用机器学习自动设计统计估计器,无需手动推导公式。
Meta-Statistical Learning: Supervised Learning of Statistical Estimators
- 用神经网络直接从数据学习估计器,输入是样本集,输出是参数估计值。
- 在正态性检验和互信息估计任务中,小模型即达优秀性能。
- 适合需要快速构建新估计器的科研人员,尤其擅长复杂场景。
统计推断是科学的核心工具,其核心是统计估计器的设计——将有限样本映射到未知分布参数预测的函数。在经典频率学派框架下,估计器需满足无偏性、方差小、准确率高等性质。但许多理想性质难以解析构造,例如标准差不存在统一无偏估计器。本文提出元统计学习(Meta-Statistical Learning),将估计器设计转化为监督学习问题:使用置换不变神经网络(如Set Transformers)接收完整数据集,训练其预测目标统计属性。训练后的模型即为估计器,可按经典频率学派方法分析。我们在两个任务上验证该方法:正态性检验(分类)与互信息估计(回归),即使使用小型模型也取得优异结果。该范式为自动化发现通用、灵活的统计估计器开辟了新路径。
原文摘要 · Abstract (English)
Statistical inference, a central tool of science, revolves around the study and the usage of statistical estimators: functions that map finite samples to predictions about unknown distribution parameters. In the frequentist framework, estimators are evaluated based on properties such as bias, variance (for parameter estimation), accuracy, power, and calibration (for hypothesis testing). However, crafting estimators with desirable properties is often analytically challenging, and sometimes impossible, e.g., there exists no universally unbiased estimator for the standard deviation. In this work, we introduce meta-statistical learning, an amortized learning framework that recasts estimator design as an optimization problem via supervised learning. This takes a fully empirical approach to discovering statistical estimators; entire datasets are input to permutation-invariant neural networks, such as Set Transformers, trained to predict the target statistical property. The trained model is the estimator, and can be analyzed through the classical frequentist lens. We demonstrate the approach on two tasks: learning a normality test (classification) and estimating mutual information (regression), achieving strong results even with small models. Looking ahead, this paradigm opens a path to automate the discovery of generalizable and flexible statistical estimators.
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