Bernoulli

• Bernoulli
• Volume 19, Number 4 (2013), 1484-1500.

Stability

Bin Yu

Abstract

Reproducibility is imperative for any scientific discovery. More often than not, modern scientific findings rely on statistical analysis of high-dimensional data. At a minimum, reproducibility manifests itself in stability of statistical results relative to “reasonable” perturbations to data and to the model used. Jacknife, bootstrap, and cross-validation are based on perturbations to data, while robust statistics methods deal with perturbations to models.

In this article, a case is made for the importance of stability in statistics. Firstly, we motivate the necessity of stability for interpretable and reliable encoding models from brain fMRI signals. Secondly, we find strong evidence in the literature to demonstrate the central role of stability in statistical inference, such as sensitivity analysis and effect detection. Thirdly, a smoothing parameter selector based on estimation stability (ES), ES-CV, is proposed for Lasso, in order to bring stability to bear on cross-validation (CV). ES-CV is then utilized in the encoding models to reduce the number of predictors by 60% with almost no loss (1.3%) of prediction performance across over 2,000 voxels. Last, a novel “stability” argument is seen to drive new results that shed light on the intriguing interactions between sample to sample variability and heavier tail error distribution (e.g., double-exponential) in high-dimensional regression models with $p$ predictors and $n$ independent samples. In particular, when $p/n\rightarrow\kappa\in(0.3,1)$ and the error distribution is double-exponential, the Ordinary Least Squares (OLS) is a better estimator than the Least Absolute Deviation (LAD) estimator.

Article information

Source
Bernoulli Volume 19, Number 4 (2013), 1484-1500.

Dates
First available in Project Euclid: 27 August 2013

http://projecteuclid.org/euclid.bj/1377612862

Digital Object Identifier
doi:10.3150/13-BEJSP14

Mathematical Reviews number (MathSciNet)
MR3102560

Zentralblatt MATH identifier
06216087

Citation

Yu, Bin. Stability. Bernoulli 19 (2013), no. 4, 1484--1500. doi:10.3150/13-BEJSP14. http://projecteuclid.org/euclid.bj/1377612862.

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