On the criticality of inferred models

Details On the criticality of inferred models On the criticality of inferred models

2011-02-08

arxiv.org/abs/1102.1624v2

Physics

Data Analysis, Statistics and Probability

6 pages, 2 figures, version to appear in JSTAT

Scientific paper

Advanced inference techniques allow one to reconstruct the pattern of interaction from high dimensional data sets. We focus here on the statistical properties of inferred models and argue that inference procedures are likely to yield models which are close to a phase transition. On one side, we show that the reparameterization invariant metrics in the space of probability distributions of these models (the Fisher Information) is directly related to the model's susceptibility. As a result, distinguishable models tend to accumulate close to critical points, where the susceptibility diverges in infinite systems. On the other, this region is the one where the estimate of inferred parameters is most stable. In order to illustrate these points, we discuss inference of interacting point processes with application to financial data and show that sensible choices of observation time-scales naturally yield models which are close to criticality.

Affiliated with

Also associated with

No associations

Rating

On the criticality of inferred models does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with On the criticality of inferred models, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and On the criticality of inferred models will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-502655