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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

169,051 papers · 148 categories

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48 results for Auto-Regressive Flow

Hybrid model combines VAR and neural network for OFI prediction.

problem Accurate prediction of Order Flow Imbalance (OFI) in high frequency trading.
method Combines Vector Auto Regression (VAR) and a simple feedforward neural network (FNN).
result Hybrid model achieves superior predictive accuracy compared to standalone models.

Generative models speed up complex system simulations.

problem Accurately forecasting the dynamics of complex systems at reduced cost.
method Generative Learning of Effective Dynamics (G-LED) using auto-regressive attention and Bayesian diffusion models.
result Generative models can accurately forecast complex system dynamics at lower computational cost.

Auto-regressive models learn latent states from partially observed linear dynamical systems.

problem Understanding how auto-regressive models learn latent representations from partially observed linear dynamical systems.
method Empirical risk minimization on partially observed linear dynamical systems.
result Two-layer linear auto-regressive models learn to approximate Kalman filtering, coinciding with optimal state estimates.

In this paper we propose WaveGlow: a flow-based network capable of generating high quality speech from mel-spectrograms. WaveGlow combines insights from Glow and WaveNet in order to provide fast, efficient and high-quality audio synthesis, without the need for auto-regression. WaveGlow is implemented using only a singl…

2018-10-31abs ↗pdf ↗

In this paper, non-linear time series models are used to describe volatility in financial time series data. To describe volatility, two of the non-linear time series are combined into form TAR (Threshold Auto-Regressive Model) with AARCH (Asymmetric Auto-Regressive Conditional Heteroskedasticity) error term and its par…

2013-11-04abs ↗pdf ↗

Cactus improves auto-regressive decoding speed without sacrificing quality.

problem Accelerating auto-regressive decoding while maintaining output quality.
method Formalizes speculative sampling as constrained optimization and proposes Cactus for controlled divergence from the verifier distribution.
result Empirically validated effectiveness across various benchmarks.

A method for generating future samples in auto-regressive processes using confidence-based sampling.

problem Generating future samples in auto-regressive processes efficiently and accurately.
method Confidence-based sampling to simplify and parallelize the auto-regressive generation process.
result The method successfully captures complex data structures and generates meaningful future samples with lower computational cost.

The paper proposes a new auto-regressive model for multivariate distributional time series.

problem Statistical analysis of multivariate time series of probability measures.
method Wasserstein space, auto-regressive model, iterated random function systems.
result Consistent estimator for auto-regressive coefficients with sparse structure.

DSARF models complex spatio-temporal data with deep switching auto-regressive factors.

problem Forecasting complex spatio-temporal data with recurring patterns.
method Deep switching auto-regressive factorization (DSARF) with stochastic variational inference.
result DSARF outperforms state-of-the-art methods in long- and short-term prediction accuracy.

EBMs improve text discrimination by generating negatives from auto-regressive models.

problem Discriminating machine-generated text from human-generated text.
method Use energy-based models to discriminate text, generating negatives using pre-trained auto-regressive language models.
result EBMs can generalize well to changes in generator architectures but are sensitive to training set.

Improved text generation with constraints using discrete auto-regressive biasing.

problem Balancing fluency and constraint satisfaction in LLM outputs.
method Discrete Auto-regressive Biasing, leveraging gradients in discrete text space.
result Significantly improved constraint satisfaction with comparable fluency.

A new method estimates expectations from subtractive mixture models without sampling.

problem Estimating expectations from multimodal distributions using SMMs.
method Difference representation of SMMs to create unbiased IS estimator (ΔextExΔ ext{Ex}).
result Demonstrates that ΔextExΔ ext{Ex} can achieve comparable estimation quality to auto-regressive sampling but is faster.

The paper analyzes the joint dynamics of prices and order flow in electronic order books.

problem Understanding the micro-dynamics of asset prices in high-frequency trading environments.
method Double coarse-graining procedure and Principal Component Analysis to extract meaningful information.
result The VAR model captures the stability of liquidity modes and their dynamical evolution.

Autoregressive feedback is considered a necessity for successful unconditional text generation using stochastic sequence models. However, such feedback is known to introduce systematic biases into the training process and it obscures a principle of generation: committing to global information and forgetting local nuanc…

2018-06-12abs ↗pdf ↗

MDMs train to decode tokens in a random order, which affects performance; we show they can be optimized for a favorable order.

problem Performance of MDMs is affected by the random order in which tokens are decoded.
method We show that MDMs can be optimized for a favorable decoding order by equipping their continuous-time variational objective with multivariate noise schedules.
result MDMs can be decomposed into a weighted auto-regressive losses over orders, making them auto-regressive models with learnable orders.

Auto-regressive diffusion models improve capturing conditional dependence in data.

problem Vanilla diffusion models struggle to capture important, high-level relationships in real-world data.
method Developed auto-regressive diffusion models to better capture conditional dependence structures.
result AR diffusion models produce samples with a reduced gap in approximating the data conditional distribution.

A new method improves text generation quality and diversity.

problem Exposure bias in Maximum Likelihood Estimation for text generation.
method ψ-MLE, a new training scheme based on density ratio estimation.
result ψ-MLE outperforms Maximum Likelihood Estimation and other models in text generation quality and diversity.

