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.
Reducing volatility proxy improves apparent market correlation dynamics.
Bayesian BIC for multi-trial data improves VAR model order selection.
A new criterion HBIC improves model selection for factor analysis with missing data.
We derive a new Bayesian Information Criterion (BIC) by formulating the problem of estimating the number of clusters in an observed data set as maximization of the posterior probability of the candidate models. Given that some mild assumptions are satisfied, we provide a general BIC expression for a broad class of data…
Improved survival analysis using square root Cox's models and neural networks.
The efficacy of family-based approaches to mixture model-based clustering and classification depends on the selection of parsimonious models. Current wisdom suggests the Bayesian information criterion (BIC) for mixture model selection. However, the BIC has well-known limitations, including a tendency to overestimate th…
DL/FBF improves GPSR solutions by selecting compact, generalising expressions.
Detecting and recovering labels in binomial logistic mixtures is challenging due to an information gap.
MIC improves VAR order selection accuracy.
New methods for scalable causal discovery from complex data.
In a Gaussian graphical model, the conditional independence between two variables are characterized by the corresponding zero entries in the inverse covariance matrix. Maximum likelihood method using the smoothly clipped absolute deviation (SCAD) penalty (Fan and Li, 2001) and the adaptive LASSO penalty (Zou, 2006) hav…
Stochastic blockmodels and variants thereof are among the most widely used approaches to community detection for social networks and relational data. A stochastic blockmodel partitions the nodes of a network into disjoint sets, called communities. The approach is inherently related to clustering with mixture models; an…
Study compares variable selection methods for model evaluation and search.
Bayesian model averaging, model selection and its approximations such as BIC are generally statistically consistent, but sometimes achieve slower rates og convergence than other methods such as AIC and leave-one-out cross-validation. On the other hand, these other methods can br inconsistent. We identify the "catch-up …
Variable clustering is important for explanatory analysis. However, only few dedicated methods for variable clustering with the Gaussian graphical model have been proposed. Even more severe, small insignificant partial correlations due to noise can dramatically change the clustering result when evaluating for example w…
We extend the Bayesian Information Criterion (BIC), an asymptotic approximation for the marginal likelihood, to Bayesian networks with hidden variables. This approximation can be used to select models given large samples of data. The standard BIC as well as our extension punishes the complexity of a model according to …
Score based learning (SBL) is a promising approach for learning Bayesian networks in the discrete domain. However, when employing SBL in the continuous domain, one is either forced to move the problem to the discrete domain or use metrics such as BIC/AIC, and these approaches are often lacking. Discretization can have …
A new framework detects changepoints in complex data.
New method corrects Laplace/BIC errors in singular models, revealing effective dimension.
Mixture model-based clustering has become an increasingly popular data analysis technique since its introduction over fifty years ago, and is now commonly utilized within a family setting. Families of mixture models arise when the component parameters, usually the component covariance (or scale) matrices, are decompose…
We discuss Bayesian methods for learning Bayesian networks when data sets are incomplete. In particular, we examine asymptotic approximations for the marginal likelihood of incomplete data given a Bayesian network. We consider the Laplace approximation and the less accurate but more efficient BIC/MDL approximation. We …
A statistical model or a learning machine is called regular if the map taking a parameter to a probability distribution is one-to-one and if its Fisher information matrix is always positive definite. If otherwise, it is called singular. In regular statistical models, the Bayes free energy, which is defined by the minus…
New approach for learning large Bayesian networks using feature clustering and compression.
For decomposable score-based structure learning of Bayesian networks, existing approaches first compute a collection of candidate parent sets for each variable and then optimize over this collection by choosing one parent set for each variable without creating directed cycles while maximizing the total score. We target…
Since exchange economy considerably varies in the market assets, asset prices have become an attractive research area for investigating and modeling ambiguous and uncertain information in today markets. This paper proposes a new generative uncertainty mechanism based on the Bayesian Inference and Correntropy (BIC) tech…
Model selection is indispensable to high-dimensional sparse modeling in selecting the best set of covariates among a sequence of candidate models. Most existing work assumes implicitly that the model is correctly specified or of fixed dimensions. Yet model misspecification and high dimensionality are common in real app…
Bayesian model selection via mean-field variational approximation improves efficiency and accuracy.
A new clustering method for vector time series using autoregressive dynamics.
A contaminated mixture model detects outliers in multivariate functional data.
We propose a parsimonious topic model for text corpora. In related models such as Latent Dirichlet Allocation (LDA), all words are modeled topic-specifically, even though many words occur with similar frequencies across different topics. Our modeling determines salient words for each topic, which have topic-specific pr…
SplitWise enhances stepwise regression by adaptively encoding numeric predictors into binary features.
A challenging problem in estimating high-dimensional graphical models is to choose the regularization parameter in a data-dependent way. The standard techniques include -fold cross-validation (-CV), Akaike information criterion (AIC), and Bayesian information criterion (BIC). Though these methods work well for lo…
This paper presents the R package gRapHD for efficient selection of high-dimensional undirected graphical models. The package provides tools for selecting trees, forests and decomposable models minimizing information criteria such as AIC or BIC, and for displaying the independence graphs of the models. It has also some…
Bayesian method for knot inference in multivariate spline regression.
Markov networks are widely studied and used throughout multivariate statistics and computer science. In particular, the problem of learning the structure of Markov networks from data without invoking chordality assumptions in order to retain expressiveness of the model class has been given a considerable attention in t…
Many algorithms for score-based Bayesian network structure learning (BNSL), in particular exact ones, take as input a collection of potentially optimal parent sets for each variable in the data. Constructing such collections naively is computationally intensive since the number of parent sets grows exponentially with t…
An AI approach selects variables in linear models.
We have recently proposed a new information-based approach to model selection, the Frequentist Information Criterion (FIC), that reconciles information-based and frequentist inference. The purpose of this current paper is to provide a simple example of the application of this criterion and a demonstration of the natura…
A new algorithm learns MAGs from data more efficiently using entropy.
New method speeds up model selection for complex scientific tasks.
Stable random variables are motivated by the central limit theorem for densities with (potentially) unbounded variance and can be thought of as natural generalizations of the Gaussian distribution to skewed and heavy-tailed phenomenon. In this paper, we introduce stable graphical (SG) models, a class of multivariate st…
We study the cohomology properties of the singular foliation $\F$ determined by an action where the abelian Lie group preserves a riemannian metric on the compact manifold . More precisely, we prove that the basic intersection cohomology $\lau{\IH}{*}{\per{p}}{\mf}$ is finite dimensiona…
In the paper we introduce the notions of a singular fibration and a singular Seifert fibration. These notions are natural generalizations of the notion of a locally trivial fibration to the category of stratified pseudomanifolds. For singular foliations defined by such fibrations we prove a de Rham type theorem for the…
PASTIS method selects simple models from noisy data.
The starting point of this article is the question "How to retrieve fingerprints of rhythm in written texts?" We address this problem in the case of Brazilian and European Portuguese. These two dialects of Modern Portuguese share the same lexicon and most of the sentences they produce are superficially identical. Yet t…
Paper introduces NICc for fast cluster-based validation of prediction models.
Variable (feature, gene, model, which we use interchangeably) selections for regression with high-dimensional BIGDATA have found many applications in bioinformatics, computational biology, image processing, and engineering. One appealing approach is the L0 regularized regression which penalizes the number of nonzero fe…
We describe a simple, efficient, permutation based procedure for selecting the penalty parameter in the LASSO. The procedure, which is intended for applications where variable selection is the primary focus, can be applied in a variety of structural settings, including generalized linear models. We briefly discuss conn…