Related papers: On Misspecification in Prediction Problems and Rob…
Which classes can be learned properly in the online model? -- that is, by an algorithm that at each round uses a predictor from the concept class. While there are simple and natural cases where improper learning is necessary, it is natural…
We study a linear statistical model where outcomes depend on regressors with fixed population coefficients and observation-specific latent coefficients, along with measurement errors. A decision-maker estimates population coefficients and…
Having access to a forward model enables the use of planning algorithms such as Monte Carlo Tree Search and Rolling Horizon Evolution. Where a model is unavailable, a natural aim is to learn a model that reflects accurately the dynamics of…
Empirical research typically involves a robustness-efficiency tradeoff. A researcher seeking to estimate a scalar parameter can invoke strong assumptions to motivate a restricted estimator that is precise but may be heavily biased, or they…
Compounding error, where small prediction mistakes accumulate over time, presents a major challenge in learning-based control. For example, this issue often limits the performance of model-based reinforcement learning and imitation…
In statistical inference, it is rarely realistic that the hypothesized statistical model is well-specified, and consequently it is important to understand the effects of misspecification on inferential procedures. When the hypothesized…
We study fast rates of convergence in the setting of nonparametric online regression, namely where regret is defined with respect to an arbitrary function class which has bounded complexity. Our contributions are two-fold: - In the…
Within the last few years, there has been a move towards using statistical models in conjunction with neural networks with the end goal of being able to better answer the question, "what do our models know?". From this trend, classical…
Proper learning refers to the setting in which learners must emit predictors in the underlying hypothesis class $H$, and often leads to learners with simple algorithmic forms (e.g. empirical risk minimization (ERM), structural risk…
We analyze the behavior of approximate Bayesian computation (ABC) when the model generating the simulated data differs from the actual data generating process; i.e., when the data simulator in ABC is misspecified. We demonstrate both…
Probabilistic classifiers output a probability distribution on target classes rather than just a class prediction. Besides providing a clear separation of prediction and decision making, the main advantage of probabilistic models is their…
Empirical research in many social disciplines involves constructs that are not directly observable, such as behaviors. To model them, constructs must be operationalized using their relations with indicators. Structural equation modeling…
Bayesian regression determines model parameters by minimizing the expected loss, an upper bound to the true generalization error. However, the loss ignores misspecification, where models are imperfect. Parameter uncertainties from Bayesian…
Data-driven optimization aims to translate a machine learning model into decision-making by optimizing decisions on estimated costs. Such a pipeline can be conducted by fitting a distributional model which is then plugged into the target…
In prediction problems, it is common to model the data-generating process and then use a model-based procedure, such as a Bayesian predictive distribution, to quantify uncertainty about the next observation. However, if the posited model is…
Generalized linear models are a popular tool in applied statistics, with their maximum likelihood estimators enjoying asymptotic Gaussianity and efficiency. As all models are wrong, it is desirable to understand these estimators' behaviours…
Learning linear predictors with the logistic loss---both in stochastic and online settings---is a fundamental task in machine learning and statistics, with direct connections to classification and boosting. Existing "fast rates" for this…
Within the machine learning community, the widely-used uniform convergence framework has been used to answer the question of how complex, over-parameterized models can generalize well to new data. This approach bounds the test error of the…
Model misspecification is a long-standing enigma of the Bayesian inference framework as posteriors tend to get overly concentrated on ill-informed parameter values towards the large sample limit. Tempering of the likelihood has been…
What does it mean to say that, for example, the probability for rain tomorrow is between 20% and 30%? The theory for the evaluation of precise probabilistic forecasts is well-developed and is grounded in the key concepts of proper scoring…