Larry Wasserman

James Leiner, Boyan Duan, Larry Wasserman et al.

Suppose we observe a random vector $X$ from some distribution $P$ in a known family with unknown parameters. We ask the following question: when is it possible to split $X$ into two parts $f(X)$ and $g(X)$ such that neither part is sufficient to reconstruct $X$ by itself, but both together can recover $X$ fully, and the joint distribution of $(f(X),g(X))$ is tractable? As one example, if $X=(X_1,\dots,X_n)$ and $P$ is a product distribution, then for any $m<n$, we can split the sample to define $f(X)=(X_1,\dots,X_m)$ and $g(X)=(X_{m+1},\dots,X_n)$. Rasines and Young (2022) offers an alternative approach that uses additive Gaussian noise -- this enables post-selection inference in finite samples for Gaussian distributed data and asymptotically when errors are non-Gaussian. In this paper, we offer a more general methodology for achieving such a split in finite samples by borrowing ideas from Bayesian inference to yield a (frequentist) solution that can be viewed as a continuous analog of data splitting. We call our method data fission, as an alternative to data splitting, data carving and p-value masking. We exemplify the method on a few prototypical applications, such as post-selection inference for trend filtering and other regression problems.

Larry Wasserman, Aaditya Ramdas, Sivaraman Balakrishnan

We propose a general method for constructing hypothesis tests and confidence sets that have finite sample guarantees without regularity conditions. We refer to such procedures as "universal." The method is very simple and is based on a modified version of the usual likelihood ratio statistic, that we call "the split likelihood ratio test" (split LRT). The method is especially appealing for irregular statistical models. Canonical examples include mixture models and models that arise in shape-constrained inference. Constructing tests and confidence sets for such models is notoriously difficult. Typical inference methods, like the likelihood ratio test, are not useful in these cases because they have intractable limiting distributions. In contrast, the method we suggest works for any parametric model and also for some nonparametric models. The split LRT can also be used with profile likelihoods to deal with nuisance parameters, and it can also be run sequentially to yield anytime-valid $p$-values and confidence sequences.

Purvasha Chakravarti, Sivaraman Balakrishnan, Larry Wasserman

We consider clustering based on significance tests for Gaussian Mixture Models (GMMs). Our starting point is the SigClust method developed by Liu et al. (2008), which introduces a test based on the k-means objective (with k = 2) to decide whether the data should be split into two clusters. When applied recursively, this test yields a method for hierarchical clustering that is equipped with a significance guarantee. We study the limiting distribution and power of this approach in some examples and show that there are large regions of the parameter space where the power is low. We then introduce a new test based on the idea of relative fit. Unlike prior work, we test for whether a mixture of Gaussians provides a better fit relative to a single Gaussian, without assuming that either model is correct. The proposed test has a simple critical value and provides provable error control. One version of our test provides exact, finite sample control of the type I error. We show how our tests can be used for hierarchical clustering as well as in a sequential manner for model selection. We conclude with an extensive simulation study and a cluster analysis of a gene expression dataset.

Yotam Hechtlinger, Barnabás Póczos, Larry Wasserman

Most classifiers operate by selecting the maximum of an estimate of the conditional distribution $p(y|x)$ where $x$ stands for the features of the instance to be classified and $y$ denotes its label. This often results in a {\em hubristic bias}: overconfidence in the assignment of a definite label. Usually, the observations are concentrated on a small volume but the classifier provides definite predictions for the entire space. We propose constructing conformal prediction sets which contain a set of labels rather than a single label. These conformal prediction sets contain the true label with probability $1-α$. Our construction is based on $p(x|y)$ rather than $p(y|x)$ which results in a classifier that is very cautious: it outputs the null set --- meaning "I don't know" --- when the object does not resemble the training examples. An important property of our approach is that adversarial attacks are likely to be predicted as the null set or would also include the true label. We demonstrate the performance on the ImageNet ILSVRC dataset and the CelebA and IMDB-Wiki facial datasets using high dimensional features obtained from state of the art convolutional neural networks.

Mauricio Sadinle, Jing Lei, Larry Wasserman

In most classification tasks there are observations that are ambiguous and therefore difficult to correctly label. Set-valued classifiers output sets of plausible labels rather than a single label, thereby giving a more appropriate and informative treatment to the labeling of ambiguous instances. We introduce a framework for multiclass set-valued classification, where the classifiers guarantee user-defined levels of coverage or confidence (the probability that the true label is contained in the set) while minimizing the ambiguity (the expected size of the output). We first derive oracle classifiers assuming the true distribution to be known. We show that the oracle classifiers are obtained from level sets of the functions that define the conditional probability of each class. Then we develop estimators with good asymptotic and finite sample properties. The proposed estimators build on existing single-label classifiers. The optimal classifier can sometimes output the empty set, but we provide two solutions to fix this issue that are suitable for various practical needs.

Christopher Genovese, Marco Perone-Pacifico, Isabella Verdinelli et al.

