arXiv subjects

Christophe Ley

Publications and source records attributed to Christophe Ley.

At least 19 recordsLinked to original sources

arXiv2026

Multiple change-point detection on the circle via isolation using permutation testing

In this paper we propose a new method for multiple change-point detection for piecewise-constant circular signals, a setting that, despite its importance in many scientific domains, remains comparatively under-explored. The proposed method, Permutation-based Circular Isolate-Detect, denoted PCID, uses an appropriately chosen contrast function and permutation testing to detect change-points in an offline manner, for the data sequence under consideration. Prior to detection, PCID isolates the change-points. The contrast function used is derived under the assumption of von Mises distribution for the noise, but we show that the method is robust and performs well for other distributions as well. Simulations are used to showcase the usability of the method in different signal and noise structures, including serially correlated noise. In order to exhibit the practical relevance of the method in real-world applications, PCID is applied to three real-world datasets, namely flare, acrophase and wave data.

stat.ME↗

arXiv2025

Modelling toroidal and cylindrical data via the trivariate wrapped Cauchy copula with non-uniform marginals

In this paper, we propose a new flexible family of distributions for data that consist of three angles, two angles and one linear component, or one angle and two linear components. To achieve this, we equip the recently proposed trivariate wrapped Cauchy copula with non-uniform marginals and develop a parameter estimation procedure. We compare our model to its main competitors for analyzing trivariate data and provide some evidence of its advantages. We illustrate our new model using toroidal data from protein bioinformatics of conformational angles, and cylindrical data from climate science related to buoy in the Adriatic Sea. The paper is motivated by these real trivariate datasets.

stat.ME↗

arXiv2025

Construction of optimal tests for symmetry on the torus and their quantitative error bounds

In this paper, we develop optimal tests for symmetry on the hyper-dimensional torus, leveraging Le Cam's methodology. We address both scenarios where the center of symmetry is known and where it is unknown. These tests are not only valid under a given parametric hypothesis but also under a very broad class of symmetric distributions. The asymptotic behavior of the proposed tests is studied both under the null hypothesis and local alternatives, and we derive quantitative bounds on the distributional distance between the exact (unknown) distribution of the test statistic and its asymptotic counterpart using Stein's method. The finite-sample performance of the tests is evaluated through simulation studies, and their practical utility is demonstrated via an application to protein folding data. Additionally, we establish a broadly applicable result on the quadratic mean differentiability of functions, a key property underpinning the use of Le Cam's approach.

math.ST↗

arXiv2024

ELBOing Stein: Variational Bayes with Stein Mixture Inference

Stein variational gradient descent (SVGD) [Liu and Wang, 2016] performs approximate Bayesian inference by representing the posterior with a set of particles. However, SVGD suffers from variance collapse, i.e. poor predictions due to underestimating uncertainty [Ba et al., 2021], even for moderately-dimensional models such as small Bayesian neural networks (BNNs). To address this issue, we generalize SVGD by letting each particle parameterize a component distribution in a mixture model. Our method, Stein Mixture Inference (SMI), optimizes a lower bound to the evidence (ELBO) and introduces user-specified guides parameterized by particles. SMI extends the Nonlinear SVGD framework [Wang and Liu, 2019] to the case of variational Bayes. SMI effectively avoids variance collapse, judging by a previously described test developed for this purpose, and performs well on standard data sets. In addition, SMI requires considerably fewer particles than SVGD to accurately estimate uncertainty for small BNNs. The synergistic combination of NSVGD, ELBO optimization and user-specified guides establishes a promising approach towards variational Bayesian inference in the case of tall and wide data.

cs.LG↗

arXiv2024

Modeling and Prediction of the UEFA EURO 2024 via Combined Statistical Learning Approaches

In this work, three fundamentally different machine learning models are combined to create a new, joint model for forecasting the UEFA EURO 2024. Therefore, a generalized linear model, a random forest model, and a extreme gradient boosting model are used to predict the number of goals a team scores in a match. The three models are trained on the match results of the UEFA EUROs 2004-2020, with additional covariates characterizing the teams for each tournament as well as three enhanced variables derived from different ranking methods for football teams. The first enhanced variable is based on historic match data from national teams, the second is based on the bookmakers' tournament winning odds of all participating teams, and the third is based on historic match data of individual players both for club and international matches, resulting in player ratings. Then, based on current covariate information of the participating teams, the final trained model is used to predict the UEFA EURO 2024. For this purpose, the tournament is simulated 100.000 times, based on the estimated expected number of goals for all possible matches, from which probabilities across the different tournament stages are derived. Our combined model identifies France as the clear favourite with a winning probability of 19.2%, followed by England (16.7%) and host Germany (13.7%).

