Related papers: Testing exchangeability: fork-convexity, supermart…
An algorithm for the unbiased simulation of continuous max-(resp.\ min-)id stochastic processes is developed. The algorithm only requires the simulation of finite Poisson random measures on the space of continuous functions and avoids the…
Using cumulative residual processes, we propose joint goodness-of-fit tests for conditional means and variances functions in the context of nonlinear time series with martingale difference innovations. The main challenge comes from the fact…
In this paper, we study the nonnegative matrix factorization problem under the separability assumption (that is, there exists a cone spanned by a small subset of the columns of the input nonnegative data matrix containing all columns),…
We present simple randomized and exchangeable improvements of Markov's inequality, as well as Chebyshev's inequality and Chernoff bounds. Our variants are never worse and typically strictly more powerful than the original inequalities. The…
In this work we analyze the concept of swap-invariance, which is a weaker variant of exchangeability. A random vector $\xi$ in $\mathbb{R}^n$ is called swap-invariant if $\,{\mathbf E}\,\big| \!\sum_j u_j \xi_j \big|\,$ is invariant under…
We explore the concept of a consistent exchangeable survival process - a joint distribution of survival times in which the risk set evolves as a continuous-time Markov process with homogeneous transition rates. We show a correspondence with…
Permutation tests are a powerful and flexible approach to inference via resampling. As computational methods become more ubiquitous in the statistics curriculum, use of permutation tests has become more tractable. At the heart of the…
Generalizations to the permutation test are introduced to allow for situations in which the null model is not exchangeable. It is shown that the generalized permutation tests are exact, and a partial converse: that any test function that is…
Non-negative matrix factorization (NMF) is a fundamental non-convex optimization problem with numerous applications in Machine Learning (music analysis, document clustering, speech-source separation etc). Despite having received extensive…
Global null testing is a classical problem going back about a century to Fisher's and Stouffer's combination tests. In this work, we present simple martingale analogs of these classical tests, which are applicable in two distinct settings:…
Throughout the last decade, random forests have established themselves as among the most accurate and popular supervised learning methods. While their black-box nature has made their mathematical analysis difficult, recent work has…
Non-volatile memory (NVM), aka persistent memory, is a new paradigm for memory that preserves its contents even after power loss. The expected ubiquity of NVM has stimulated interest in the design of novel concepts ensuring correctness of…
We study the problems of sequential nonparametric two-sample and independence testing. Sequential tests process data online and allow using observed data to decide whether to stop and reject the null hypothesis or to collect more data,…
A sequence of random variables is called exchangeable if the joint distribution of the sequence is unchanged by any permutation of the indices. De Finetti's theorem characterizes all $\{0,1\}$-valued exchangeable sequences as a "mixture" of…
The transition law of every exchangeable Feller process on the space of countable graphs is determined by a $\sigma$-finite measure on the space of $\{0,1\}\times\{0,1\}$-valued arrays. In discrete-time, this characterization amounts to a…
An important question for a probabilistic program is whether the probability mass of all its diverging runs is zero, that is that it terminates "almost surely". Proving that can be hard, and this paper presents a new method for doing so; it…
Given well-shuffled data, can we determine whether the data items are statistically (in)dependent? Formally, we consider the problem of testing whether a set of exchangeable random variables are independent. We will show that this is…
We prove a computable version of de Finetti's theorem on exchangeable sequences of real random variables. As a consequence, exchangeable stochastic processes expressed in probabilistic functional programming languages can be automatically…
Across many risk-sensitive areas, it is critical to continuously audit machine learning systems as we receive more data to quickly determine if they are performing as designed. This auditing task can be modeled as a sequential hypothesis…
Given a composite null hypothesis H, test supermartingales are non-negative supermartingales with respect to H with initial value 1. Large values of test supermartingales provide evidence against H. As a result, test supermartingales are an…