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Tick: a Python library for statistical learning, with a particular emphasis on time-dependent modelling (1707.03003v2)

Published 10 Jul 2017 in stat.ML

Abstract: Tick is a statistical learning library for Python~3, with a particular emphasis on time-dependent models, such as point processes, and tools for generalized linear models and survival analysis. The core of the library is an optimization module providing model computational classes, solvers and proximal operators for regularization. tick relies on a C++ implementation and state-of-the-art optimization algorithms to provide very fast computations in a single node multi-core setting. Source code and documentation can be downloaded from https://github.com/X-DataInitiative/tick

Citations (70)

Summary

  • The paper introduces tick, a Python library for statistical learning tailored for time-dependent modeling using a modular optimization toolbox.
  • It details the integration of advanced algorithms like SVRG and SDCA to support models such as Hawkes processes, linear regression, and survival analysis.
  • Benchmarks demonstrate tick's superior computational efficiency compared to existing tools for large-scale, high-frequency data analysis.

Overview of "tick: a Python library for statistical learning"

The paper presents "tick," a Python library designed specifically for statistical learning with a focus on time-dependent models. Developed to cater to the Python community, the library extends beyond traditional statistical tools by incorporating advanced optimization algorithms tailored for various models, including point processes, generalized linear models, and survival analysis.

Core Features and Architecture

At the core of tick's architecture is a modular optimization toolbox. This comprises several notable optimization techniques such as SVRG and SDCA, providing users with a high degree of flexibility when applying these algorithms to different models. Tick aligns with the scikit-learn API, making it accessible to those familiar with its ecosystem, while focusing on a niche not extensively covered by other libraries: time-dependent modeling.

Tick excels in handling Hawkes processes through a comprehensive set of parametric and non-parametric estimation algorithms. The library's architecture includes four main modules:

  • tick.hawkes: For inference and simulation of Hawkes processes.
  • tick.linear_model: Covers linear, logistic, and Poisson regression.
  • tick.robust: Caters to robust regression techniques.
  • tick.survival: Focuses on survival analysis with tools like the Cox regression model.

Each module offers simulation tools and learning modules to facilitate data-driven insights. Proximal operators and convex solvers are integrated throughout to enhance model training capabilities.

Emphasis on Hawkes Processes

One of tick's defining strengths is its extensive support for Hawkes processes, an area with few comprehensive libraries. The provision of both parametric and non-parametric estimators enhances its utility for a wide range of applications, including finance and geophysics. The library includes multiple kernel types and estimation tools, augmented by its compatibility with Python for user-friendly scripting and rapid prototyping.

Comparative Analysis and Benchmarks

The paper juxtaposes tick against existing libraries such as pyhawkes, the R-based hawkes, and PtPack. Benchmarks indicate that tick outperforms these alternatives significantly in computational efficiency, especially for large datasets and multi-core environments.

The results underscore not only tick's computational advantages but also its applicability for large-scale time-dependent modeling tasks, marking it as a robust tool for researchers involved in high-frequency data analysis and other complex statistical learning challenges.

Implications and Future Outlook

The implications of tick's development are significant for both theoretical and practical domains. By facilitating efficient statistical learning processes, tick can contribute to advancements in fields requiring complex time-dependent modeling. The modular nature of its design suggests potential expansions, offering a foundation for future updates that can incorporate emerging algorithms and datasets.

In conclusion, the "tick" library presents a promising tool for researchers and practitioners, filling a critical niche in Python-based statistical learning. As AI and machine learning continue to evolve, tools like tick will likely play a pivotal role in advancing the capabilities of time-dependent data modeling.