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Vincent Rivoirard

Publications and source records attributed to Vincent Rivoirard.

36 records · Page 2Linked to original sources

Nonparametric Bayesian estimation of multivariate Hawkes processes

This paper studies nonparametric estimation of parameters of multivariate Hawkes processes. We consider the Bayesian setting and derive posterior concentration rates. First rates are derived for L1-metrics for stochastic intensities of the Hawkes process. We then deduce rates for the L1-norm of interactions functions of the process. Our results are exemplified by using priors based on piecewise constant functions, with regular or random partitions and priors based on mixtures of Betas distributions. Numerical illustrations are then proposed with in mind applications for inferring functional connec-tivity graphs of neurons.

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A data-dependent weighted LASSO under Poisson noise

Sparse linear inverse problems appear in a variety of settings, but often the noise contaminating observations cannot accurately be described as bounded by or arising from a Gaussian distribution. Poisson observations in particular are a feature of several real-world applications. Previous work on sparse Poisson inverse problems encountered several limiting technical hurdles. This paper describes a novel alternative analysis approach for sparse Poisson inverse problems that (a) sidesteps the technical challenges in previous work, (b) admits estimators that can readily be computed using off-the-shelf LASSO algorithms, and (c) hints at a general framework for broad classes of noise in sparse linear inverse problems. At the heart of this new approach lies a weighted LASSO estimator for which data-dependent weights are based on Poisson concentration inequalities. Unlike previous analyses of the weighted LASSO, the proposed analysis depends on conditions which can be checked or shown to hold in general settings with high probability.

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Estimator selection: a new method with applications to kernel density estimation

Estimator selection has become a crucial issue in non parametric estimation. Two widely used methods are penalized empirical risk minimization (such as penalized log-likelihood estimation) or pairwise comparison (such as Lepski's method). Our aim in this paper is twofold. First we explain some general ideas about the calibration issue of estimator selection methods. We review some known results, putting the emphasis on the concept of minimal penalty which is helpful to design data-driven selection criteria. Secondly we present a new method for bandwidth selection within the framework of kernel density density estimation which is in some sense intermediate between these two main methods mentioned above. We provide some theoretical results which lead to some fully data-driven selection strategy.

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Adaptive wavelet multivariate regression with errors in variables

In the multidimensional setting, we consider the errors-in-variables model. We aim at estimating the unknown nonparametric multivariate regression function with errors in the covariates. We devise an adaptive estimator based on projection kernels on wavelets and a deconvolution operator. We propose an automatic and fully data driven procedure to select the wavelet level resolution. We obtain an oracle inequality and optimal rates of convergence over anisotropic H{ö}lder classes. Our theoretical results are illustrated by some simulations.

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Lasso and probabilistic inequalities for multivariate point processes

Due to its low computational cost, Lasso is an attractive regularization method for high-dimensional statistical settings. In this paper, we consider multivariate counting processes depending on an unknown function parameter to be estimated by linear combinations of a fixed dictionary. To select coefficients, we propose an adaptive $\ell_1$-penalization methodology, where data-driven weights of the penalty are derived from new Bernstein type inequalities for martingales. Oracle inequalities are established under assumptions on the Gram matrix of the dictionary. Nonasymptotic probabilistic results for multivariate Hawkes processes are proven, which allows us to check these assumptions by considering general dictionaries based on histograms, Fourier or wavelet bases. Motivated by problems of neuronal activity inference, we finally carry out a simulation study for multivariate Hawkes processes and compare our methodology with the adaptive Lasso procedure proposed by Zou in (J. Amer. Statist. Assoc. 101 (2006) 1418-1429). We observe an excellent behavior of our procedure. We rely on theoretical aspects for the essential question of tuning our methodology. Unlike adaptive Lasso of (J. Amer. Statist. Assoc. 101 (2006) 1418-1429), our tuning procedure is proven to be robust with respect to all the parameters of the problem, revealing its potential for concrete purposes, in particular in neuroscience.

