In high-dimensional data analysis, penalized likelihood estimators are shown to provide superior results in both variable selection and parameter estimation. A new algorithm, APPLE, is proposed for calculating the Approximate Path for Penalized Likelihood Estimators. Both the convex penalty (such as LASSO) and the nonconvex penalty (such as SCAD and MCP) cases are considered. The APPLE efficiently computes the solution path for the penalized likelihood estimator using a hybrid of the modified predictor-corrector method and the coordinate-descent algorithm. APPLE is compared with several well-known packages via simulation and analysis of two gene expression data sets.

I introduce Forecastable Component Analysis (ForeCA), a novel dimension reduction technique for temporally dependent signals. Based on a new forecastability measure, ForeCA finds an optimal transformation to separate a multivariate time series into a forecastable and an orthogonal white noise space. I present a converging algorithm with a fast eigenvector solution. Applications to financial and macroeconomic time series show that ForeCA can successfully discover informative structure, which can be used for forecasting as well as classification. The R package ForeCA accompanies this work and is publicly available on CRAN.

March 22, 2018 Abstract We propose a new algorithm to do posterior sampling of Kingman's coalescent, based upon the Particle Markov Chain Monte Carlo methodology. Specifically, the algorithm is an instantiation of the Particle Gibbs Sampling method, which alternately samples coalescent times conditioned on coalescent tree structures, and tree structures conditioned on coalescent times via the conditional Sequential Monte Carlo procedure. We implement our algorithm as a C package, and demonstrate its utility via a parameter estimation task in population genetics on both single-and multiple-locus data. The experiment results show that the proposed algorithm performs comparable to or better than several well-developed methods. 1 Introduction Data shows hierarchical structure in many domains. For example, computer vision problems often involve hierarchical representation of images [Lee et al., 2009]. In text mining, documents can be modeled as hierarchical generative processes [Blei et al., 2003, Teh et al., 2006]. Algorithms that can effectively deal with hierarchical structure play an important role in uncovering the intrinsic structures of data.

We introduce a class of quadratic support (QS) functions, many of which play a crucial role in a variety of applications, including machine learning, robust statistical inference, sparsity promotion, and Kalman smoothing. Well known examples include the l2, Huber, l1 and Vapnik losses. We build on a dual representation for QS functions using convex analysis, revealing the structure necessary for a QS function to be interpreted as the negative log of a probability density, and providing the foundation for statistical interpretation and analysis of QS loss functions. For a subclass of QS functions called piecewise linear quadratic (PLQ) penalties, we also develop efficient numerical estimation schemes. These components form a flexible statistical modeling framework for a variety of learning applications, together with a toolbox of efficient numerical methods for inference. In particular, for PLQ densities, interior point (IP) methods can be used. IP methods solve nonsmooth optimization problems by working directly with smooth systems of equations characterizing their optimality. The efficiency of the IP approach depends on the structure of particular applications. We consider the class of dynamic inverse problems using Kalman smoothing, where the aim is to reconstruct the state of a dynamical system with known process and measurement models starting from noisy output samples. In the classical case, Gaussian errors are assumed in the process and measurement models. The extended framework allows arbitrary PLQ densities to be used, and the proposed IP approach solves the generalized Kalman smoothing problem while maintaining the linear complexity in the size of the time series, just as in the Gaussian case. This extends the computational efficiency of classic algorithms to a much broader nonsmooth setting, and includes many recently proposed robust and sparse smoothers as special cases.

Matrix factorizations and their extensions to tensor factorizations and decompositions have become prominent techniques for linear and multilinear blind source separation (BSS), especially multiway Independent Component Analysis (ICA), NonnegativeMatrix and Tensor Factorization (NMF/NTF), Smooth Component Analysis (SmoCA) and Sparse Component Analysis (SCA). Moreover, tensor decompositions have many other potential applications beyond multilinear BSS, especially feature extraction, classification, dimensionality reduction and multiway clustering. In this paper, we briefly overview new and emerging models and approaches for tensor decompositions in applications to group and linked multiway BSS/ICA, feature extraction, classification andMultiway Partial Least Squares (MPLS) regression problems. Keywords: Multilinear BSS, linked multiway BSS/ICA, tensor factorizations and decompositions, constrained Tucker and CP models, Penalized Tensor Decompositions (PTD), feature extraction, classification, multiway PLS and CCA.

