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Abolfazl Safikhani

Publications and source records attributed to Abolfazl Safikhani.

At least 19 recordsLinked to original sources

Stability-Aware Feature Design for Robust Watermark Detection in Machine-Generated Text

The widespread adoption of large language models (LLMs) has intensified the demand for principled methods to distinguish human from machine-generated text. Watermarking provides a promising avenue, yet existing detectors exhibit sharp performance deterioration under multiple paraphrasing and when applied to shorter texts. We introduce Pattern Stability Score (PSS), a novel detection framework that leverages local statistical features and stability dynamics across paraphrased variants. Specifically, the proposed method combines global and local z-score features with higher-order statistics of run-length patterns, enriched by autocorrelation signals and stability scores computed over paraphrase depth. Numerical evaluations are performed on three benchmark datasets (PG-19, CNN/DailyMail, and WikiText) using multiple LLMs (Llama-3-8B, Qwen2-7B) and paraphrasers (Mistral-7B, Qwen2-7B, Gemma-7B), systematically stress-testing robustness under up to eight rounds of paraphrasing. Compared to prior z-score thresholding baselines and some state-of-the-art deep learning methods, our approach improves detection AUC (area under the receiver operating characteristic curve) by over 10-15 percentage points across different token lengths. Additionally, extensive cross-domain experiments demonstrate that a single universal classifier generalizes across different LLMs, paraphrasers, and text domains without retraining, maintaining above 87.8% AUC even when all components differ from training.

cs.CL↗

Estimation of High-Dimensional Markov-Switching VAR Models with an Approximate EM Algorithm

Regime shifts in high-dimensional time series arise naturally in many applications, from neuroimaging to finance. This problem has received considerable attention in low-dimensional settings, with both Bayesian and frequentist methods used extensively for parameter estimation. The EM algorithm is a particularly popular strategy for parameter estimation in low-dimensional settings, although the statistical properties of the resulting estimates have not been well understood. Furthermore, its extension to high-dimensional time series has proved challenging. To overcome these challenges, in this paper we propose an approximate EM algorithm for Markov-switching VAR models that leads to efficient computation and also facilitates the investigation of asymptotic properties of the resulting parameter estimates. We establish the consistency of the proposed EM algorithm in high dimensions and investigate its performance via simulation studies. We also demonstrate the algorithm by analyzing a brain electroencephalography (EEG) dataset recorded on a patient experiencing epileptic seizure.

stat.ME↗

Longitudinal Omics Data Analysis: A Review on Models, Algorithms, and Tools

Longitudinal omics data (LOD) analysis is essential for understanding the dynamics of biological processes and disease progression over time. This review explores various statistical and computational approaches for analyzing such data, emphasizing their applications and limitations. The main characteristics of longitudinal data, such as imbalancedness, high-dimensionality, and non-Gaussianity are discussed for modeling and hypothesis testing. We discuss the properties of linear mixed models (LMM) and generalized linear mixed models (GLMM) as foundation stones in LOD analyses and highlight their extensions to handle the obstacles in the frequentist and Bayesian frameworks. We differentiate in dynamic data analysis between time-course and longitudinal analyses, covering functional data analysis (FDA) and replication constraints. We explore classification techniques, single-cell as exemplary omics longitudinal studies, survival modeling, and multivariate methods for clinical/biomarker-based applications. Emerging topics, including data integration, clustering, and network-based modeling, are also discussed. We categorized the state-of-the-art approaches applicable to omics data, highlighting how they address the data features. This review serves as a guideline for researchers seeking robust strategies to analyze longitudinal omics data effectively, which is usually complex.

stat.ME↗

Optimal Change Point Detection and Inference in the Spectral Density of General Time Series Models

This paper addresses the problem of detecting change points in the spectral density of time series, motivated by EEG analysis of seizure patients. Seizures disrupt coherence and functional connectivity, necessitating precise detection. Departing from traditional parametric approaches, we utilize the Wold decomposition, representing general time series as autoregressive processes with infinite lags, which are truncated and estimated around the change point. Our detection procedure employs an initial estimator that systematically searches across time points. We examine the localization error and its dependence on time series properties and sample size. To enhance accuracy, we introduce an optimal rate method with an asymptotic distribution, facilitating the construction of confidence intervals. The proposed method effectively identifies seizure onset in EEG data and extends to event detection in video data. Comprehensive numerical experiments demonstrate its superior performance compared to existing techniques.

stat.ME↗

Sequential Change Point Detection in High-dimensional Vector Auto-regressive Models