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Adaptive pointwise estimation of conditional density function

In this paper we consider the problem of estimating $f$, the conditional density of $Y$ given $X$, by using an independent sample distributed as $(X,Y)$ in the multivariate setting. We consider the estimation of $f(x,.)$ where $x$ is a fixed point. We define two different procedures of estimation, the first one using kernel rules, the second one inspired from projection methods. Both adapted estimators are tuned by using the Goldenshluger and Lepski methodology. After deriving lower bounds, we show that these procedures satisfy oracle inequalities and are optimal from the minimax point of view on anisotropic H{ö}lder balls. Furthermore, our results allow us to measure precisely the influence of $\mathrm{f}\_X(x)$ on rates of convergence, where $\mathrm{f}\_X$ is the density of $X$. Finally, some simulations illustrate the good behavior of our tuned estimates in practice.

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Posterior concentration rates for counting processes with Aalen multiplicative intensities

We provide general conditions to derive posterior concentration rates for Aalen counting processes. The conditions are designed to resemble those proposed in the literature for the problem of density estimation, for instance in Ghosal et al. (2000), so that existing results on density estimation can be adapted to the present setting. We apply the general theorem to some prior models including Dirichlet process mixtures of uniform densities to estimate monotone non-increasing intensities and log-splines.

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Posterior concentration rates for empirical Bayes procedures, with applications to Dirichlet Process mixtures

In this paper we provide general conditions to check on the model and the prior to derive posterior concentration rates for data-dependent priors (or empirical Bayes approaches). We aim at providing conditions that are close to the conditions provided in the seminal paper by Ghosal and van der Vaart (2007a). We then apply the general theorem to two different settings: the estimation of a density using Dirichlet process mixtures of Gaussian random variables with base measure depending on some empirical quantities and the estimation of the intensity of a counting process under the Aalen model. A simulation study for inhomogeneous Poisson processes also illustrates our results. In the former case we also derive some results on the estimation of the mixing density and on the deconvolution problem. In the latter, we provide a general theorem on posterior concentration rates for counting processes with Aalen multiplicative intensity with priors not depending on the data.

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Lasso-type estimators for Semiparametric Nonlinear Mixed-Effects Models Estimation

Parametric nonlinear mixed effects models (NLMEs) are now widely used in biometrical studies, especially in pharmacokinetics research and HIV dynamics models, due to, among other aspects, the computational advances achieved during the last years. However, this kind of models may not be flexible enough for complex longitudinal data analysis. Semiparametric NLMEs (SNMMs) have been proposed by Ke and Wang (2001). These models are a good compromise and retain nice features of both parametric and nonparametric models resulting in more flexible models than standard parametric NLMEs. However, SNMMs are complex models for which estimation still remains a challenge. The estimation procedure proposed by Ke and Wang (2001) is based on a combination of log-likelihood approximation methods for parametric estimation and smoothing splines techniques for nonparametric estimation. In this work, we propose new estimation strategies in SNMMs. On the one hand, we use the Stochastic Approximation version of EM algorithm (Delyon et al., 1999) to obtain exact ML and REML estimates of the fixed effects and variance components. On the other hand, we propose a LASSO-type method to estimate the unknown nonlinear function. We derive oracle inequalities for this nonparametric estimator. We combine the two approaches in a general estimation procedure that we illustrate with simulated and real data.

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Nonparametric estimation of the division rate of a size-structured population

We consider the problem of estimating the division rate of a size-structured population in a nonparametric setting. The size of the system evolves according to a transport-fragmentation equation: each individual grows with a given transport rate, and splits into two offsprings of the same size, following a binary fragmentation process with unknown division rate that depends on its size. In contrast to a deterministic inverse problem approach, as in (Perthame, Zubelli, 2007) and (Doumic, Perthame, Zubelli, 2009), we take in this paper the perspective of statistical inference: our data consists in a large sample of the size of individuals, when the evolution of the system is close to its time-asymptotic behavior, so that it can be related to the eigenproblem of the considered transport-fragmentation equation (see \cite{PR} for instance). By estimating statistically each term of the eigenvalue problem and by suitably inverting a certain linear operator (see previously quoted articles), we are able to construct a more realistic estimator of the division rate that achieves the same optimal error bound as in related deterministic inverse problems. Our procedure relies on kernel methods with automatic bandwidth selection. It is inspired by model selection and recent results of Goldenschluger and Lepski.