cs.LG↗

arXiv2024

Assumption-Lean Quantile Regression

Quantile regression is a powerful tool for detecting exposure-outcome associations given covariates across different parts of the outcome's distribution, but has two major limitations when the aim is to infer the effect of an exposure. Firstly, the exposure coefficient estimator may not converge to a meaningful quantity when the model is misspecified, and secondly, variable selection methods may induce bias and excess uncertainty, rendering inferences biased and overly optimistic. In this paper, we address these issues via partially linear quantile regression models which parametrize the conditional association of interest, but do not restrict the association with other covariates in the model. We propose consistent estimators for the unknown model parameter by mapping it onto a nonparametric main effect estimand that captures the (conditional) association of interest even when the quantile model is misspecified. This estimand is estimated using the efficient influence function under the nonparametric model, allowing for the incorporation of data-adaptive procedures such as variable selection and machine learning. Our approach provides a flexible and reliable method for detecting associations that is robust to model misspecification and excess uncertainty induced by variable selection methods. The proposal is illustrated using simulation studies and data on annual health care costs associated with excess body weight.

stat.ME↗

arXiv2024

The trivariate wrapped Cauchy copula

In this paper, we propose a new flexible distribution for data on the three-dimensional torus which we call a trivariate wrapped Cauchy copula. Our trivariate copula has several attractive properties. It has a simple form of density and desirable modality properties. Its parameters allow for an adjustable degree of dependence between every pair of variables and these can be easily estimated. The conditional distributions of the model are well studied bivariate wrapped Cauchy distributions. Furthermore, the distribution can be easily simulated. Parameter estimation via maximum likelihood for the distribution is given and we highlight the simple implementation procedure to obtain these estimates. We illustrate our trivariate wrapped Cauchy copula on data from protein bioinformatics of conformational angles.

stat.ME↗

arXiv2023

Selecting the best compositions of a wheelchair basketball team: a data-driven approach

Wheelchair basketball, regulated by the International Wheelchair Basketball Federation, is a sport designed for individuals with physical disabilities. This paper presents a data-driven tool that effectively determines optimal team line-ups based on past performance data and metrics for player effectiveness. Our proposed methodology involves combining a Bayesian longitudinal model with an integer linear problem to optimise the line-up of a wheelchair basketball team. To illustrate our approach, we use real data from a team competing in the Rollstuhlbasketball Bundesliga, namely the Doneck Dolphins Trier. We consider three distinct performance metrics for each player and incorporate uncertainty from the posterior predictive distribution of the longitudinal model into the optimisation process. The results demonstrate the tool's ability to select the most suitable team compositions and calculate posterior probabilities of compatibility or incompatibility among players on the court.

stat.AP↗

arXiv2023

Prediction of Handball Matches with Statistically Enhanced Learning via Estimated Team Strengths

We propose a Statistically Enhanced Learning (aka. SEL) model to predict handball games. Our Machine Learning model augmented with SEL features outperforms state-of-the-art models with an accuracy beyond 80%. In this work, we show how we construct the data set to train Machine Learning models on past female club matches. We then compare different models and evaluate them to assess their performance capabilities. Finally, explainability methods allow us to change the scope of our tool from a purely predictive solution to a highly insightful analytical tool. This can become a valuable asset for handball teams' coaches providing valuable statistical and predictive insights to prepare future competitions.

cs.LG↗

arXiv2023

Statistically Enhanced Learning: a feature engineering framework to boost (any) learning algorithms

Feature engineering is of critical importance in the field of Data Science. While any data scientist knows the importance of rigorously preparing data to obtain good performing models, only scarce literature formalizes its benefits. In this work, we will present the method of Statistically Enhanced Learning (SEL), a formalization framework of existing feature engineering and extraction tasks in Machine Learning (ML). The difference compared to classical ML consists in the fact that certain predictors are not directly observed but obtained as statistical estimators. Our goal is to study SEL, aiming to establish a formalized framework and illustrate its improved performance by means of simulations as well as applications on real life use cases.

stat.ME↗

arXiv2021

Hybrid Machine Learning Forecasts for the UEFA EURO 2020

Three state-of-the-art statistical ranking methods for forecasting football matches are combined with several other predictors in a hybrid machine learning model. Namely an ability estimate for every team based on historic matches; an ability estimate for every team based on bookmaker consensus; average plus-minus player ratings based on their individual performances in their home clubs and national teams; and further team covariates (e.g., market value, team structure) and country-specific socio-economic factors (population, GDP). The proposed combined approach is used for learning the number of goals scored in the matches from the four previous UEFA EUROs 2004-2016 and then applied to current information to forecast the upcoming UEFA EURO 2020. Based on the resulting estimates, the tournament is simulated repeatedly and winning probabilities are obtained for all teams. A random forest model favors the current World Champion France with a winning probability of 14.8% before England (13.5%) and Spain (12.3%). Additionally, we provide survival probabilities for all teams and at all tournament stages.

cs.LG↗

arXiv2021

Stein's Method Meets Computational Statistics: A Review of Some Recent Developments