We introduce 'mixed LICORS', an algorithm for learning nonlinear, high-dimensional dynamics from spatio-temporal data, suitable for both prediction and simulation. Mixed LICORS extends the recent LICORS algorithm (Goerg and Shalizi, 2012) from hard clustering of predictive distributions to a non-parametric, EM-like soft clustering. This retains the asymptotic predictive optimality of LICORS, but, as we show in simulations, greatly improves out-of-sample forecasts with limited data. The new method is implemented in the publicly-available R package "LICORS" (http://cran.r-project.org/web/packages/LICORS/).

Do two data samples come from different distributions? Recent studies of this fundamental problem focused on embedding probability distributions into sufficiently rich characteristic Reproducing Kernel Hilbert Spaces (RKHSs), to compare distributions by the distance between their embeddings. We show that Regularized Maximum Mean Discrepancy (RMMD), our novel measure for kernel-based hypothesis testing, yields substantial improvements even when sample sizes are small, and excels at hypothesis tests involving multiple comparisons with power control. We derive asymptotic distributions under the null and alternative hypotheses, and assess power control. Outstanding results are obtained on: challenging EEG data, MNIST, the Berkley Covertype, and the Flare-Solar dataset.

The number of publicly available Web services (WS) is continuously growing, and in parallel, we are witnessing a rapid development in semantic-related web technologies. The intersection of the semantic web and WS allows the development of semantic WS. In this work, we adopt a complex network perspective to perform a comparative analysis of the syntactic and semantic approaches used to describe WS. From a collection of publicly available WS descriptions, we extract syntactic and semantic WS interaction networks. We take advantage of tools from the complex network field to analyze them and determine their properties. We show that WS interaction networks exhibit some of the typical characteristics observed in real-world networks, such as short average distance between nodes and community structure. By comparing syntactic and semantic networks through their properties, we show the introduction of semantics in WS descriptions should improve the composition process.

Previous studies on spam have mostly focused on studying its content or its source. Likewise, currently used anti-spam methods mostly involve filtering emails based on their content or by their email server IP address. More recently, there have been studies on the network-level behavior of spammers [1], [2]. However, very little attention has been devoted to studying how spammers acquire the email addresses that they send spam to, a process commonly referred to as harvesting. Harvesting is the first phase of the spam cycle; sending the spam emails to the acquired addresses is the second phase. Spammers send spam emails using spam servers, which are typically compromised computers or open proxies, both of which allow spammers to hide their identities. On the other hand, it has been observed that spammers do not make the same effort to conceal their identities during the harvesting phase [3], indicating that harvesters, which are individuals or bots that collect email addresses, are closely related to the spammers who are sending the spam emails. The harvester and spam server are the two intermediaries in the path of spam, illustrated in Figure 1. In this paper we try to reveal social networks of spammers by identifying communities of harvesters using data from both phases of the spam cycle.

Consider the classical problem of predicting the next bit in a sequence of bits. A standard performance measure is {\em regret} (loss in payoff) with respect to a set of experts. For example if we measure performance with respect to two constant experts one that always predicts 0's and another that always predicts 1's it is well known that one can get regret $O(\sqrt T)$ with respect to the best expert by using, say, the weighted majority algorithm. But this algorithm does not provide performance guarantee in any interval. There are other algorithms that ensure regret $O(\sqrt {x \log T})$ in any interval of length $x$. In this paper we show a randomized algorithm that in an amortized sense gets a regret of $O(\sqrt x)$ for any interval when the sequence is partitioned into intervals arbitrarily. We empirically estimated the constant in the $O()$ for $T$ upto 2000 and found it to be small -- around 2.1. We also experimentally evaluate the efficacy of this algorithm in predicting high frequency stock data.