arXiv subjects

Robert Tibshirani

Publications and source records attributed to Robert Tibshirani.

At least 55 records · Page 3Linked to original sources

arXiv2020

Assessment of Heterogeneous Treatment Effect Estimation Accuracy via Matching

We study the assessment of the accuracy of heterogeneous treatment effect (HTE) estimation, where the HTE is not directly observable so standard computation of prediction errors is not applicable. To tackle the difficulty, we propose an assessment approach by constructing pseudo-observations of the HTE based on matching. Our contributions are three-fold: first, we introduce a novel matching distance derived from proximity scores in random forests; second, we formulate the matching problem as an average minimum-cost flow problem and provide an efficient algorithm; third, we propose a match-then-split principle for the assessment with cross-validation. We demonstrate the efficacy of the assessment approach on synthetic data and data generated from a real dataset.

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arXiv2020

The importance of transparency and reproducibility in artificial intelligence research

In their study, McKinney et al. showed the high potential of artificial intelligence for breast cancer screening. However, the lack of detailed methods and computer code undermines its scientific value. We identify obstacles hindering transparent and reproducible AI research as faced by McKinney et al and provide solutions with implications for the broader field.

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arXiv2020

Reluctant generalized additive modeling

Sparse generalized additive models (GAMs) are an extension of sparse generalized linear models which allow a model's prediction to vary non-linearly with an input variable. This enables the data analyst build more accurate models, especially when the linearity assumption is known to be a poor approximation of reality. Motivated by reluctant interaction modeling (Yu et al. 2019), we propose a multi-stage algorithm, called $\textit{reluctant generalized additive modeling (RGAM)}$, that can fit sparse generalized additive models at scale. It is guided by the principle that, if all else is equal, one should prefer a linear feature over a non-linear feature. Unlike existing methods for sparse GAMs, RGAM can be extended easily to binary, count and survival data. We demonstrate the method's effectiveness on real and simulated examples.

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arXiv2019

On the Use of C-index for Stratified and Cross-Validated Cox Model

We develop a baseline-adjusted C-index to evaluate fitted Cox proportional hazard models. This metric is particularly useful in evaluating stratified Cox models, as well as model selection using cross validation. Our metric is able to compare all pairs of comparable individuals in strata or cross validation folds, as opposed to only pairs within the same stratum/folds. We demonstrate through simulations and real data applications that the baseline adjusted C-index is more stable and that it selects better model in high-dimensional $L^1$ penalized Cox regression.

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arXiv2019

Survival analysis as a classification problem

In this paper, we explore a method for treating survival analysis as a classification problem. The method uses a "stacking" idea that collects the features and outcomes of the survival data in a large data frame, and then treats it as a classification problem. In this framework, various statistical learning algorithms (including logistic regression, random forests, gradient boosting machines and neural networks) can be applied to estimate the parameters and make predictions. For stacking with logistic regression, we show that this approach is approximately equivalent to the Cox proportional hazards model with both theoretical analysis and simulation studies. For stacking with other machine learning algorithms, we show through simulation studies that our method can outperform Cox proportional hazards model in terms of estimated survival curves. This idea is not new, but we believe that it should be better known by statistiicians and other data scientists.

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arXiv2019

Spectral Overlap and a Comparison of Parameter-Free, Dimensionality Reduction Quality Metrics

Nonlinear dimensionality reduction methods are a popular tool for data scientists and researchers to visualize complex, high dimensional data. However, while these methods continue to improve and grow in number, it is often difficult to evaluate the quality of a visualization due to a variety of factors such as lack of information about the intrinsic dimension of the data and additional tuning required for many evaluation metrics. In this paper, we seek to provide a systematic comparison of dimensionality reduction quality metrics using datasets where we know the ground truth manifold. We utilize each metric for hyperparameter optimization in popular dimensionality reduction methods used for visualization and provide quantitative metrics to objectively compare visualizations to their original manifold. In our results, we find a few methods that appear to consistently do well and propose the best performer as a benchmark for evaluating dimensionality reduction based visualizations.

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arXiv2019

Main effects and interactions in mixed and incomplete data frames

A mixed data frame (MDF) is a table collecting categorical, numerical and count observations. The use of MDF is widespread in statistics and the applications are numerous from abundance data in ecology to recommender systems. In many cases, an MDF exhibits simultaneously main effects, such as row, column or group effects and interactions, for which a low-rank model has often been suggested. Although the literature on low-rank approximations is very substantial, with few exceptions, existing methods do not allow to incorporate main effects and interactions while providing statistical guarantees. The present work fills this gap. We propose an estimation method which allows to recover simultaneously the main effects and the interactions. We show that our method is near optimal under conditions which are met in our targeted applications. We also propose an optimization algorithm which provably converges to an optimal solution. Numerical experiments reveal that our method, mimi, performs well when the main effects are sparse and the interaction matrix has low-rank. We also show that mimi compares favorably to existing methods, in particular when the main effects are significantly large compared to the interactions, and when the proportion of missing entries is large. The method is available as an R package on the Comprehensive R Archive Network.