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Bernstein Von Mises Theorem for linear functionals of the density

In this paper, we study the asymptotic posterior distribution of linear functionals of the density. In particular, we give general conditions to obtain a semiparametric version of the Bernstein-Von Mises theorem. We then apply this general result to nonparametric priors based on infinite dimensional exponential families. As a byproduct, we also derive adaptive nonparametric rates of concentration of the posterior distributions under these families of priors on the class of Sobolev and Besov spaces.

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Adaptive density estimation: a curse of support?

This paper deals with the classical problem of density estimation on the real line. Most of the existing papers devoted to minimax properties assume that the support of the underlying density is bounded and known. But this assumption may be very difficult to handle in practice. In this work, we show that, exactly as a curse of dimensionality exists when the data lie in $\R^d$, there exists a curse of support as well when the support of the density is infinite. As for the dimensionality problem where the rates of convergence deteriorate when the dimension grows, the minimax rates of convergence may deteriorate as well when the support becomes infinite. This problem is not purely theoretical since the simulations show that the support-dependent methods are really affected in practice by the size of the density support, or by the weight of the density tail. We propose a method based on a biorthogonal wavelet thresholding rule that is adaptive with respect to the nature of the support and the regularity of the signal, but that is also robust in practice to this curse of support. The threshold, that is proposed here, is very accurately calibrated so that the gap between optimal theoretical and practical tuning parameters is almost filled.

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Adaptive Dantzig density estimation

This paper deals with the problem of density estimation. We aim at building an estimate of an unknown density as a linear combination of functions of a dictionary. Inspired by Candès and Tao's approach, we propose an $\ell_1$-minimization under an adaptive Dantzig constraint coming from sharp concentration inequalities. This allows to consider a wide class of dictionaries. Under local or global coherence assumptions, oracle inequalities are derived. These theoretical results are also proved to be valid for the natural Lasso estimate associated with our Dantzig procedure. Then, the issue of calibrating these procedures is studied from both theoretical and practical points of view. Finally, a numerical study shows the significant improvement obtained by our procedures when compared with other classical procedures.

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Calibration of thresholding rules for Poisson intensity estimation

In this paper, we deal with the problem of calibrating thresholding rules in the setting of Poisson intensity estimation. By using sharp concentration inequalities, oracle inequalities are derived and we establish the optimality of our estimate up to a logarithmic term. This result is proved under mild assumptions and we do not impose any condition on the support of the signal to be estimated. Our procedure is based on data-driven thresholds. As usual, they depend on a threshold parameter $γ$ whose optimal value is hard to estimate from the data. Our main concern is to provide some theoretical and numerical results to handle this issue. In particular, we establish the existence of a minimal threshold parameter from the theoretical point of view: taking $γ<1$ deteriorates oracle performances of our procedure. In the same spirit, we establish the existence of a maximal threshold parameter and our theoretical results point out the optimal range $γ\in[1,12]$. Then, we lead a numerical study that shows that choosing $γ$ larger than 1 but close to 1 is a fairly good choice. Finally, we compare our procedure with classical ones revealing the harmful role of the support of functions when estimated by classical procedures.

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Maxisets for Model Selection

We address the statistical issue of determining the maximal spaces (maxisets) where model selection procedures attain a given rate of convergence. By considering first general dictionaries, then orthonormal bases, we characterize these maxisets in terms of approximation spaces. These results are illustrated by classical choices of wavelet model collections. For each of them, the maxisets are described in terms of functional spaces. We take a special care of the issue of calculability and measure the induced loss of performance in terms of maxisets.