Sequential (online) change-point detection involves continuously monitoring time-series data and triggering an alarm when shifts in the data distribution are detected. We propose an algorithm for real-time identification of alterations in the transition matrices of high-dimensional vector autoregressive models. The algorithm estimates transition matrices and error term variances using regularization techniques applied to training data, then computes a specific test statistic to detect changes in transition matrices as new data batches arrive. We establish the asymptotic normality of the test statistic under the scenario of no change points, subject to mild conditions. An alarm is raised when the calculated test statistic exceeds a predefined quantile of the standard normal distribution. We demonstrate that, as the size of the change (jump size) increases, the test power approaches one. The effectiveness of the algorithm is validated empirically across various simulation scenarios. Finally, we present two applications of the proposed methodology: analyzing shocks in S&P 500 data and detecting the timing of seizures in EEG data.

stat.ME↗

Variational and Explanatory Neural Networks for Encoding Cancer Profiles and Predicting Drug Responses

Human cancers present a significant public health challenge and require the discovery of novel drugs through translational research. Transcriptomics profiling data that describes molecular activities in tumors and cancer cell lines are widely utilized for predicting anti-cancer drug responses. However, existing AI models face challenges due to noise in transcriptomics data and lack of biological interpretability. To overcome these limitations, we introduce VETE (Variational and Explanatory Transcriptomics Encoder), a novel neural network framework that incorporates a variational component to mitigate noise effects and integrates traceable gene ontology into the neural network architecture for encoding cancer transcriptomics data. Key innovations include a local interpretability-guided method for identifying ontology paths, a visualization tool to elucidate biological mechanisms of drug responses, and the application of centralized large scale hyperparameter optimization. VETE demonstrated robust accuracy in cancer cell line classification and drug response prediction. Additionally, it provided traceable biological explanations for both tasks and offers insights into the mechanisms underlying its predictions. VETE bridges the gap between AI-driven predictions and biologically meaningful insights in cancer research, which represents a promising advancement in the field.

q-bio.QM↗

A Functional Coefficients Network Autoregressive Model

The paper introduces a flexible model for the analysis of multivariate nonlinear time series data. The proposed Functional Coefficients Network Autoregressive (FCNAR) model considers the response of each node in the network to depend in a nonlinear fashion to each own past values (autoregressive component), as well as past values of each neighbor (network component). Key issues of model stability/stationarity, together with model parameter identifiability, estimation and inference are addressed for error processes that can be heavier than Gaussian for both fixed and growing number of network nodes. The performance of the estimators for the FCNAR model is assessed on synthetic data and the applicability of the model is illustrated on multiple indicators of air pollution data.

stat.ME↗

A Unified Framework for Fast Large-Scale Portfolio Optimization

We introduce a unified framework for rapid, large-scale portfolio optimization that incorporates both shrinkage and regularization techniques. This framework addresses multiple objectives, including minimum variance, mean-variance, and the maximum Sharpe ratio, and also adapts to various portfolio weight constraints. For each optimization scenario, we detail the translation into the corresponding quadratic programming (QP) problem and then integrate these solutions into a new open-source Python library. Using 50 years of return data from US mid to large-sized companies, and 33 distinct firm-specific characteristics, we utilize our framework to assess the out-of-sample monthly rebalanced portfolio performance of widely-adopted covariance matrix estimators and factor models, examining both daily and monthly returns. These estimators include the sample covariance matrix, linear and nonlinear shrinkage estimators, and factor portfolios based on Asset Pricing (AP) Trees, Principal Component Analysis (PCA), Risk Premium PCA (RP-PCA), and Instrumented PCA (IPCA). Our findings emphasize that AP-Trees and PCA-based factor models consistently outperform all other approaches in out-of-sample portfolio performance. Finally, we develop new l1 and l2 regularizations of factor portfolio norms which not only elevate the portfolio performance of AP-Trees and PCA-based factor models but they have a potential to reduce an excessive turnover and transaction costs often associated with these models.

q-fin.PM↗

Theoretical analysis of deep neural networks for temporally dependent observations

Deep neural networks are powerful tools to model observations over time with non-linear patterns. Despite the widespread use of neural networks in such settings, most theoretical developments of deep neural networks are under the assumption of independent observations, and theoretical results for temporally dependent observations are scarce. To bridge this gap, we study theoretical properties of deep neural networks on modeling non-linear time series data. Specifically, non-asymptotic bounds for prediction error of (sparse) feed-forward neural network with ReLU activation function is established under mixing-type assumptions. These assumptions are mild such that they include a wide range of time series models including auto-regressive models. Compared to independent observations, established convergence rates have additional logarithmic factors to compensate for additional complexity due to dependence among data points. The theoretical results are supported via various numerical simulation settings as well as an application to a macroeconomic data set.

