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Martin T. Wells

Publications and source records attributed to Martin T. Wells.

At least 37 records · Page 2Linked to original sources

BLOG: Bayesian Longitudinal Omics with Group Constraints

Clinical investigators are increasingly interested in discovering computational biomarkers from short-term longitudinal omics data sets. This work focuses on Bayesian regression and variable selection for longitudinal omics datasets, which can quantify uncertainty and control false discovery. In our univariate approach, Zellner's $g$ prior is used with two different options of the tuning parameter $g$: $g=\sqrt{n}$ and a $g$ that minimizes Stein's unbiased risk estimate (SURE). Bayes Factors were used to quantify uncertainty and control for false discovery. In the multivariate approach, we use Bayesian Group LASSO with a spike and slab prior for group variable selection. In both approaches, we use the first difference ($Δ$) scale of longitudinal predictor and the response. These methods work together to enhance our understanding of biomarker identification, improving inference and prediction. We compare our method against commonly used linear mixed effect models on simulated data and real data from a Tuberculosis (TB) study on metabolite biomarker selection. With an automated selection of hyperparameters, the Zellner's $g$ prior approach correctly identifies target metabolites with high specificity and sensitivity across various simulation and real data scenarios. The Multivariate Bayesian Group Lasso spike and slab approach also correctly selects target metabolites across various simulation scenarios.

stat.ME↗

Constructing Bayes Minimax Estimators through Integral Transformations

The problem of Bayes minimax estimation for the mean of a multivariate normal distribution under quadratic loss has attracted significant attention recently. These estimators have the advantageous property of being admissible, similar to Bayes procedures, while also providing the conservative risk guarantees typical of frequentist methods. This paper demonstrates that Bayes minimax estimators can be derived using integral transformation techniques, specifically through the \( I \)-transform and the Laplace transform, as long as appropriate spherical priors are selected. Several illustrative examples are included to highlight the effectiveness of the proposed approach.

math.ST↗

Enhancing the Tensor Normal via Geometrically Parameterized Cholesky Factors

In this article, we explore Bayesian extensions of the tensor normal model through a geometric expansion of the multi-way covariance's Cholesky factor inspired by the Fréchet mean under the log-Cholesky metric. Specifically, within a tensor normal framework, we identify three structural components in the covariance of the vectorized data. By parameterizing vector normal covariances through such a Cholesky factor representation, analogous to a finite average of multiway Cholesky factors, we eliminate one of these structural components without compromising the analytical tractability of the likelihood, in which the multiway covariance is a special case. Furthermore, we demonstrate that a specific class of structured Cholesky factors can be precisely represented under this parameterization, serving as an analogue to the Pitsianis-Van Loan decomposition. We apply this model using Hamiltonian Monte Carlo in a fixed-mean setting for two-way covariance relevancy detection of components, where efficient analytical gradient updates are available, as well as in a seasonally-varying covariance process regime.

stat.ME↗

Generative Models, Humans, Predictive Models: Who Is Worse at High-Stakes Decision Making?

Despite strong advisory against it, large generative models (LMs) are already being used for decision making tasks that were previously done by predictive models or humans. We put popular LMs to the test in a high-stakes decision making task: recidivism prediction. Studying three closed-access and open-source LMs, we analyze the LMs not exclusively in terms of accuracy, but also in terms of agreement with (imperfect, noisy, and sometimes biased) human predictions or existing predictive models. We conduct experiments that assess how providing different types of information, including distractor information such as photos, can influence LM decisions. We also stress test techniques designed to either increase accuracy or mitigate bias in LMs, and find that some to have unintended consequences on LM decisions. Our results provide additional quantitative evidence to the wisdom that current LMs are not the right tools for these types of tasks.

cs.AI↗

Supervised Similarity for High-Yield Corporate Bonds with Quantum Cognition Machine Learning

