Journal of Data Science

Modeling heterogeneity on heavy-tailed distributions under a regression framework is challenging, yet classical statistical methodologies usually place conditions on the distribution models to facilitate the learning procedure. However, these conditions will likely overlook the complex dependence structure between the heaviness of tails and the covariates. Moreover, data sparsity on tail regions makes the inference method less stable, leading to biased estimates for extreme-related quantities. This paper proposes a gradient boosting algorithm to estimate a functional extreme value index with heterogeneous extremes. Our proposed algorithm is a data-driven procedure capturing complex and dynamic structures in tail distributions. We also conduct extensive simulation studies to show the prediction accuracy of the proposed algorithm. In addition, we apply our method to a real-world data set to illustrate the state-dependent and time-varying properties of heavy-tail phenomena in the financial industry.

Global earth monitoring aims to identify and characterize land cover change like construction as it occurs. Remote sensing makes it possible to collect large amounts of data in near real-time over vast geographic areas and is becoming available in increasingly fine temporal and spatial resolution. Many methods have been developed for data from a single pixel, but monitoring pixel-wise spectral measurements over time neglects spatial relationships, which become more important as change manifests in a greater number of pixels in higher resolution imagery compared to moderate resolution. Building on our previous robust online Bayesian monitoring (roboBayes) algorithm, we propose monitoring multiresolution signals based on a wavelet decomposition to capture spatial change coherence on several scales to detect change sites. Monitoring only a subset of relevant signals reduces the computational burden. The decomposition relies on gapless data; we use 3 m Planet Fusion Monitoring data. Simulations demonstrate the superiority of the spatial signals in multiresolution roboBayes (MR roboBayes) for detecting subtle changes compared to pixel-wise roboBayes. We use MR roboBayes to detect construction changes in two regions with distinct land cover and seasonal characteristics: Jacksonville, FL (USA) and Dubai (UAE). It achieves site detection with less than two thirds of the monitoring processes required for pixel-wise roboBayes at the same resolution.

For spatial kriging (prediction), the Gaussian process (GP) has been the go-to tool of spatial statisticians for decades. However, the GP is plagued by computational intractability, rendering it infeasible for use on large spatial data sets. Neural networks (NNs), on the other hand, have arisen as a flexible and computationally feasible approach for capturing nonlinear relationships. To date, however, NNs have only been scarcely used for problems in spatial statistics but their use is beginning to take root. In this work, we argue for equivalence between a NN and a GP and demonstrate how to implement NNs for kriging from large spatial data. We compare the computational efficacy and predictive power of NNs with that of GP approximations across a variety of big spatial Gaussian, non-Gaussian and binary data applications of up to size $n={10^{6}}$. Our results suggest that fully-connected NNs perform similarly to state-of-the-art, GP-approximated models for short-range predictions but can suffer for longer range predictions.

Spatio-temporal filtering is a common and challenging task in many environmental applications, where the evolution is often nonlinear and the dimension of the spatial state may be very high. We propose a scalable filtering approach based on a hierarchical sparse Cholesky representation of the filtering covariance matrix. At each time point, we compress the sparse Cholesky factor into a dense matrix with a small number of columns. After applying the evolution to each of these columns, we decompress to obtain a hierarchical sparse Cholesky factor of the forecast covariance, which can then be updated based on newly available data. We illustrate the Cholesky evolution via an equivalent representation in terms of spatial basis functions. We also demonstrate the advantage of our method in numerical comparisons, including using a high-dimensional and nonlinear Lorenz model.

This study analyzes the impact of the COVID-19 pandemic on subjective well-being as measured through Twitter for the countries of Japan and Italy. In the first nine months of 2020, the Twitter indicators dropped by 11.7% for Italy and 8.3% for Japan compared to the last two months of 2019, and even more compared to their historical means. To understand what affected the Twitter mood so strongly, the study considers a pool of potential factors including: climate and air quality data, number of COVID-19 cases and deaths, Facebook COVID-19 and flu-like symptoms global survey data, coronavirus-related Google search data, policy intervention measures, human mobility data, macro economic variables, as well as health and stress proxy variables. This study proposes a framework to analyse and assess the relative impact of these external factors on the dynamic of Twitter mood and further implements a structural model to describe the underlying concept of subjective well-being. It turns out that prolonged mobility restrictions, flu and Covid-like symptoms, economic uncertainty and low levels of quality in social interactions have a negative impact on well-being.