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arXiv2018

Principal component-guided sparse regression

We propose a new method for supervised learning, especially suited to wide data where the number of features is much greater than the number of observations. The method combines the lasso ($\ell_1$) sparsity penalty with a quadratic penalty that shrinks the coefficient vector toward the leading principal components of the feature matrix. We call the proposed method the "principal components lasso" ("pcLasso"). The method can be especially powerful if the features are pre-assigned to groups (such as cell-pathways, assays or protein interaction networks). In that case, pcLasso shrinks each group-wise component of the solution toward the leading principal components of that group. In the process, it also carries out selection of the feature groups. We provide some theory for this method and illustrate it on a number of simulated and real data examples.

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arXiv2018

A latent factor approach for prediction from multiple assays

In many domains such as healthcare or finance, data often come in different assays or measurement modalities, with features in each assay having a common theme. Simply concatenating these assays together and performing prediction can be effective but ignores this structure. In this setting, we propose a model which contains latent factors specific to each assay, as well as a common latent factor across assays. We frame our model-fitting procedure, which we call the "Sparse Factor Method" (SFM), as an optimization problem and present an iterative algorithm to solve it.

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arXiv2018

A comparison of methods for model selection when estimating individual treatment effects

Practitioners in medicine, business, political science, and other fields are increasingly aware that decisions should be personalized to each patient, customer, or voter. A given treatment (e.g. a drug or advertisement) should be administered only to those who will respond most positively, and certainly not to those who will be harmed by it. Individual-level treatment effects can be estimated with tools adapted from machine learning, but different models can yield contradictory estimates. Unlike risk prediction models, however, treatment effect models cannot be easily evaluated against each other using a held-out test set because the true treatment effect itself is never directly observed. Besides outcome prediction accuracy, several metrics that can leverage held-out data to evaluate treatment effects models have been proposed, but they are not widely used. We provide a didactic framework that elucidates the relationships between the different approaches and compare them all using a variety of simulations of both randomized and observational data. Our results show that researchers estimating heterogenous treatment effects need not limit themselves to a single model-fitting algorithm. Instead of relying on a single method, multiple models fit by a diverse set of algorithms should be evaluated against each other using an objective function learned from the validation set. The model minimizing that objective should be used for estimating the individual treatment effect for future individuals.

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arXiv2018

Post model-fitting exploration via a "Next-Door" analysis

We propose a simple method for evaluating the model that has been chosen by an adaptive regression procedure, our main focus being the lasso. This procedure deletes each chosen predictor and refits the lasso to get a set of models that are "close" to the one chosen, referred to as "base model". If the deletion of a predictor leads to significant deterioration in the model's predictive power, the predictor is called indispensable; otherwise, the nearby model is called acceptable and can serve as a good alternative to the base model. This provides both an assessment of the predictive contribution of each variable and a set of alternative models that may be used in place of the chosen model. In this paper, we will focus on the cross-validation (CV) setting and a model's predictive power is measured by its CV error, with base model tuned by cross-validation. We propose a method for comparing the error rates of the base model with that of nearby models, and a p-value for testing whether a predictor is dispensable. We also propose a new quantity called model score which works similarly as the p-value for the control of type I error. Our proposal is closely related to the LOCO (leave-one-covarate-out) methods of ([Rinaldo 2016 Bootstrapping]) and less so, to Stability Selection ([Meinshausen 2010 stability]). We call this procedure "Next-Door analysis" since it examines models close to the base model. It can be applied to Gaussian regression data, generalized linear models, and other supervised learning problems with $\ell_1$ penalization. It could also be applied to best subset and stepwise regression procedures. We have implemented it in the R language as a library to accompany the well-known {\tt glmnet} library.

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arXiv2018

A Pliable Lasso

We propose a generalization of the lasso that allows the model coefficients to vary as a function of a general set of modifying variables. These modifiers might be variables such as gender, age or time. The paradigm is quite general, with each lasso coefficient modified by a sparse linear function of the modifying variables $Z$. The model is estimated in a hierarchical fashion to control the degrees of freedom and avoid overfitting. The modifying variables may be observed, observed only in the training set, or unobserved overall. There are connections of our proposal to varying coefficient models and high-dimensional interaction models. We present a computationally efficient algorithm for its optimization, with exact screening rules to facilitate application to large numbers of predictors. The method is illustrated on a number of different simulated and real examples.

