Chunzhe Zhang | Searcharxiv

arXiv2024

AutoGFI: Streamlined Generalized Fiducial Inference for Modern Inference Problems in Models with Additive Errors

The concept of fiducial inference was introduced by R. A. Fisher in the 1930s to address the perceived limitations of Bayesian inference, particularly the need for subjective prior distributions in cases with limited prior information. However, Fisher's fiducial approach lost favor due to complications, especially in multi-parameter problems. With renewed interest in fiducial inference in the 2000s, generalized fiducial inference (GFI) emerged as a promising extension of Fisher's ideas, offering new solutions for complex inference challenges. Despite its potential, GFI's adoption has been hindered by demanding mathematical derivations and complex implementation requirements, such as Markov Chain Monte Carlo (MCMC) algorithms. This paper introduces AutoGFI, a streamlined variant of GFI designed to simplify its application across various inference problems with additive noise. AutoGFI's accessibility lies in its simplicity-requiring only a fitting routine-making it a feasible option for a wider range of researchers and practitioners. To demonstrate its efficacy, AutoGFI is applied to three challenging problems: tensor regression, matrix completion, and network cohesion regression. These case studies showcase AutoGFI's competitive performance against specialized solutions, highlighting its potential to broaden the application of GFI in practical domains, ultimately enriching the statistical inference toolkit.

stat.ME↗

arXiv2021

Online Experimentation with Surrogate Metrics: Guidelines and a Case Study

A/B tests have been widely adopted across industries as the golden rule that guides decision making. However, the long-term true north metrics we ultimately want to drive through A/B test may take a long time to mature. In these situations, a surrogate metric which predicts the long-term metric is often used instead to conclude whether the treatment is effective. However, because the surrogate rarely predicts the true north perfectly, a regular A/B test based on surrogate metrics tends to have high false positive rate and the treatment variant deemed favorable from the test may not be the winning one. In this paper, we discuss how to adjust the A/B testing comparison to ensure experiment results are trustworthy. We also provide practical guidelines on the choice of good surrogate metrics. To provide a concrete example of how to leverage surrogate metrics for fast decision making, we present a case study on developing and evaluating the predicted confirmed hire surrogate metric in LinkedIn job marketplace.

stat.AP↗