Related papers: Discovering the Network Granger Causality in Large…
We investigate the performance of a family of multiple comparison procedures for strong control of the False Discovery Rate ($\mathsf{FDR}$). The $\mathsf{FDR}$ is the expected False Discovery Proportion ($\mathsf{FDP}$), that is, the…
We consider the problem of learning models for forecasting multiple time-series systems together with discovering the leading indicators that serve as good predictors for the system. We model the systems by linear vector autoregressive…
Identifying signals that replicate across multiple studies is essential for establishing robust scientific evidence, yet existing methods for high-dimensional replicability analysis either rely on restrictive modeling assumptions, are…
Introduced more than a half century ago, Granger causality has become a popular tool for analyzing time series data in many application domains, from economics and finance to genomics and neuroscience. Despite this popularity, the validity…
Out of the participants in a randomized experiment with anticipated heterogeneous treatment effects, is it possible to identify which subjects have a positive treatment effect? While subgroup analysis has received attention, claims about…
Results on the false discovery rate (FDR) and the false nondiscovery rate (FNR) are developed for single-step multiple testing procedures. In addition to verifying desirable properties of FDR and FNR as measures of error rates, these…
Network structures underlie the dynamics of many complex phenomena, from gene regulation and foodwebs to power grids and social media. Yet, as they often cannot be observed directly, their connectivities must be inferred from observations…
Inferring the causal relationships among a set of variables in the form of a directed acyclic graph (DAG) is an important but notoriously challenging problem. Recently, advancements in high-throughput genomic perturbation screens have…
Identifying risk spillovers in financial markets is of great importance for assessing systemic risk and portfolio management. Granger causality in tail (or in risk) tests whether past extreme events of a time series help predicting future…
In the online multiple testing problem, p-values corresponding to different null hypotheses are observed one by one, and the decision of whether or not to reject the current hypothesis must be made immediately, after which the next p-value…
False discovery rate (FDR) is a cornerstone of modern multiple testing. However, it often fails to guarantee the reliability of "marginal" discoveries that lie at the boundary of the rejection set, which are often crucial in high-precision…
Estimating local false discovery rates (fdr) is central to large-scale multiple hypothesis testing, yet different methods often produce divergent results, and there is little guidance for selecting among them. Because ground truth…
A structural vector autoregressive (SVAR) process is a linear causal model for variables that evolve over a discrete set of time points and between which there may be lagged and instantaneous effects. The qualitative causal structure of an…
Several classical methods exist for controlling the false discovery exceedance (FDX) for large scale multiple testing problems, among them the Lehmann-Romano procedure ([LR] below) and the Guo-Romano procedure ([GR] below). While these two…
The traditional approaches to false discovery rate (FDR) control in multiple hypothesis testing are usually based on the null distribution of a test statistic. However, all types of null distributions, including the theoretical,…
Penalized regression methods, most notably the lasso, are a popular approach to analyzing high-dimensional data. An attractive property of the lasso is that it naturally performs variable selection. An important area of concern, however, is…
The rapid spread of multimodal fake news poses a serious societal threat, as its evolving nature and reliance on timely factual details challenge existing detection methods. Dynamic Retrieval-Augmented Generation provides a promising…
Counterfactual learning has become promising for understanding and modeling causality in complex and dynamic systems. This paper presents a novel method for counterfactual learning in the context of multivariate time series analysis and…
To gain insight into complex systems it is a key challenge to infer nonlinear causal directional relations from observational time-series data. Specifically, estimating causal relationships between interacting components in large systems…
Granger-causality in the frequency domain is an emerging tool to analyze the causal relationship between two time series. We propose a bootstrap test on unconditional and conditional Granger-causality spectra, as well as on their…