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math.ST updates on arXiv.org

What is Learnable in Valiant's Theory of the Learnable? Learning Perturbations to Extrapolate Your LLM Byzantine-Robust Distributed Sparse Learning Revisited The Sample Complexity of Multiple Change Point Identification under Bandit Feedback A proximal gradient algorithm for composite log-concave sampling Model-based Bootstrap of Controlled Markov Chains Approximation of Maximally Monotone Operators : A Graph Convergence Perspective Posterior Contraction Rates for Sparse Kolmogorov-Arnold Networks in Anisotropic Besov Spaces MIST: Reliable Streaming Decision Trees for Online Class-Incremental Learning via McDiarmid Bound A Spectral Framework for Closed-Form Relative Density Estimation Fast Rates for Offline Contextual Bandits with Forward-KL Regularization under Single-Policy Concentrability Higher-Order Equilibrium Tracking for EM-Compressible Online Estimation Scaling Limits of Long-Context Transformers A Note on Non-Negative $L_1$-Approximating Polynomials Susceptibilities and Patterning: A Primer on Linear Response in Bayesian Learning Linear Response Estimators for Singular Statistical Models Statistical inference with belief functions: A survey Robust stochastic first order methods in heavy-tailed noise via medoid mini-batch gradient sampling Every Feedforward Neural Network Definable in an o-Minimal Structure Has Finite Sample Complexity Adaptive auditing of AI systems with anytime-valid guarantees Locally Near Optimal Piecewise Linear Regression in High Dimensions via Difference of Max-Affine Functions Risk-Controlled Post-Processing of Decision Policies Covariate Balancing and Riesz Regression Should Be Guided by the Neyman Orthogonal Score in Debiased Machine Learning A Unified Pair-GRPO Family: From Implicit to Explicit Preference Constraints for Stable and General RL Alignment Time-Inhomogeneous Preconditioned Langevin Dynamics A Fine-Grained Understanding of Uniform Convergence for Halfspaces CITE: Anytime-Valid Statistical Inference in LLM Self-Consistency Ratio-based Loss Functions Optimal Confidence Band for Kernel Gradient Flow Estimator A renormalization-group inspired lattice-based framework for piecewise generalized linear models
Convergence properties of data augmentation algorithms fo...
2021-12-20 · via math.ST updates on arXiv.org

The logistic and probit link functions are the most common choices for regression models with a binary response. However, these choices are not robust to the presence of outliers/unexpected observations. The robit link function, which is equal to the inverse CDF of the Student's $t$-distribution, provides a robust alternative to the probit and logistic link functions. A multivariate normal prior for the regression coefficients is the standard choice for Bayesian inference in robit regression models. The resulting posterior density is intractable and a Data Augmentation (DA) Markov chain is used to generate approximate samples from the desired posterior distribution. Establishing geometric ergodicity for this DA Markov chain is important as it provides theoretical guarantees for asymptotic validity of MCMC standard errors for desired posterior expectations/quantiles. Previous work [Roy(2012)] established geometric ergodicity of this robit DA Markov chain assuming (i) the sample size $n$ dominates the number of predictors $p$, and (ii) an additional constraint which requires the sample size to be bounded above by a fixed constant which depends on the design matrix $X$. In particular, modern high-dimensional settings where $n < p$ are not considered. In this work, we show that the robit DA Markov chain is trace-class (i.e., the eigenvalues of the corresponding Markov operator are summable) for arbitrary choices of the sample size $n$, the number of predictors $p$, the design matrix $X$, and the prior mean and variance parameters. The trace-class property implies geometric ergodicity. Moreover, this property allows us to conclude that the sandwich robit chain (obtained by inserting an inexpensive extra step in between the two steps of the DA chain) is strictly better than the robit DA chain in an appropriate sense.