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Trees and V’s: Inference for Ensemble Models

Giles Hooker, Wharton School - UPenn
E18-304

Abstract: This talk discusses uncertainty quantification and inference using ensemble methods. Recent theoretical developments inspired by random forests have cast bagging-type methods as U-statistics when bootstrap samples are replaced by subsamples, resulting in a central limit theorem and hence the potential for inference. However, to carry this out requires estimating a variance for which all proposed estimators exhibit substantial upward bias. In this talk, we convert subsamples without replacement to subsamples with replacement resulting in V-statistics for which we prove…

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Estimating Direct Effects under Interference: A Spectral Experimental Design

Christopher Harshaw, Columbia University
E18-304

Abstract: From clinical trials to corporate strategy, randomized experiments are a reliable methodological tool for estimating causal effects. In recent years, there has been a growing interest in causal inference under interference, where treatment given to one unit can affect outcomes of other units. While the literature on interference has focused primarily on unbiased and consistent estimation, designing randomized network experiments to insure tight rates of convergence is relatively under-explored for many settings. In this talk, we study the problem…

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Winners with Confidence: Discrete Argmin Inference with an Application to Model Selection

Jing Lei, Carnegie Mellon University
E18-304

Abstract:  We study the problem of finding the index of the minimum value of a vector from noisy observations. This problem is relevant in population/policy comparison, discrete maximum likelihood, and model selection. By integrating concepts and tools from cross-validation and differential privacy, we develop a test statistic that is asymptotically normal even in high-dimensional settings, and allows for arbitrarily many ties in the population mean vector. The key technical ingredient is a central limit theorem for globally dependent data characterized…

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