We present a method for finding high density, low-dimensional structures in noisy point clouds. These structures are sets with zero Lebesgue measure with respect to the $D$-dimensional ambient space and belong to a $d<D$ dimensional space. We call them "singular features." Hunting for singular features corresponds to finding unexpected or unknown structures hidden in point clouds belonging to $\R^D$. Our method outputs well defined sets of dimensions $d<D$. Unlike spectral clustering, the method works well in the presence of noise. We show how to find singular features by first finding ridges in the estimated density, followed by a filtering step based on the eigenvalues of the Hessian of the density.

Jisu Kim, Yen-Chi Chen, Sivaraman Balakrishnan et al.

A cluster tree provides a highly-interpretable summary of a density function by representing the hierarchy of its high-density clusters. It is estimated using the empirical tree, which is the cluster tree constructed from a density estimator. This paper addresses the basic question of quantifying our uncertainty by assessing the statistical significance of topological features of an empirical cluster tree. We first study a variety of metrics that can be used to compare different trees, analyze their properties and assess their suitability for inference. We then propose methods to construct and summarize confidence sets for the unknown true cluster tree. We introduce a partial ordering on cluster trees which we use to prune some of the statistically insignificant features of the empirical tree, yielding interpretable and parsimonious cluster trees. Finally, we illustrate the proposed methods on a variety of synthetic examples and furthermore demonstrate their utility in the analysis of a Graft-versus-Host Disease (GvHD) data set.

Yen-Chi Chen, Daren Wang, Alessandro Rinaldo et al.

Persistence diagrams are two-dimensional plots that summarize the topological features of functions and are an important part of topological data analysis. A problem that has received much attention is how deal with sets of persistence diagrams. How do we summarize them, average them or cluster them? One approach -- the persistence intensity function -- was introduced informally by Edelsbrunner, Ivanov, and Karasev (2012). Here we provide a modification and formalization of this approach. Using the persistence intensity function, we can visualize multiple diagrams, perform clustering and conduct two-sample tests.

Yen-Chi Chen, Christopher R. Genovese, Larry Wasserman

The Morse-Smale complex of a function $f$ decomposes the sample space into cells where $f$ is increasing or decreasing. When applied to nonparametric density estimation and regression, it provides a way to represent, visualize, and compare multivariate functions. In this paper, we present some statistical results on estimating Morse-Smale complexes. This allows us to derive new results for two existing methods: mode clustering and Morse-Smale regression. We also develop two new methods based on the Morse-Smale complex: a visualization technique for multivariate functions and a two-sample, multivariate hypothesis test.

Aaditya Ramdas, Barnabas Poczos, Aarti Singh et al.

In active learning, the user sequentially chooses values for feature $X$ and an oracle returns the corresponding label $Y$. In this paper, we consider the effect of feature noise in active learning, which could arise either because $X$ itself is being measured, or it is corrupted in transmission to the oracle, or the oracle returns the label of a noisy version of the query point. In statistics, feature noise is known as "errors in variables" and has been studied extensively in non-active settings. However, the effect of feature noise in active learning has not been studied before. We consider the well-known Berkson errors-in-variables model with additive uniform noise of width $σ$. Our simple but revealing setting is that of one-dimensional binary classification setting where the goal is to learn a threshold (point where the probability of a $+$ label crosses half). We deal with regression functions that are antisymmetric in a region of size $σ$ around the threshold and also satisfy Tsybakov's margin condition around the threshold. We prove minimax lower and upper bounds which demonstrate that when $σ$ is smaller than the minimiax active/passive noiseless error derived in \cite{CN07}, then noise has no effect on the rates and one achieves the same noiseless rates. For larger $σ$, the \textit{unflattening} of the regression function on convolution with uniform noise, along with its local antisymmetry around the threshold, together yield a behaviour where noise \textit{appears} to be beneficial. Our key result is that active learning can buy significant improvement over a passive strategy even in the presence of feature noise.

Martin Azizyan, Yen-Chi Chen, Aarti Singh et al.

Density mode clustering is a nonparametric clustering method. The clusters are the basins of attraction of the modes of a density estimator. We study the risk of mode-based clustering. We show that the clustering risk over the cluster cores --- the regions where the density is high --- is very small even in high dimensions. And under a low noise condition, the overall cluster risk is small even beyond the cores, in high dimensions.

Mattia Ciollaro, Christopher Genovese, Jing Lei et al.

We introduce the functional mean-shift algorithm, an iterative algorithm for estimating the local modes of a surrogate density from functional data. We show that the algorithm can be used for cluster analysis of functional data. We propose a test based on the bootstrap for the significance of the estimated local modes of the surrogate density. We present two applications of our methodology. In the first application, we demonstrate how the functional mean-shift algorithm can be used to perform spike sorting, i.e. cluster neural activity curves. In the second application, we use the functional mean-shift algorithm to distinguish between original and fake signatures.

