Related papers: Shrinkage Estimators in Online Experiments

Many interventions, such as vaccines in clinical trials or coupons in online marketplaces, must be assigned sequentially without full knowledge of their effects. Multi-armed bandit algorithms have proven successful in such settings.…

A novel data-driven methodology is presented for the joint selection of prior parameters for both fixed and random effects in Linear Mixed Models (LMMs). This approach facilitates the estimation of complex random-effects structures, as well…

Shrinkage estimators of covariance are an important tool in modern applied and theoretical statistics. They play a key role in regularized estimation problems, such as ridge regression (aka Tykhonov regularization), regularized discriminant…

Empirical Bayes small area estimation based on the well-known Fay-Herriot model may produce unreliable estimates when outlying areas exist. Existing robust methods against outliers or model misspecification are generally inefficient when…

This paper is in the field of stochastic Multi-Armed Bandits (MABs), i.e. those sequential selection techniques able to learn online using only the feedback given by the chosen option (a.k.a. $arm$). We study a particular case of the rested…

We study optimal variance reduction solutions for count and ratio metrics in online controlled experiments. Our methods leverage flexible machine learning tools to incorporate covariates that are independent from the treatment but have…

With the rapid development of data collection and aggregation technologies in many scientific disciplines, it is becoming increasingly ubiquitous to conduct large-scale or online regression to analyze real-world data and unveil real-world…

Multi-group covariance estimation for matrix-variate data with small within group sample sizes is a key part of many data analysis tasks in modern applications. To obtain accurate group-specific covariance estimates, shrinkage estimation…

The goal of mediation analysis is to study the effect of exposure on an outcome interceded by a mediator. Two simple hypotheses are tested: the effect of the exposure on the mediator, and the effect of the mediator on the outcome. When…

We present large sample results for partitioning-based least squares nonparametric regression, a popular method for approximating conditional expectation functions in statistics, econometrics, and machine learning. First, we obtain a…

This paper introduces a novel Bayesian approach for variable selection in high-dimensional and potentially sparse regression settings. Our method replaces the indicator variables in the traditional spike and slab prior with continuous,…

This paper introduces a flexible regularization approach that reduces point estimation risk of group means stemming from e.g. categorical regressors, (quasi-)experimental data or panel data models. The loss function is penalized by adding…

We study methods for simultaneous analysis of many noisy experiments in the presence of rich covariate information. The goal of the analyst is to optimally estimate the true effect underlying each experiment. Both the noisy experimental…

We investigate the extent to which offline demonstration data can improve online learning. It is natural to expect some improvement, but the question is how, and by how much? We show that the degree of improvement must depend on the quality…

We address a classical problem in statistics: adding two-way interaction terms to a regression model. As the covariate dimension increases quadratically, we develop an estimator that adapts well to this increase, while providing accurate…

Recovering a low-rank signal matrix from its noisy observation, commonly known as matrix denoising, is a fundamental inverse problem in statistical signal processing. Matrix denoising methods are generally based on shrinkage or thresholding…

Stein operators allow to characterise probability distributions via differential operators. Based on these characterisations, we develop a new method of point estimation for marginal parameters of strictly stationary and ergodic processes,…

Shrinkage estimation in a meta-analysis framework may be used to facilitate dynamical borrowing of information. This framework might be used to analyze a new study in the light of previous data, which might differ in their design (e.g., a…

While shrinkage is essential in high-dimensional settings, its use for low-dimensional regression-based prediction has been debated. It reduces variance, often leading to improved prediction accuracy. However, it also inevitably introduces…

A/B tests serve the purpose of reliably identifying the effect of changes introduced in online services. It is common for online platforms to run a large number of simultaneous experiments by splitting incoming user traffic randomly in…