We investigate the application of quantum cognition machine learning (QCML), a novel paradigm for both supervised and unsupervised learning tasks rooted in the mathematical formalism of quantum theory, to distance metric learning in corporate bond markets. Compared to equities, corporate bonds are relatively illiquid and both trade and quote data in these securities are relatively sparse. Thus, a measure of distance/similarity among corporate bonds is particularly useful for a variety of practical applications in the trading of illiquid bonds, including the identification of similar tradable alternatives, pricing securities with relatively few recent quotes or trades, and explaining the predictions and performance of ML models based on their training data. Previous research has explored supervised similarity learning based on classical tree-based models in this context; here, we explore the application of the QCML paradigm for supervised distance metric learning in the same context, showing that it outperforms classical tree-based models in high-yield (HY) markets, while giving comparable or better performance (depending on the evaluation metric) in investment grade (IG) markets.

q-fin.ST↗

COMBO and COMMA: R packages for regression modeling and inference in the presence of misclassified binary mediator or outcome variables

Misclassified binary outcome or mediator variables can cause unpredictable bias in resulting parameter estimates. As more datasets that were not originally collected for research purposes are being used for studies in the social and health sciences, the need for methods that address data quality concerns is growing. In this paper, we describe two R packages, COMBO and COMMA, that implement bias-correction methods for misclassified binary outcome and mediator variables, respectively. These likelihood-based approaches do not require gold standard measures and allow for estimation of sensitivity and specificity rates for the misclassified variable(s). In addition, these R packages automatically apply crucial label switching corrections, allowing researchers to circumvent the inherent permutation invariance of the misclassification model likelihood. We demonstrate COMBO for single-outcome cases using a study of bar exam passage. We develop and evaluate a risk prediction model based on noisy indicators in a pretrial risk assessment study to demonstrate COMBO for multi-outcome cases. In addition, we use COMMA to evaluate the mediating effect of potentially misdiagnosed gestational hypertension on the maternal ethnicity-birthweight relationship.

stat.CO↗

Separable Geodesic Lagrangian Monte Carlo for Inference in 2-Way Covariance Models

Matrix normal models have an associated 4-tensor for their covariance representation. The covariance array associated with a matrix normal model is naturally represented as a Kronecker-product structured covariance associated with the vector normal, also known as separable covariance matrices. Separable covariance matrices have been studied extensively in the context of multiway data, but little work has been done within the scope of MCMC beyond Gibbs sampling. This paper aims to fill this gap by considering the pullback geometry induced from the Kronecker structure of the parameter space to develop a geodesic Hamiltonian Monte Carlo sampler.

stat.CO↗

Geodesic Variational Bayes for Multiway Covariances

This article explores the optimization of variational approximations for posterior covariances of Gaussian multiway arrays. To achieve this, we establish a natural differential geometric optimization framework on the space using the pullback of the affine-invariant metric. In the case of a truly separable covariance, we demonstrate a joint approximation in the multiway space outperforms a mean-field approximation in optimization efficiency and provides a superior approximation to an unstructured Inverse-Wishart posterior under the average Mahalanobis distance of the data while maintaining a multiway interpretation. We moreover establish efficient expressions for the Euclidean and Riemannian gradients in both cases of the joint and mean-field approximation. We end with an analysis of commodity trade data.

stat.CO↗

Robust estimation of the intrinsic dimension of data sets with quantum cognition machine learning

We propose a new data representation method based on Quantum Cognition Machine Learning and apply it to manifold learning, specifically to the estimation of intrinsic dimension of data sets. The idea is to learn a representation of each data point as a quantum state, encoding both local properties of the point as well as its relation with the entire data. Inspired by ideas from quantum geometry, we then construct from the quantum states a point cloud equipped with a quantum metric. The metric exhibits a spectral gap whose location corresponds to the intrinsic dimension of the data. The proposed estimator is based on the detection of this spectral gap. When tested on synthetic manifold benchmarks, our estimates are shown to be robust with respect to the introduction of point-wise Gaussian noise. This is in contrast to current state-of-the-art estimators, which tend to attribute artificial ``shadow dimensions'' to noise artifacts, leading to overestimates. This is a significant advantage when dealing with real data sets, which are inevitably affected by unknown levels of noise. We show the applicability and robustness of our method on real data, by testing it on the ISOMAP face database, MNIST, and the Wisconsin Breast Cancer Dataset.

stat.ML↗

Bellwether Trades: Characteristics of Trades influential in Predicting Future Price Movements in Markets