Stein's method compares probability distributions through the study of a class of linear operators called Stein operators. While mainly studied in probability and used to underpin theoretical statistics, Stein's method has led to significant advances in computational statistics in recent years. The goal of this survey is to bring together some of these recent developments and, in doing so, to stimulate further research into the successful field of Stein's method and statistics. The topics we discuss include tools to benchmark and compare sampling methods such as approximate Markov chain Monte Carlo, deterministic alternatives to sampling methods, control variate techniques, parameter estimation and goodness-of-fit testing.

stat.ME↗

arXiv2021

Elliptical Symmetry Tests in \proglang{R}

The assumption of elliptical symmetry has an important role in many theoretical developments and applications, hence it is of primary importance to be able to test whether that assumption actually holds true or not. Various tests have been proposed in the literature for this problem. To the best of our knowledge, none of them has been implemented in R. The focus of this paper is the implementation of several well-known tests for elliptical symmetry together with some recent tests. We demonstrate the testing procedures with a real data example.

stat.ME↗

arXiv2021

The Probabilistic Final Standing Calculator: a fair stochastic tool to handle abruptly stopped football seasons

The COVID-19 pandemic has left its marks in the sports world, forcing the full-stop of all sports-related activities in the first half of 2020. Football leagues were suddenly stopped and each country was hesitating between a relaunch of the competition and a premature ending. Some opted for the latter option, and took as the final standing of the season the ranking from the moment the competition got interrupted. This decision has been perceived as unfair, especially by those teams who had remaining matches against easier opponents. In this paper, we introduce a tool to calculate in a fairer way the final standings of domestic leagues that have to stop prematurely: our Probabilistic Final Standing Calculator (PFSC). It is based on a stochastic model taking into account the results of the matches played and simulating the remaining matches, yielding the probabilities for the various possible final rankings. We have compared our PFSC with state-of-the-art prediction models, using previous seasons which we pretend to stop at different points in time. We illustrate our PFSC by showing how a probabilistic ranking of the French Ligue 1 in the stopped 2019-2020 season could have led to alternative, potentially fairer, decisions on the final standing.

stat.AP↗

arXiv2020

From Pareto to Weibull -- a constructive review of distributions on $\mathbb{R}^+$

Power laws and power laws with exponential cut-off are two distinct families of distributions on the positive real half-line. In the present paper, we propose a unified treatment of both families by building a family of distributions that interpolates between them, which we call Interpolating Family (IF) of distributions. Our original construction, which relies on techniques from statistical physics, provides a connection for hitherto unrelated distributions like the Pareto and Weibull distributions, and sheds new light on them. The IF also contains several distributions that are neither of power law nor of power law with exponential cut-off type. We calculate quantile-based properties, moments and modes for the IF. This allows us to review known properties of famous distributions on $\mathbb{R}^+$ and to provide in a single sweep these characteristics for various less known (and new) special cases of our Interpolating Family.

math.PR↗

arXiv2020

TailCoR

Economic and financial crises are characterised by unusually large events. These tail events co-move because of linear and/or nonlinear dependencies. We introduce TailCoR, a metric that combines (and disentangles) these linear and non-linear dependencies. TailCoR between two variables is based on the tail inter quantile range of a simple projection. It is dimension-free, it performs well in small samples, and no optimisations are needed.

q-fin.ST↗

arXiv2020

Gauss and the identity function -- a tale of characterizations of the normal distribution

The normal distribution is well-known for several results that it is the only to fulfil. The aim of the present paper is to show that many of these characterizations actually follow from the fact that the derivative of the log-density of the normal distribution is the (negative) identity function. This \emph{a priori} very simple yet surprising observation allows a deeper understanding of existing characterizations and paves the way to an immediate extension to a general density $x\mapsto p(x)$ by replacing $-x$ in these results with $(\log p(x))'$.

math.ST↗

arXiv2020

The Wasserstein Impact Measure (WIM): a generally applicable, practical tool for quantifying prior impact in Bayesian statistics

The prior distribution is a crucial building block in Bayesian analysis, and its choice will impact the subsequent inference. It is therefore important to have a convenient way to quantify this impact, as such a measure of prior impact will help us to choose between two or more priors in a given situation. A recently proposed approach consists in determining the Wasserstein distance between posteriors resulting from two distinct priors, revealing how close or distant they are. In particular, if one prior is the uniform/flat prior, this distance leads to a genuine measure of prior impact for the other prior. While highly appealing and successful from a theoretical viewpoint, this proposal suffers from practical limitations: it requires prior distributions to be nested, posterior distributions should not be of a too complex form, in most considered settings the exact distance was not computed but sharp upper and lower bounds were proposed, and the proposal so far is restricted to scalar parameter settings. In this paper, we overcome all these limitations by introducing a practical version of this theoretical approach, namely the Wasserstein Impact Measure (WIM). In three simulated scenarios, we will compare the WIM to the theoretical Wasserstein approach, as well as to two competitor prior impact measures from the literature. We finally illustrate the versatility of the WIM by applying it on two datasets.

stat.ME↗