stat.ML↗

A unified framework for change point detection in high-dimensional linear models

In recent years, change point detection for high dimensional data has become increasingly important in many scientific fields. Most literature develop a variety of separate methods designed for specified models (e.g. mean shift model, vector auto-regressive model, graphical model). In this paper, we provide a unified framework for structural break detection which is suitable for a large class of models. Moreover, the proposed algorithm automatically achieves consistent parameter estimates during the change point detection process, without the need for refitting the model. Specifically, we introduce a three-step procedure. The first step utilizes the block segmentation strategy combined with a fused lasso based estimation criterion, leads to significant computational gains without compromising the statistical accuracy in identifying the number and location of the structural breaks. This procedure is further coupled with hard-thresholding and exhaustive search steps to consistently estimate the number and location of the break points. The strong guarantees are proved on both the number of estimated change points and the rates of convergence of their locations. The consistent estimates of model parameters are also provided. The numerical studies provide further support of the theory and validate its competitive performance for a wide range of models. The developed algorithm is implemented in the R package LinearDetect.

stat.ME↗

Non-Stationary Time Series Model for Station Based Subway Ridership During Covid-19 Pandemic (Case Study: New York City)

The COVID-19 pandemic in 2020 has caused sudden shocks in transportation systems, specifically the subway ridership patterns in New York City. Understanding the temporal pattern of subway ridership through statistical models is crucial during such shocks. However, many existing statistical frameworks may not be a good fit to analyze the ridership data sets during the pandemic since some of the modeling assumption might be violated during this time. In this paper, utilizing change point detection procedures, we propose a piece-wise stationary time series model to capture the nonstationary structure of subway ridership. Specifically, the model consists of several independent station based autoregressive integrated moving average (ARIMA) models concatenated together at certain time points. Further, data-driven algorithms are utilized to detect the changes of ridership patterns as well as to estimate the model parameters before and during the COVID-19 pandemic. The data sets of focus are daily ridership of subway stations in New York City for randomly selected stations. Fitting the proposed model to these data sets enhances our understanding of ridership changes during external shocks, both in terms of mean (average) changes as well as the temporal correlations.

stat.AP↗

A Fast Detection Method of Break Points in Effective Connectivity Networks

There is increasing interest in identifying changes in the underlying states of brain networks. The availability of large scale neuroimaging data creates a strong need to develop fast, scalable methods for detecting and localizing in time such changes and also identify their drivers, thus enabling neuroscientists to hypothesize about potential mechanisms. This paper presents a fast method for detecting break points in exceedingly long time series neuroimaging data, based on vector autoregressive (Granger causal) models. It uses a multi-step strategy based on a regularized objective function that leads to fast identification of candidate break points, followed by clustering steps to select the final set of break points and subsequent estimation with false positives control of the underlying Granger causal networks. The latter provides insights into key changes in network connectivity that led to the presence of break points. The proposed methodology is illustrated on synthetic data varying in their length, dimensionality, number of break points, strength of the signal, and also applied to EEG data related to visual tasks.

stat.ME↗

Hybrid Modeling of Regional COVID-19 Transmission Dynamics in the U.S

The fast transmission rate of COVID-19 worldwide has made this virus the most important challenge of year 2020. Many mitigation policies have been imposed by the governments at different regional levels (country, state, county, and city) to stop the spread of this virus. Quantifying the effect of such mitigation strategies on the transmission and recovery rates, and predicting the rate of new daily cases are two crucial tasks. In this paper, we propose a hybrid modeling framework which not only accounts for such policies but also utilizes the spatial and temporal information to characterize the pattern of COVID-19 progression. Specifically, a piecewise susceptible-infected-recovered (SIR) model is developed while the dates at which the transmission/recover rates change significantly are defined as "break points" in this model. A novel and data-driven algorithm is designed to locate the break points using ideas from fused lasso and thresholding. In order to enhance the forecasting power and to describe additional temporal dependence among the daily number of cases, this model is further coupled with spatial smoothing covariates and vector auto-regressive (VAR) model. The proposed model is applied to several U.S. states and counties, and the results confirm the effect of "stay-at-home orders" and some states' early "re-openings" by detecting break points close to such events. Further, the model provided satisfactory short-term forecasts of the number of new daily cases at regional levels by utilizing the estimated spatio-temporal covariance structures. They were also better or on par with other proposed models in the literature, including flexible deep learning ones. Finally, selected theoretical results and empirical performance of the proposed methodology on synthetic data are reported which justify the good performance of the proposed method.

stat.AP↗

A General Modeling Framework for Network Autoregressive Processes

The paper develops a general flexible framework for Network Autoregressive Processes (NAR), wherein the response of each node linearly depends on its past values, a prespecified linear combination of neighboring nodes and a set of node-specific covariates. The corresponding coefficients are node-specific, while the framework can accommodate heavier than Gaussian errors with both spatial-autorgressive and factor based covariance structures. We provide a sufficient condition that ensures the stability (stationarity) of the underlying NAR that is significantly weaker than its counterparts in previous work in the literature. Further, we develop ordinary and generalized least squares estimators for both a fixed, as well as a diverging number of network nodes, and also provide their ridge regularized counterparts that exhibit better performance in large network settings, together with their asymptotic distributions. We also address the issue of misspecifying the network connectivity and its impact on the aforementioned asymptotic distributions of the various NAR parameter estimators. The framework is illustrated on both synthetic and real air pollution data.

