data can exhibit dependence structures more complicated than can be represented using models that rely on the traditional assumptions of stationarity and isotropy. Several statistical methods have been developed to relax these assumptions. One in particular, the "spatial deformation approach" defines a transformation from the geographic space in which data are observed, to a latent space in which stationarity and isotropy are assumed to hold. Taking inspiration from this class of models, we develop a new model for spatially dependent data observed on graphs. Our method implies an embedding of the graph into Euclidean space wherein the covariance can be modeled using traditional covariance functions such as those from the Mat\'{e}rn family. This is done via a class of graph metrics compatible with such covariance functions. By estimating the edge weights which underlie these metrics, we can recover the "intrinsic distance" between nodes of a graph. We compare our model to existing methods for spatially dependent graph data, primarily conditional autoregressive (CAR) models and their variants and illustrate the advantages our approach has over traditional methods. We fit our model and competitors to bird abundance data for several species in North Carolina. We find that our model fits the data best, and provides insight into the interaction between species-specific spatial distributions and geography.
This paper focuses on waveform design for joint radar and communication systems and presents a new subset selection process to improve the communication error rate performance and global accuracy of radar sensing of the random stepped frequency permutation waveform. An optimal communication receiver based on integer programming is proposed to handle any subset of permutations followed by a more efficient sub-optimal receiver based on the Hungarian algorithm. Considering optimum maximum likelihood detection, the block error rate is analyzed under both additive white Gaussian noise and correlated Rician fading. We propose two methods to select a permutation subset with an improved block error rate and an efficient encoding scheme to map the information symbols to selected permutations under these subsets. From the radar perspective, the ambiguity function is analyzed with regards to the local and the global accuracy of target detection. Furthermore, a subset selection method to reduce the maximum sidelobe height is proposed by extending the properties of Costas arrays. Finally, the process of remapping the frequency tones to the symbol set used to generate permutations is introduced as a method to improve both the communication and radar performances of the selected permutation subset.
Consider the likelihood ratio test (LRT) statistics for the independence of sub-vectors from a $p$-variate normal random vector. We are devoted to deriving the limiting distributions of the LRT statistics based on a random sample of size $n$. It is well known that the limit is chi-square distribution when the dimension of the data or the number of the parameters are fixed. In a recent work by Qi, Wang and Zhang (Ann Inst Stat Math (2019) 71: 911--946), it was shown that the LRT statistics are asymptotically normal under condition that the lengths of the normal random sub-vectors are relatively balanced if the dimension $p$ goes to infinity with the sample size $n$. In this paper, we investigate the limiting distributions of the LRT statistic under general conditions. We find out all types of limiting distributions and obtain the necessary and sufficient conditions for the LRT statistic to converge to a normal distribution when $p$ goes to infinity. We also investigate the limiting distribution of the adjusted LRT test statistic proposed in Qi, Wang and Zhang (2019). Moreover, we present simulation results to compare the performance of classical chi-square approximation, normal and non-normal approximation to the LRT statistics, chi-square approximation to the adjusted test statistic, and some other test statistics.
A time-varying zero-inflated serially dependent Poisson process is proposed. The model assumes that the intensity of the Poisson Process evolves according to a generalized autoregressive conditional heteroscedastic (GARCH) formulation. The proposed model is a generalization of the zero-inflated Poisson Integer GARCH model proposed by Fukang Zhu in 2012, which in return is a generalization of the Integer GARCH (INGARCH) model introduced by Ferland, Latour, and Oraichi in 2006. The proposed model builds on previous work by allowing the zero-inflation parameter to vary over time, governed by a deterministic function or by an exogenous variable. Both the Expectation Maximization (EM) and the Maximum Likelihood Estimation (MLE) approaches are presented as possible estimation methods. A simulation study shows that both parameter estimation methods provide good estimates. Applications to two real-life data sets show that the proposed INGARCH model provides a better fit than the traditional zero-inflated INGARCH model in the cases considered.
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