In this study, we leverage powerful non-linear machine learning methods to identify the characteristics of trades that contain valuable information. First, we demonstrate the effectiveness of our optimized neural network predictor in accurately predicting future market movements. Then, we utilize the information from this successful neural network predictor to pinpoint the individual trades within each data point (trading window) that had the most impact on the optimized neural network's prediction of future price movements. This approach helps us uncover important insights about the heterogeneity in information content provided by trades of different sizes, venues, trading contexts, and over time.

q-fin.TR↗

Estimand-based Inference in Presence of Long-Term Survivors

In this article, we develop nonparametric inference methods for comparing survival data across two samples, which are beneficial for clinical trials of novel cancer therapies where long-term survival is a critical outcome. These therapies, including immunotherapies or other advanced treatments, aim to establish durable effects. They often exhibit distinct survival patterns such as crossing or delayed separation and potentially leveling-off at the tails of survival curves, clearly violating the proportional hazards assumption and rendering the hazard ratio inappropriate for measuring treatment effects. The proposed methodology utilizes the mixture cure framework to separately analyze the cure rates of long-term survivors and the survival functions of susceptible individuals. We evaluate a nonparametric estimator for the susceptible survival function in the one-sample setting. Under sufficient follow-up, it is expressed as a location-scale-shift variant of the Kaplan-Meier (KM) estimator. It retains several desirable features of the KM estimator, including inverse-probability-censoring weighting, product-limit estimation, self-consistency, and nonparametric efficiency. In scenarios of insufficient follow-up, it can easily be adapted by incorporating a suitable cure rate estimator. In the two-sample setting, besides using the difference in cure rates to measure the long-term effect, we propose a graphical estimand to compare the relative treatment effects on susceptible subgroups. This process, inspired by Kendall's tau, compares the order of survival times among susceptible individuals. The proposed methods' large-sample properties are derived for further inference, and the finite-sample properties are examined through extensive simulation studies. The proposed methodology is applied to analyze the digitized data from the CheckMate 067 immunotherapy clinical trial.

stat.ME↗

Effect estimation in the presence of a misclassified binary mediator

Mediation analyses allow researchers to quantify the effect of an exposure variable on an outcome variable through a mediator variable. If a binary mediator variable is misclassified, the resulting analysis can be severely biased. Misclassification is especially difficult to deal with when it is differential and when there are no gold standard labels available. Previous work has addressed this problem using a sensitivity analysis framework or by assuming that misclassification rates are known. We leverage a variable related to the misclassification mechanism to recover unbiased parameter estimates without using gold standard labels. The proposed methods require the reasonable assumption that the sum of the sensitivity and specificity is greater than 1. Three correction methods are presented: (1) an ordinary least squares correction for Normal outcome models, (2) a multi-step predictive value weighting method, and (3) a seamless expectation-maximization algorithm. We apply our misclassification correction strategies to investigate the mediating role of gestational hypertension on the association between maternal age and pre-term birth.

stat.ME↗

An assessment of racial disparities in pretrial decision-making using misclassification models

Pretrial risk assessment tools are used in jurisdictions across the country to assess the likelihood of "pretrial failure," the event where defendants either fail to appear for court or reoffend. Judicial officers, in turn, use these assessments to determine whether to release or detain defendants during trial. While algorithmic risk assessment tools were designed to predict pretrial failure with greater accuracy relative to judges, there is still concern that both risk assessment recommendations and pretrial decisions are biased against minority groups. In this paper, we develop methods to investigate the association between risk factors and pretrial failure, while simultaneously estimating misclassification rates of pretrial risk assessments and of judicial decisions as a function of defendant race. This approach adds to a growing literature that makes use of outcome misclassification methods to answer questions about fairness in pretrial decision-making. We give a detailed simulation study for our proposed methodology and apply these methods to data from the Virginia Department of Criminal Justice Services. We estimate that the VPRAI algorithm has near-perfect specificity, but its sensitivity differs by defendant race. Judicial decisions also display evidence of bias; we estimate wrongful detention rates of 39.7% and 51.4% among white and Black defendants, respectively.