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arXiv2017

Synth-Validation: Selecting the Best Causal Inference Method for a Given Dataset

Many decisions in healthcare, business, and other policy domains are made without the support of rigorous evidence due to the cost and complexity of performing randomized experiments. Using observational data to answer causal questions is risky: subjects who receive different treatments also differ in other ways that affect outcomes. Many causal inference methods have been developed to mitigate these biases. However, there is no way to know which method might produce the best estimate of a treatment effect in a given study. In analogy to cross-validation, which estimates the prediction error of predictive models applied to a given dataset, we propose synth-validation, a procedure that estimates the estimation error of causal inference methods applied to a given dataset. In synth-validation, we use the observed data to estimate generative distributions with known treatment effects. We apply each causal inference method to datasets sampled from these distributions and compare the effect estimates with the known effects to estimate error. Using simulations, we show that using synth-validation to select a causal inference method for each study lowers the expected estimation error relative to consistently using any single method.

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arXiv2017

Log-ratio Lasso: Scalable, Sparse Estimation for Log-ratio Models

Positive-valued signal data is common in many biological and medical applications, where the data are often generated from imaging techniques such as mass spectrometry. In such a setting, the relative intensities of the raw features are often the scientifically meaningful quantities, so it is of interest to identify relevant features that take the form of log-ratios of the raw inputs. When including the log-ratios of all pairs of predictors, the dimensionality of this predictor space becomes large, so computationally efficient statistical procedures are required. We introduce an embedding of the log-ratio parameter space into a space of much lower dimension and develop efficient penalized fitting procedure using this more tractable representation. This procedure serves as the foundation for a two-step fitting procedure that combines a convex filtering step with a second non-convex pruning step to yield highly sparse solutions. On a cancer proteomics data set we find that these methods fit highly sparse models with log-ratio features of known biological relevance while greatly improving upon the predictive accuracy of less interpretable methods.

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arXiv2017

Uniform Asymptotic Inference and the Bootstrap After Model Selection

Recently, Tibshirani et al. (2016) proposed a method for making inferences about parameters defined by model selection, in a typical regression setting with normally distributed errors. Here, we study the large sample properties of this method, without assuming normality. We prove that the test statistic of Tibshirani et al. (2016) is asymptotically valid, as the number of samples n grows and the dimension d of the regression problem stays fixed. Our asymptotic result holds uniformly over a wide class of nonnormal error distributions. We also propose an efficient bootstrap version of this test that is provably (asymptotically) conservative, and in practice, often delivers shorter intervals than those from the original normality-based approach. Finally, we prove that the test statistic of Tibshirani et al. (2016) does not enjoy uniform validity in a high-dimensional setting, when the dimension d is allowed grow.

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arXiv2017

Extended Comparisons of Best Subset Selection, Forward Stepwise Selection, and the Lasso

In exciting new work, Bertsimas et al. (2016) showed that the classical best subset selection problem in regression modeling can be formulated as a mixed integer optimization (MIO) problem. Using recent advances in MIO algorithms, they demonstrated that best subset selection can now be solved at much larger problem sizes that what was thought possible in the statistics community. They presented empirical comparisons of best subset selection with other popular variable selection procedures, in particular, the lasso and forward stepwise selection. Surprisingly (to us), their simulations suggested that best subset selection consistently outperformed both methods in terms of prediction accuracy. Here we present an expanded set of simulations to shed more light on these comparisons. The summary is roughly as follows: (a) neither best subset selection nor the lasso uniformly dominate the other, with best subset selection generally performing better in high signal-to-noise (SNR) ratio regimes, and the lasso better in low SNR regimes; (b) best subset selection and forward stepwise perform quite similarly throughout; (c) the relaxed lasso (actually, a simplified version of the original relaxed estimator defined in Meinshausen, 2007) is the overall winner, performing just about as well as the lasso in low SNR scenarios, and as well as best subset selection in high SNR scenarios.

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arXiv2017

Some methods for heterogeneous treatment effect estimation in high-dimensions

When devising a course of treatment for a patient, doctors often have little quantitative evidence on which to base their decisions, beyond their medical education and published clinical trials. Stanford Health Care alone has millions of electronic medical records (EMRs) that are only just recently being leveraged to inform better treatment recommendations. These data present a unique challenge because they are high-dimensional and observational. Our goal is to make personalized treatment recommendations based on the outcomes for past patients similar to a new patient. We propose and analyze three methods for estimating heterogeneous treatment effects using observational data. Our methods perform well in simulations using a wide variety of treatment effect functions, and we present results of applying the two most promising methods to data from The SPRINT Data Analysis Challenge, from a large randomized trial of a treatment for high blood pressure.

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