Identifiability | EPFL Graph Search

In statistics, identifiability is a property which a model must satisfy for precise inference to be possible. A model is identifiable if it is theoretically possible to learn the true values of this model's underlying parameters after obtaining an infinite number of observations from it. Mathematically, this is equivalent to saying that different values of the parameters must generate different probability distributions of the observable variables. Usually the model is identifiable only under certain technical restrictions, in which case the set of these requirements is called the identification conditions. A model that fails to be identifiable is said to be non-identifiable or unidentifiable: two or more parametrizations are observationally equivalent. In some cases, even though a model is non-identifiable, it is still possible to learn the true values of a certain subset of the model parameters. In this case we say that the model is partially identifiable. In other cases it may b

Functional data analysis by matrix completion

Marie-Hélène Descary

Traditional approaches to analysing functional data typically follow a two-step procedure, consisting in first smoothing and then carrying out a functional principal component analysis. The idea underlying this procedure is that functional data are well approximated by smooth functions, and that rough variations are due to noise. However, it may very well happen that localised features are rough at a global scale but still smooth at some finer scale. In this thesis we put forward a new statistical approach for functional data arising as the sum of two uncorrelated components: one smooth plus one rough. We give non-parametric conditions under which the covariance operators of the smooth and of the rough components are jointly identifiable on the basis of discretely observed data: the covariance operator corresponding to the smooth component must be of finite rank and have real analytic eigenfunctions, while the one corresponding to the rough component must have a banded covariance function. We construct consistent estimators of both covariance operators without assuming knowledge of the true rank or bandwidth. We then use them to estimate the best linear predictors of the the smooth and the rough components of each functional datum. In both the identifiability and the inference part, we do not follow the usual strategy used in functional data analysis which is to first employ smoothing and work with continuous estimate of the covariance operator. Instead, we work directly with the covariance matrix of the discretely observed data, which allows us to use results and tools from linear algebra. In fact, we show that the whole problem of uniquely recovering the covariance operator of the smooth component given the one of the raw data can be seen as a low-rank matrix completion problem, and we make great use of a classical relation between the rank and the minors of a matrix to solve this matrix completion problem. The finite-sample performance of our approach is studied by means of simulation study.

EPFL2017

Functional registration and local variations: Identifiability, rank, and tuning

Anirvan Chakraborty, Victor Panaretos

We develop theory and methodology for the problem of nonparametric registration of functional data that have been subjected to random deformation (warping) of their time scale. The separation of this phase variation ("horizontal" variation) from the amplitude variation ("vertical" variation) is crucial in order to properly conduct further analyses, which otherwise can be severely distorted. We determine precise nonparametric conditions under which the two forms of variation are identifiable. These show that the identifiability delicately depends on the underlying rank. By means of several counterexamples, we demonstrate that our conditions are sharp if one wishes a genuinely nonparametric setup; and in doing so we caution that popular remedies such as structural assumptions or roughness penalties can easily fail. We then propose a nonparametric registration method based on a "local variation measure", the main element in elucidating identifiability. A key advantage of the method is that it is free of any tuning or penalisation parameters regulating the amount of alignment, thus circumventing the problem of over/under-registration often encountered in practice. We provide asymptotic theory for the resulting estimators under the identifiable regime, but also under mild departures from identifiability, quantifying the resulting bias in terms of the amplitude variation's spectral gap.

2021

Functional data analysis by matrix completion

Marie-Hélène Descary

EPFL2017