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The minimum description length principle in coding and modeling
 IEEE Trans. Inform. Theory
, 1998
"... Abstract — We review the principles of Minimum Description Length and Stochastic Complexity as used in data compression and statistical modeling. Stochastic complexity is formulated as the solution to optimum universal coding problems extending Shannon’s basic source coding theorem. The normalized m ..."
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Cited by 307 (12 self)
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Abstract — We review the principles of Minimum Description Length and Stochastic Complexity as used in data compression and statistical modeling. Stochastic complexity is formulated as the solution to optimum universal coding problems extending Shannon’s basic source coding theorem. The normalized maximized likelihood, mixture, and predictive codings are each shown to achieve the stochastic complexity to within asymptotically vanishing terms. We assess the performance of the minimum description length criterion both from the vantage point of quality of data compression and accuracy of statistical inference. Context tree modeling, density estimation, and model selection in Gaussian linear regression serve as examples. Index Terms—Complexity, compression, estimation, inference, universal modeling.
Implied Volatility Functions: Empirical Tests
, 1995
"... Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black/Scholes constant volatility assumption is violat ..."
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Cited by 173 (2 self)
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Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black/Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the underlying asset's return is a deterministic function of the asset price and time. Since the volatility function in their model has an arbitrary specification, the deterministic volatility (DV) option valuation model has the potential of fitting the observed crosssection of option prices exactly. Using a sample of S&P 500 index options during the period June 1988 and December 1993, we attempt to evaluate the economic significance of the implied volatility function by examining the predictive and hedging performance of the DV option valuation model. Discussion draft: September 8, 1995 ____________________________________________...
The Effective Number of Parameters: An Analysis of Generalization and Regularization in Nonlinear Learning Systems
, 1992
"... We present an analysis of how the generalization performance (expected test set error) relates to the expected training set error for nonlinear learning systems, such as multilayer perceptrons and radial basis functions. The principal result is the following relationship (computed to second order ..."
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Cited by 172 (2 self)
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We present an analysis of how the generalization performance (expected test set error) relates to the expected training set error for nonlinear learning systems, such as multilayer perceptrons and radial basis functions. The principal result is the following relationship (computed to second order) between the expected test set and training set errors: hE test ()i 0 hE train ()i + 2oe 2 eff p eff () n : (1) Here, n is the size of the training sample , oe 2 eff is the effective noise variance in the response variable(s), is a regularization or weight decay parameter, and p eff () is the effective number of parameters in the nonlinear model. The expectations h i of training set and test set errors are taken over possible training sets and training and test sets 0 respectively. The effective number of parameters p eff () usually differs from the true number of model parameters p for nonlinear or regularized models; this theoretical conclusion is supported by M...
Bayesian measures of model complexity and fit
 Journal of the Royal Statistical Society, Series B
, 2002
"... [Read before The Royal Statistical Society at a meeting organized by the Research ..."
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Cited by 148 (2 self)
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[Read before The Royal Statistical Society at a meeting organized by the Research
Calibration and Empirical Bayes Variable Selection
 Biometrika
, 1997
"... this paper, is that with F =2logp. This choice was proposed by Foster &G eorge (1994) where it was called the Risk Inflation Criterion (RIC) because it asymptotically minimises the maximum predictive risk inflation due to selection when X is orthogonal. This choice and its minimax property were ..."
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Cited by 120 (19 self)
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this paper, is that with F =2logp. This choice was proposed by Foster &G eorge (1994) where it was called the Risk Inflation Criterion (RIC) because it asymptotically minimises the maximum predictive risk inflation due to selection when X is orthogonal. This choice and its minimax property were also discovered independently by Donoho & Johnstone (1994) in the wavelet regression context, where they refer to it as the universal hard thresholding rule
Adapting to unknown sparsity by controlling the false discovery rate
, 2000
"... We attempt to recover a highdimensional vector observed in white noise, where the vector is known to be sparse, but the degree of sparsity is unknown. We consider three different ways of defining sparsity of a vector: using the fraction of nonzero terms; imposing powerlaw decay bounds on the order ..."