Social determinants of health (SDOH) are the conditions in which people are born, grow, work, and live. Although evidence suggests that SDOH influence a range of health outcomes, health systems lack the infrastructure to access and act upon this information. The purpose of this manuscript is to explain the methodology that a health system used to: 1) identify and integrate publicly available SDOH data into the health systems’ Data Warehouse, 2) integrate a HIPAA compliant geocoding software (via DeGAUSS), and 3) visualize data to inform SDOH projects (via Tableau). First, authors engaged key stakeholders across the health system to convey the implications of SDOH data for our patient population and identify variables of interest. As a result, fourteen publicly available data sets, accounting for >30,800 variables representing national, state, county, and census tract information over 2016–2019, were cleaned and integrated into our Data Warehouse. To pilot the data visualization, we created county and census tract level maps for our service areas and plotted common SDOH metrics (e.g., income, education, insurance status, etc.). This practical, methodological integration of SDOH data at a large health system demonstrated feasibility. Ultimately, we will repeat this process system wide to further understand the risk burden in our patient population and improve our prediction models – allowing us to become better partners with our community.

Social network analysis has created a productive framework for the analysis of the histories of patient-physician interactions and physician collaboration. Notable is the construction of networks based on the data of “referral paths” – sequences of patient-specific temporally linked physician visits – in this case, culled from a large set of Medicare claims data in the United States. Network constructions depend on a range of choices regarding the underlying data. In this paper we introduce the use of a five-factor experiment that produces 80 distinct projections of the bipartite patient-physician mixing matrix to a unipartite physician network derived from the referral path data, which is further analyzed at the level of the 2,219 hospitals in the final analytic sample. We summarize the networks of physicians within a given hospital using a range of directed and undirected network features (quantities that summarize structural properties of the network such as its size, density, and reciprocity). The different projections and their underlying factors are evaluated in terms of the heterogeneity of the network features across the hospitals. We also evaluate the projections relative to their ability to improve the predictive accuracy of a model estimating a hospital’s adoption of implantable cardiac defibrillators, a novel cardiac intervention. Because it optimizes the knowledge learned about the overall and interactive effects of the factors, we anticipate that the factorial design setting for network analysis may be useful more generally as a methodological advance in network analysis.

This paper introduces the package open-crypto for free-of-charge and systematic cryptocurrency data collecting. The package supports several methods to request (1) static data, (2) real-time data and (3) historical data. It allows to retrieve data from over 100 of the most popular and liquid exchanges world-wide. New exchanges can easily be added with the help of provided templates or updated with build-in functions from the project repository. The package is available on GitHub and the Python package index (PyPi). The data is stored in a relational SQL database and therefore accessible from many different programming languages. We provide a hands-on and illustrations for each data type, explanations on the received data and also demonstrate the usability from R and Matlab. Academic research heavily relies on costly or confidential data, however, open data projects are becoming increasingly important. This project is mainly motivated to contribute to openly accessible software and free data in the cryptocurrency markets to improve transparency and reproducibility in research and any other disciplines.

This paper proposes a nonuniform subsampling method for finite mixtures of regression models to reduce large data computational tasks. A general estimator based on a subsample is investigated, and its asymptotic normality is established. We assign optimal subsampling probabilities to data points that minimize the asymptotic mean squared errors of the general estimator and linearly transformed estimators. Since the proposed probabilities depend on unknown parameters, an implementable algorithm is developed. We first approximate the optimal subsampling probabilities using a pilot sample. After that, we select a subsample using the approximated subsampling probabilities and compute estimates using the subsample. We evaluate the proposed method in a simulation study and present a real data example using appliance energy data.

We introduce the stepp packages for R and Stata that implement the subpopulation treatment effect pattern plot (STEPP) method. STEPP is a nonparametric graphical tool aimed at examining possible heterogeneous treatment effects in subpopulations defined on a continuous covariate or composite score. More pecifically, STEPP considers overlapping subpopulations defined with respect to a continuous covariate (or risk index) and it estimates a treatment effect for each subpopulation. It also produces confidence regions and tests for treatment effect heterogeneity among the subpopulations. The original method has been extended in different directions such as different survival contexts, outcome types, or more efficient procedures for identifying the overlapping subpopulations. In this paper, we also introduce a novel method to determine the number of subjects within the subpopulations by minimizing the variability of the sizes of the subpopulations generated by a specific parameter combination. We illustrate the packages using both synthetic data and publicly available data sets. The most intensive computations in R are implemented in Fortran, while the Stata version exploits the powerful Mata language.