Improves naturalness in TTS samples using quantized VAE and auto-regressive prosody.

problem Discontinuous and unnatural speech from standard VAE priors.
method Discretized latent features using vector quantization (VQ), and separately trained autoregressive (AR) prior model.
result Significantly improves naturalness in random sample generation.

Stochastic models fail to outperform standard recurrent networks in sequence modeling.

problem Discrepancy in performance between stochastic and standard recurrent models in sequence modeling.
method Re-examine roles of latent variables, remove restriction on fully factorized output distribution, compare auto-regressive models.
result Standard recurrent models consistently outperform stochastic models in sequence modeling.

We introduce an auto-regressive model which captures the growing nature of realistic markets. In our model agents do not trade with other agents, they interact indirectly only through a market. Change of their wealth depends, linearly on how much they invest, and stochastically on how much they gain from the noisy mark…

2008-03-27abs ↗pdf ↗

Numerous empirical proofs indicate the adequacy of the time discrete auto-regressive stochastic volatility models introduced by Taylor in the description of the log-returns of financial assets. The pricing and hedging of contingent products that use these models for their underlying assets is a non-trivial exercise due…

2011-10-28abs ↗pdf ↗

Transformer adapts to graphs with adaptive attention and auto-regressive decoding.

problem Transformers struggle with graph data due to non-sequential nature.
method Proposes GRAT, a Transformer variant with adaptive attention and auto-regressive decoding.
result GRAT achieves state-of-the-art performance on molecule property predictions and generation tasks.

New model uses physics equations to predict complex systems without needing data.

problem Lack of training data for deep learning models of complex systems.
method Physics-constrained deep auto-regressive network.
result Model predicts non-linear dynamical systems with uncertainty quantification.

Enhanced multi-fidelity models improve digital twin accuracy and uncertainty quantification.

problem Lack of detailed application-specific data and inaccurate sensor data hinder surrogate model learning for digital twins.
method Proposes a multi-fidelity surrogate model framework integrating PCFE and GP, and deep-HPCFE with auto-regression schemes.
result Demonstrates improved accuracy and uncertainty quantification in digital twin systems.

New approach predicts tokens in context, explaining how ICL emerges.

problem Limited understanding of in-context learning emergence.
method Auto-regressive next-token prediction (AR-NTP) with prompt token-dependency and a two-level expectation.
result ICL emerges from the generalization of sequences and topics.

A new RG approach connects discrete and continuous time descriptions of Gaussian processes.

problem Discretization of continuous stochastic processes for accurate simulation or model inference.
method Renormalization Group (RG) approach for Gaussian time series generated by auto-regressive models.
result RG fixed points correspond to discretizations of linear SDEs, providing insights into process accuracy.

We present a new classification method for quasar identification in the EROS-2 and MACHO datasets based on a boosted version of Random Forest classifier. We use a set of variability features including parameters of a continuous auto regressive model. We prove that continuous auto regressive parameters are very importan…

2013-04-01abs ↗pdf ↗

Study error bounds and optimal schedules for Masked Diffusions with factorized approximations.

problem Analyzing trade-offs between computation and accuracy in Masked Diffusion Models.
method Provided general error bounds and identified optimal schedules based on data distribution information profiles.
result Identified optimal schedule sizes for Masked Diffusion Models.

Breaks down complex nonlinear dynamics into simpler components.

problem Control of nonlinear dynamical systems remains challenging.
method Inspired by hybrid switching systems, decomposes dynamics into simpler stochastic switching linear dynamical systems.
result Extracts hierarchies of Markovian and auto-regressive locally linear controllers from nonlinear experts.

Rhino learns causal relationships from time series data with history-dependent noise.

problem Discovering causal relationships from time series data with non-linear relations, instantaneous effects, and history-dependent noise.
method Combines vector auto-regression, deep learning, and variational inference.
result Demonstrates better causal relationship discovery performance compared to baselines.

Evidential Softmax preserves multimodality in sparse probability distributions for generative models.

problem Sparse probability distributions in deep generative models make exact marginalization computationally intractable.
method Introduce ev-softmax, a sparse normalization function that preserves multimodality and can be trained with probabilistic loss functions.
result ev-softmax outperforms existing techniques in distributional accuracy and dimensionality reduction.

One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the dynamic factor models. A challenging issue is to determine which variables and (their)…

2011-06-20abs ↗pdf ↗

Consider a multi-variate time series (Xt)t=0T(X_t)_{t=0}^{T} where XtRdX_t \in \mathbb{R}^d which may represent spike train responses for multiple neurons in a brain, crime event data across multiple regions, and many others. An important challenge associated with these time series models is to estimate an influence network be…

2018-01-23abs ↗pdf ↗

Paper learns dynamic generator models for video sequences.

problem Modeling spatial-temporal processes like dynamic textures and actions.
method Alternating back-propagation through time algorithm to learn latent state vectors and generator model.
result Trains realistic models for dynamic textures and actions.

A method for identifying NPWARX models with arbitrary domains using probabilistic mixture models.

problem Identifying hybrid system models with discontinuous maps.
method Probabilistic mixture model with a neural network for nonlinear partitioning and Expectation Maximization for parameter estimation.
result Demonstrated on a nonlinear piece-wise problem with discontinuous maps.