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Near optimal thresholding estimation of a Poisson intensity on the real line

The purpose of this paper is to estimate the intensity of a Poisson process $N$ by using thresholding rules. In this paper, the intensity, defined as the derivative of the mean measure of $N$ with respect to $ndx$ where $n$ is a fixed parameter, is assumed to be non-compactly supported. The estimator $\tilde{f}_{n,γ}$ based on random thresholds is proved to achieve the same performance as the oracle estimator up to a possible logarithmic term. Then, minimax properties of $\tilde{f}_{n,γ}$ on Besov spaces ${\cal B}^{\ensuremath α}_{p,q}$ are established. Under mild assumptions, we prove that $$\sup_{f\in B^{\ensuremath α}_{p,q}\cap \ensuremath \mathbb {L}_{\infty}} \ensuremath \mathbb {E}(\ensuremath | | \tilde{f}_{n,γ}-f| |_2^2)\leq C(\frac{\log n}{n})^{\frac{\ensuremath α}{\ensuremath α+{1/2}+({1/2}-\frac{1}{p})_+}}$$ and the lower bound of the minimax risk for ${\cal B}^{\ensuremath α}_{p,q}\cap \ensuremath \mathbb {L}_{\infty}$ coincides with the previous upper bound up to the logarithmic term. This new result has two consequences. First, it establishes that the minimax rate of Besov spaces ${\cal B}^{\ensuremath α}_{p,q}$ with $p\leq 2$ when non compactly supported functions are considered is the same as for compactly supported functions up to a logarithmic term. When $p>2$, the rate exponent, which depends on $p$, deteriorates when $p$ increases, which means that the support plays a harmful role in this case. Furthermore, $\tilde{f}_{n,γ}$ is adaptive minimax up to a logarithmic term.

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Adaptive thresholding estimation of a Poisson intensity with infinite support

The purpose of this paper is to estimate the intensity of a Poisson process $N$ by using thresholding rules. In this paper, the intensity, defined as the derivative of the mean measure of $N$ with respect to $ndx$ where $n$ is a fixed parameter, is assumed to be non-compactly supported. The estimator $\tilde{f}_{n,γ}$ based on random thresholds is proved to achieve the same performance as the oracle estimator up to a logarithmic term. Oracle inequalities allow to derive the maxiset of $\tilde{f}_{n,γ}$. Then, minimax properties of $\tilde{f}_{n,γ}$ are established. We first prove that the rate of this estimator on Besov spaces ${\cal B}^\al_{p,q}$ when $p\leq 2$ is $(\ln(n)/n)^{\al/(1+2\al)}$. This result has two consequences. First, it establishes that the minimax rate of Besov spaces ${\cal B}^\al_{p,q}$ with $p\leq 2$ when non compactly supported functions are considered is the same as for compactly supported functions up to a logarithmic term. This result is new. Furthermore, $\tilde{f}_{n,γ}$ is adaptive minimax up to a logarithmic term. When $p>2$, the situation changes dramatically and the rate of $\tilde{f}_{n,γ}$ on Besov spaces ${\cal B}^\al_{p,q}$ is worse than $(\ln(n)/n)^{\al/(1+2\al)}$. Finally, the random threshold depends on a parameter $γ$ that has to be suitably chosen in practice. Some theoretical results provide upper and lower bounds of $γ$ to obtain satisfying oracle inequalities. Simulations reinforce these results.

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Maxiset in sup-norm for kernel estimators

In the Gaussian white noise model, we study the estimation of an unknown multidimensional function $f$ in the uniform norm by using kernel methods. The performances of procedures are measured by using the maxiset point of view: we determine the set of functions which are well estimated (at a prescribed rate) by each procedure. So, in this paper, we determine the maxisets associated to kernel estimators and to the Lepski procedure for the rate of convergence of the form $(\log n/n)^{\be/(2\be+d)}$. We characterize the maxisets in terms of Besov and Hölder spaces of regularity $β$.

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