stat.AP↗

Statistical inference for association studies in the presence of binary outcome misclassification

In biomedical and public health association studies, binary outcome variables may be subject to misclassification, resulting in substantial bias in effect estimates. The feasibility of addressing binary outcome misclassification in regression models is often hindered by model identifiability issues. In this paper, we characterize the identifiability problems in this class of models as a specific case of ''label switching'' and leverage a pattern in the resulting parameter estimates to solve the permutation invariance of the complete data log-likelihood. Our proposed algorithm in binary outcome misclassification models does not require gold standard labels and relies only on the assumption that the sum of the sensitivity and specificity exceeds 1. A label switching correction is applied within estimation methods to recover unbiased effect estimates and to estimate misclassification rates. Open source software is provided to implement the proposed methods. We give a detailed simulation study for our proposed methodology and apply these methods to data from the 2020 Medical Expenditure Panel Survey (MEPS).

stat.ME↗

Sparse reconstruction of ordinary differential equations with inference

Sparse regression has emerged as a popular technique for learning dynamical systems from temporal data, beginning with the SINDy (Sparse Identification of Nonlinear Dynamics) framework proposed by arXiv:1509.03580. Quantifying the uncertainty inherent in differential equations learned from data remains an open problem, thus we propose leveraging recent advances in statistical inference for sparse regression to address this issue. Focusing on systems of ordinary differential equations (ODEs), SINDy assumes that each equation is a parsimonious linear combination of a few candidate functions, such as polynomials, and uses methods such as sequentially-thresholded least squares or the Lasso to identify a small subset of these functions that govern the system's dynamics. We instead employ bias-corrected versions of the Lasso and ridge regression estimators, as well as an empirical Bayes variable selection technique known as SEMMS, to estimate each ODE as a linear combination of terms that are statistically significant. We demonstrate through simulations that this approach allows us to recover the functional terms that correctly describe the dynamics more often than existing methods that do not account for uncertainty.

stat.ME↗

Kendall's Tau for Two-Sample Inference Problems

We consider a Kendall's tau measure between a binary group indicator and the continuous variable under investigation to develop a thorough two-sample comparison procedure. The measure serves as a useful alternative to the hazard ratio whose applicability depends on the proportional hazards assumption. For right censored data, we propose a weighted log-rank statistic with weights adapted to the censoring distributions and develop theoretical properties of the derived estimators. In absence of censoring, the proposed estimator reduces to the WMW statistic. The proposed methodology is applied to analyze several data examples.

stat.ME↗

K-ARMA Models for Clustering Time Series Data

We present an approach to clustering time series data using a model-based generalization of the K-Means algorithm which we call K-Models. We prove the convergence of this general algorithm and relate it to the hard-EM algorithm for mixture modeling. We then apply our method first with an AR($p$) clustering example and show how the clustering algorithm can be made robust to outliers using a least-absolute deviations criteria. We then build our clustering algorithm up for ARMA($p,q$) models and extend this to ARIMA($p,d,q$) models. We develop a goodness of fit statistic for the models fitted to clusters based on the Ljung-Box statistic. We perform experiments with simulated data to show how the algorithm can be used for outlier detection, detecting distributional drift, and discuss the impact of initialization method on empty clusters. We also perform experiments on real data which show that our method is competitive with other existing methods for similar time series clustering tasks.

stat.ME↗

Interpretable Latent Variables in Deep State Space Models

We introduce a new version of deep state-space models (DSSMs) that combines a recurrent neural network with a state-space framework to forecast time series data. The model estimates the observed series as functions of latent variables that evolve non-linearly through time. Due to the complexity and non-linearity inherent in DSSMs, previous works on DSSMs typically produced latent variables that are very difficult to interpret. Our paper focus on producing interpretable latent parameters with two key modifications. First, we simplify the predictive decoder by restricting the response variables to be a linear transformation of the latent variables plus some noise. Second, we utilize shrinkage priors on the latent variables to reduce redundancy and improve robustness. These changes make the latent variables much easier to understand and allow us to interpret the resulting latent variables as random effects in a linear mixed model. We show through two public benchmark datasets the resulting model improves forecasting performances.

stat.ML↗