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.
AR-CSM models use derivatives of univariate log-conditionals to estimate joint distributions efficiently.
problem Scalability and stability issues in training autoregressive models.
method Parameterize joint distribution using derivatives of univariate log-conditionals and introduce Composite Score Matching (CSM) for efficient training.
result AR-CSM models are more scalable and stable compared to previous score matching algorithms.
This paper models how features influence event triggers in high-dimensional networks.
problem Estimating context-dependent networks in high-dimensional marked point processes.
method Leveraging compositional time series and regularization methods, the paper considers autoregressive multinomial and logistic-normal models for network estimation.
result The logistic-normal model leads to a convex negative log-likelihood objective and captures dependence across categories.
This study was conducted to find an appropriate statistical model to forecast the volatilities of PSEi using the model Generalized Autoregressive Conditional Heteroskedasticity (GARCH). Using the R software, the log returns of PSEi is modeled using various ARIMA models and with the presence of heteroskedasticity, the l…
We propose a framework for solving high-dimensional Bayesian inference problems using \emph{structure-exploiting} low-dimensional transport maps or flows. These maps are confined to a low-dimensional subspace (hence, lazy), and the subspace is identified by minimizing an upper bound on the Kullback--Leibler divergence …
Autoregressive sequence models achieve state-of-the-art performance in domains like machine translation. However, due to the autoregressive factorization nature, these models suffer from heavy latency during inference. Recently, non-autoregressive sequence models were proposed to reduce the inference time. However, the…
Vector autoregressive models characterize a variety of time series in which linear combinations of current and past observations can be used to accurately predict future observations. For instance, each element of an observation vector could correspond to a different node in a network, and the parameters of an autoregr…
We investigate the behavior of the Shanghai Stock Exchange Composite (SSEC) index for the period from 1990:12 to 2007:06 using an unconstrained two-regime threshold autoregressive (TAR) model with an unit root developed by Caner and Hansen. The method allows us to simultaneously consider non-stationarity and nonlineari…
Missing value imputation is a fundamental problem in spatiotemporal modeling, from motion tracking to the dynamics of physical systems. Deep autoregressive models suffer from error propagation which becomes catastrophic for imputing long-range sequences. In this paper, we take a non-autoregressive approach and propose …
We derive generalization error bounds for stationary univariate autoregressive (AR) models. We show that imposing stationarity is enough to control the Gaussian complexity without further regularization. This lets us use structural risk minimization for model selection. We demonstrate our methods by predicting interest…
How can neural networks perform so well on compositional tasks even though they lack explicit compositional representations? We use a novel analysis technique called ROLE to show that recurrent neural networks perform well on such tasks by converging to solutions which implicitly represent symbolic structure. This meth…
We contribute a pop-song automation framework for lead melody generation and accompaniment arrangement. The framework reflects the major procedures of human music composition, generating both lead melody and piano accompaniment by a unified strategy. Specifically, we take chord progression as an input and propose three…
Autoregressive generative models of images tend to be biased towards capturing local structure, and as a result they often produce samples which are lacking in terms of large-scale coherence. To address this, we propose two methods to learn discrete representations of images which abstract away local detail. We show th…
Flow-based generative models are a family of exact log-likelihood models with tractable sampling and latent-variable inference, hence conceptually attractive for modeling complex distributions. However, flow-based models are limited by density estimation performance issues as compared to state-of-the-art autoregressive…
Autoregressive networks can achieve promising performance in many sequence modeling tasks with short-range dependence. However, when handling high-dimensional inputs and outputs, the huge amount of parameters in the network lead to expensive computational cost and low learning efficiency. The problem can be alleviated …
Compositional structures between parts and objects are inherent in natural scenes. Modeling such compositional hierarchies via unsupervised learning can bring various benefits such as interpretability and transferability, which are important in many downstream tasks. In this paper, we propose the first deep latent vari…
CAST predicts distribution-valued time series by stabilizing and transporting simplex-supported successors.
problem Forecasting distribution-valued time series with structural failure modes.
method CAST (Causal Anchored Simplex Transport) uses successors retrieved from causal context, stabilized with a persistence anchor, and locally transported on ordered supports.
result CAST outperforms baselines on eleven public and simulated benchmarks, achieving best average rank on both one-step KL and autoregressive rollout JSD.
Building on the universal covering group of the general linear group, we introduce the composite spinor bundle whose subbundles are Lorentz spin structures associated with different gravitational fields. General covariant transformations of this composite spinor bundle are canonically defined.
We demonstrate a conditional autoregressive pipeline for efficient music recomposition, based on methods presented in van den Oord et al.(2017). Recomposition (Casal & Casey, 2010) focuses on reworking existing musical pieces, adhering to structure at a high level while also re-imagining other aspects of the work. This…
Many machine learning algorithms represent input data with vector embeddings or discrete codes. When inputs exhibit compositional structure (e.g. objects built from parts or procedures from subroutines), it is natural to ask whether this compositional structure is reflected in the the inputs' learned representations. W…