Larry Wasserman, Martin Azizyan, Aarti Singh

We present a nonparametric method for selecting informative features in high-dimensional clustering problems. We start with a screening step that uses a test for multimodality. Then we apply kernel density estimation and mode clustering to the selected features. The output of the method consists of a list of relevant features, and cluster assignments. We provide explicit bounds on the error rate of the resulting clustering. In addition, we provide the first error bounds on mode based clustering.

Martin Azizyan, Aarti Singh, Larry Wasserman

We consider the problem of clustering data points in high dimensions, i.e. when the number of data points may be much smaller than the number of dimensions. Specifically, we consider a Gaussian mixture model (GMM) with non-spherical Gaussian components, where the clusters are distinguished by only a few relevant dimensions. The method we propose is a combination of a recent approach for learning parameters of a Gaussian mixture model and sparse linear discriminant analysis (LDA). In addition to cluster assignments, the method returns an estimate of the set of features relevant for clustering. Our results indicate that the sample complexity of clustering depends on the sparsity of the relevant feature set, while only scaling logarithmically with the ambient dimension. Additionally, we require much milder assumptions than existing work on clustering in high dimensions. In particular, we do not require spherical clusters nor necessitate mean separation along relevant dimensions.

Yen-Chi Chen, Christopher R. Genovese, Larry Wasserman

Mode clustering is a nonparametric method for clustering that defines clusters using the basins of attraction of a density estimator's modes. We provide several enhancements to mode clustering: (i) a soft variant of cluster assignment, (ii) a measure of connectivity between clusters, (iii) a technique for choosing the bandwidth, (iv) a method for denoising small clusters, and (v) an approach to visualizing the clusters. Combining all these enhancements gives us a complete procedure for clustering in multivariate problems. We also compare mode clustering to other clustering methods in several examples

Akshay Krishnamurthy, Kirthevasan Kandasamy, Barnabas Poczos et al.

We consider nonparametric estimation of $L_2$, Renyi-$α$ and Tsallis-$α$ divergences between continuous distributions. Our approach is to construct estimators for particular integral functionals of two densities and translate them into divergence estimators. For the integral functionals, our estimators are based on corrections of a preliminary plug-in estimator. We show that these estimators achieve the parametric convergence rate of $n^{-1/2}$ when the densities' smoothness, $s$, are both at least $d/4$ where $d$ is the dimension. We also derive minimax lower bounds for this problem which confirm that $s > d/4$ is necessary to achieve the $n^{-1/2}$ rate of convergence. We validate our theoretical guarantees with a number of simulations.

Martin Azizyan, Aarti Singh, Larry Wasserman

While several papers have investigated computationally and statistically efficient methods for learning Gaussian mixtures, precise minimax bounds for their statistical performance as well as fundamental limits in high-dimensional settings are not well-understood. In this paper, we provide precise information theoretic bounds on the clustering accuracy and sample complexity of learning a mixture of two isotropic Gaussians in high dimensions under small mean separation. If there is a sparse subset of relevant dimensions that determine the mean separation, then the sample complexity only depends on the number of relevant dimensions and mean separation, and can be achieved by a simple computationally efficient procedure. Our results provide the first step of a theoretical basis for recent methods that combine feature selection and clustering.

Brittany Terese Fasy, Fabrizio Lecci, Alessandro Rinaldo et al.

Persistent homology is a method for probing topological properties of point clouds and functions. The method involves tracking the birth and death of topological features (2000) as one varies a tuning parameter. Features with short lifetimes are informally considered to be "topological noise," and those with a long lifetime are considered to be "topological signal." In this paper, we bring some statistical ideas to persistent homology. In particular, we derive confidence sets that allow us to separate topological signal from topological noise.

Jing Lei, Larry Wasserman

We study distribution free, nonparametric prediction bands with a special focus on their finite sample behavior. First we investigate and develop different notions of finite sample coverage guarantees. Then we give a new prediction band estimator by combining the idea of "conformal prediction" (Vovk et al. 2009) with nonparametric conditional density estimation. The proposed estimator, called COPS (Conformal Optimized Prediction Set), always has finite sample guarantee in a stronger sense than the original conformal prediction estimator. Under regularity conditions the estimator converges to an oracle band at a minimax optimal rate. A fast approximation algorithm and a data driven method for selecting the bandwidth are developed. The method is illustrated first in simulated data. Then, an application shows that the proposed method gives desirable prediction intervals in an automatic way, as compared to the classical linear regression modeling.

Rob Hall, Alessandro Rinaldo, Larry Wasserman

Differential privacy is a framework for privately releasing summaries of a database. Previous work has focused mainly on methods for which the output is a finite dimensional vector, or an element of some discrete set. We develop methods for releasing functions while preserving differential privacy. Specifically, we show that adding an appropriate Gaussian process to the function of interest yields differential privacy. When the functions lie in the same RKHS as the Gaussian process, then the correct noise level is established by measuring the "sensitivity" of the function in the RKHS norm. As examples we consider kernel density estimation, kernel support vector machines, and functions in reproducing kernel Hilbert spaces.