stat.ME↗

Multiple Change Point Detection in Structured VAR Models: the VARDetect R Package

Vector Auto-Regressive (VAR) models capture lead-lag temporal dynamics of multivariate time series data. They have been widely used in macroeconomics, financial econometrics, neuroscience and functional genomics. In many applications, the data exhibit structural changes in their autoregressive dynamics, which correspond to changes in the transition matrices of the VAR model that specify such dynamics. We present the R package VARDetect that implements two classes of algorithms to detect multiple change points in piecewise stationary VAR models. The first exhibits sublinear computational complexity in the number of time points and is best suited for structured sparse models, while the second exhibits linear time complexity and is designed for models whose transition matrices are assumed to have a low rank plus sparse decomposition. The package also has functions to generate data from the various variants of VAR models discussed, which is useful in simulation studies, as well as to visualize the results through network layouts.

stat.ME↗

Multiple Change Point Detection in Reduced Rank High Dimensional Vector Autoregressive Models

We study the problem of detecting and locating change points in high-dimensional Vector Autoregressive (VAR) models, whose transition matrices exhibit low rank plus sparse structure. We first address the problem of detecting a single change point using an exhaustive search algorithm and establish a finite sample error bound for its accuracy. Next, we extend the results to the case of multiple change points that can grow as a function of the sample size. Their detection is based on a two-step algorithm, wherein the first step, an exhaustive search for a candidate change point is employed for overlapping windows, and subsequently, a backward elimination procedure is used to screen out redundant candidates. The two-step strategy yields consistent estimates of the number and the locations of the change points. To reduce computation cost, we also investigate conditions under which a surrogate VAR model with a weakly sparse transition matrix can accurately estimate the change points and their locations for data generated by the original model. This work also addresses and resolves a number of novel technical challenges posed by the nature of the VAR models under consideration. The effectiveness of the proposed algorithms and methodology is illustrated on both synthetic and two real data sets.

stat.ME↗

Regularized Estimation in High-Dimensional Vector Auto-Regressive Models using Spatio-Temporal Information

A Vector Auto-Regressive (VAR) model is commonly used to model multivariate time series, and there are many penalized methods to handle high dimensionality. However in terms of spatio-temporal data, most methods do not take the spatial and temporal structure of the data into consideration, which may lead to unreliable network detection and inaccurate forecasts. This paper proposes a data-driven weighted l1 regularized approach for spatio-temporal VAR model. Extensive simulation studies are carried out to compare the proposed method with four existing methods of high-dimensional VAR model, demonstrating improvements of our method over others in parameter estimation, network detection and out-of-sample forecasts. We also apply our method on a traffic data set to evaluate its performance in real application. In addition, we explore the theoretical properties of l1 regularized estimation of VAR model under the weakly sparse scenario, in which the exact sparsity can be viewed as a special case. To the best of our knowledge, this direction has not been considered yet in the literature. For general stationary VAR process, we derive the non-asymptotic upper bounds on l1 regularized estimation errors under the weakly sparse scenario, provide the conditions of estimation consistency, and further simplify these conditions for a special VAR(1) case.

stat.ME↗

Inference on the change point in high dimensional time series models via plug in least squares

We study a plug in least squares estimator for the change point parameter where change is in the mean of a high dimensional random vector under subgaussian or subexponential distributions. We obtain sufficient conditions under which this estimator possesses sufficient adaptivity against plug in estimates of mean parameters in order to yield an optimal rate of convergence $O_p(ξ^{-2})$ in the integer scale. This rate is preserved while allowing high dimensionality as well as a potentially diminishing jump size $ξ,$ provided $s\log (p\vee T)=o(\surd(Tl_T))$ or $s\log^{3/2}(p\vee T)=o(\surd(Tl_T))$ in the subgaussian and subexponential cases, respectively. Here $s,p,T$ and $l_T$ represent a sparsity parameter, model dimension, sampling period and the separation of the change point from its parametric boundary. Moreover, since the rate of convergence is free of $s,p$ and logarithmic terms of $T,$ it allows the existence of limiting distributions. These distributions are then derived as the {\it argmax} of a two sided negative drift Brownian motion or a two sided negative drift random walk under vanishing and non-vanishing jump size regimes, respectively. Thereby allowing inference of the change point parameter in the high dimensional setting. Feasible algorithms for implementation of the proposed methodology are provided. Theoretical results are supported with monte-carlo simulations.

stat.ME↗