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Cited by 110 (15 self)
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We attempt to recover a highdimensional vector observed in white noise, where the vector is known to be sparse, but the degree of sparsity is unknown. We consider three different ways of defining sparsity of a vector: using the fraction of nonzero terms; imposing powerlaw decay bounds on the ordered entries; and controlling the ℓp norm for p small. We obtain a procedure which is asymptotically minimax for ℓr loss, simultaneously throughout a range of such sparsity classes. The optimal procedure is a dataadaptive thresholding scheme, driven by control of the False Discovery Rate (FDR). FDR control is a recent innovation in simultaneous testing, in which one seeks to ensure that at most a certain fraction of the rejected null hypotheses will correspond to false rejections. In our treatment, the FDR control parameter q also plays a controlling role in asymptotic minimaxity. Our results say that letting q = qn → 0 with problem size n is sufficient for asymptotic minimaxity, while keeping fixed q>1/2prevents asymptotic minimaxity. To our knowledge, this relation between ideas in simultaneous inference and asymptotic decision theory is new. Our work provides a new perspective on a class of model selection rules which has been introduced recently by several authors. These new rules impose complexity penalization of the form 2·log ( potential model size / actual model size). We exhibit a close connection with FDRcontrolling procedures having q tending to 0; this connection strongly supports a conjecture of simultaneous asymptotic minimaxity for such model selection rules.
A point process framework for relating neural spiking activity to spiking history, neural ensemble, and e extrinsic covariate effects
 Journal of Neurophysiology
, 2005
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Approximate Bayes Factors and Accounting for Model Uncertainty in Generalized Linear Models
, 1993
"... Ways of obtaining approximate Bayes factors for generalized linear models are described, based on the Laplace method for integrals. I propose a new approximation which uses only the output of standard computer programs such as GUM; this appears to be quite accurate. A reference set of proper priors ..."
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Cited by 98 (28 self)
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Ways of obtaining approximate Bayes factors for generalized linear models are described, based on the Laplace method for integrals. I propose a new approximation which uses only the output of standard computer programs such as GUM; this appears to be quite accurate. A reference set of proper priors is suggested, both to represent the situation where there is not much prior information, and to assess the sensitivity of the results to the prior distribution. The methods can be used when the dispersion parameter is unknown, when there is overdispersion, to compare link functions, and to compare error distributions and variance functions. The methods can be used to implement the Bayesian approach to accounting for model uncertainty. I describe an application to inference about relative risks in the presence of control factors where model uncertainty is large and important. Software to implement the
Grouped and hierarchical model selection through composite absolute penalties
 Annals of Statistics
, 2006
"... Extracting useful information from highdimensional data is an important part of the focus of today’s statistical research and practice. Penalized loss function minimization has been shown to be effective for this task both theoretically and empirically. With the virtues of both regularization and ..."
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Cited by 88 (3 self)
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Extracting useful information from highdimensional data is an important part of the focus of today’s statistical research and practice. Penalized loss function minimization has been shown to be effective for this task both theoretically and empirically. With the virtues of both regularization and sparsity, the L1penalized L2 minimization method Lasso has been popular in regression models. In this paper, we combine different norms including L1 to form an intelligent penalty in order to add side information to the fitting of a regression or classification model to obtain reasonable estimates. Specifically, we introduce the Composite Absolute Penalties (CAP) family which allows the grouping and hierarchical relationships between the predictors to be expressed. CAP penalties are built by defining groups and combining the properties of norm penalties at the across group and within group levels. Grouped selection occurs for nonoverlapping groups. In that case, we give a Bayesian 1 interpretation for CAP penalties. Hierarchical variable selection is reached by defining groups with particular overlapping patterns. In the computation aspect, we propose using the BLASSO and crossvalidation to obtain CAP estimates. For a subfamily of CAP estimates involving only the L1 and L ∞ norms, we introduce the iCAP algorithm to trace the entire regularization path for the grouped selection problem. Within this subfamily, unbiased estimates of the degrees of freedom (df) are derived allowing the regularization parameter to be selected without crossvalidation. CAP is shown to improve on the predictive performance of the LASSO in a series of simulated experiments including cases with p>> n and misspecified groupings. When the complexity of a model is properly calculated, iCAP is seen to be parsimonious in the experiments. 1
The practical implementation of Bayesian model selection
 Institute of Mathematical Statistics
, 2001
"... In principle, the Bayesian approach to model selection is straightforward. Prior probability distributions are used to describe the uncertainty surrounding all unknowns. After observing the data, the posterior distribution provides a coherent post data summary of the remaining uncertainty which is r ..."
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Cited by 85 (3 self)
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In principle, the Bayesian approach to model selection is straightforward. Prior probability distributions are used to describe the uncertainty surrounding all unknowns. After observing the data, the posterior distribution provides a coherent post data summary of the remaining uncertainty which is relevant for model selection. However, the practical implementation of this approach often requires carefully tailored priors and novel posterior calculation methods. In this article, we illustrate some of the fundamental practical issues that arise for two different model selection problems: the variable selection problem for the linear model and the CART model selection problem.