论文标题

在模型错误下的估计标准化和虚假功能

Estimation under Model Misspecification with Fake Features

论文作者

Hellkvist, Martin, Özçelikkale, Ayça, Ahlén, Anders

论文摘要

我们考虑模型错误指定下的估计,其中基础系统之间存在模型不匹配,该系统生成数据和估计过程中使用的模型。我们提出了一个模型错误指定框架,该框架可以联合处理具有虚假特征的模型错误指定类型,以及对未知数和噪声的不正确协方差假设。我们将输出误差分解为与与基础,假和缺失功能相对应的模型参数的不同子集有关的组件。在这里,假功能是模型中包含但不存在基础系统中的功能。在此框架下,我们表征了估计性能,并揭示了样本数量,假特征数量以及可能不正确的噪声水平假设之间的权衡。与关注不正确的协方差假设或缺失功能的现有工作相反,假功能是我们框架的核心组成部分。我们的结果表明,即使虚假功能与基础系统中的功能无关,它们也可以显着提高估计性性能。特别是,我们表明可以通过在模型中包含更多的假特征来减少估计误差,即使是模型过多兼容的程度,即模型包含的未知数多于观察值。

We consider estimation under model misspecification where there is a model mismatch between the underlying system, which generates the data, and the model used during estimation. We propose a model misspecification framework which enables a joint treatment of the model misspecification types of having fake features as well as incorrect covariance assumptions on the unknowns and the noise. We present a decomposition of the output error into components that relate to different subsets of the model parameters corresponding to underlying, fake and missing features. Here, fake features are features which are included in the model but are not present in the underlying system. Under this framework, we characterize the estimation performance and reveal trade-offs between the number of samples, number of fake features, and the possibly incorrect noise level assumption. In contrast to existing work focusing on incorrect covariance assumptions or missing features, fake features is a central component of our framework. Our results show that fake features can significantly improve the estimation performance, even though they are not correlated with the features in the underlying system. In particular, we show that the estimation error can be decreased by including more fake features in the model, even to the point where the model is overparametrized, i.e., the model contains more unknowns than observations.

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