arXiv research

New method disentangles latent variables in nonstationary data.

Granger causality is a fundamental technique for causal inference in time series data, commonly used in the social and biological sciences. Typical operationalizations of Granger causality make a strong assumption that every time point of the effect time series is influenced by a combination of other time series with a…

Granger causality is a fundamental technique for causal inference in time series data, commonly used in the social and biological sciences. Typical operationalizations of Granger causality make a strong assumption that every time point of the effect time series is influenced by a combination of other time series with a…

Algorithm improves RL by discovering delayed causal relations.

TSMB handles time delays in multivariate time series data.

BayTiDe discovers time-delayed differential equations from noisy data.

Study on synchronization in financial markets with time delays.

In this paper we studied about the wavelet identification of the thresholds and time delay for more general case without the constraint that the time delay is smaller than the order of the model. Here we composed an empirical wavelet from the SETAR (Self-Exciting Threshold Autoregressive) model and identified the thres…

New method estimates traffic congestion delays using statistical causality.

In this paper we investigate novel applications of a new class of equations which we call time-delayed backward stochastic differential equations. Time-delayed BSDEs may arise in finance when we want to find an investment strategy and an investment portfolio which should replicate a liability or meet a target depending…

This paper provides a mathematical framework for time-delay reservoir computing.

In this paper we show that several dynamical systems with time delay can be described as vector fields associated to smooth functions via a bracket of Leibniz structure. Some examples illustrate the theoretical considerations.

Time-delayed embeddings avoid self-intersections for high enough delay.

Improved GRU model with weighted time-delay feedback for long-term dependencies.

Predicting conversion rates (CVRs) in display advertising (e.g., predicting the proportion of users who purchase an item (i.e., a conversion) after its corresponding ad is clicked) is important when measuring the effects of ads shown to users and to understanding the interests of the users. There is generally a time de…

In this paper we consider backward stochastic differential equations with time-delayed generators of a moving average type. The classical framework with linear generators depending on $(Y(t),Z(t))$ is extended and we investigate linear generators depending on $(\frac{1}{t}\int_0^tY(s)ds, \frac{1}{t}\int_0^tZ(s)ds)$. We…

Improved modeling of chaotic systems using time-delay embeddings and Frenet-Serret frame.

This paper presents a stochastic logic time delay reservoir design. The reservoir is analyzed using a number of metrics, such as kernel quality, generalization rank, performance on simple benchmarks, and is also compared to a deterministic design. A novel re-seeding method is introduced to reduce the adverse effects of…

Framework LiLY recovers latent causal variables from time-series data under distribution shifts.

New framework TDRL identifies latent causal variables from sequential data.

Measures time-delay embedding for noisy, sparse data.

Survey of RL methods for control systems with time delays.

ERDMD discovers sparse, nonuniformly timed DMD models from chaotic attractors.

We propose a quantum machine learning algorithm for efficiently solving a class of problems encoded in quantum controlled unitary operations. The central physical mechanism of the protocol is the iteration of a quantum time-delayed equation that introduces feedback in the dynamics and eliminates the necessity of interm…

In this paper we study the problem of convergence and generalization error bound of stochastic momentum for deep learning from the perspective of regularization. To do so, we first interpret momentum as solving an $\ell_2$-regularized minimization problem to learn the offsets between arbitrary two successive model para…

TreeDOX predicts chaotic systems without hyperparameter tuning.

Neural Laplace Control tackles offline RL for continuous-time delayed systems with irregular observations.

In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian agents who process information from the market with different time delays. Each …

We review the spectral analysis and the time-dependent approach of scattering theory for manifolds with asymptotically cylindrical ends. For the spectral analysis, higher order resolvent estimates are obtained via Mourre theory for both short-range and long-range behaviors of the metric and the perturbation at infinity…

We consider the static and dynamic models of Cournot duopoly with tax evasion. In the dynamic model we introduce the time delay and we analyze the local stability of the stationary state. There is a critical value of the delay when the Hopf bifurcation occurs.

Study extends Lévy models to capture market propagation delays.

We propose a novel {\it Equilibrated Recurrent Neural Network} (ERNN) to combat the issues of inaccuracy and instability in conventional RNNs. Drawing upon the concept of autapse in neuroscience, we propose augmenting an RNN with a time-delayed self-feedback loop. Our sole purpose is to modify the dynamics of each inte…

This paper considers an often forgotten relationship, the time delay between a cause and its effect in economies and finance. We treat the case of Foreign Direct Investment (FDI) and economic growth, - measured through a country Gross Domestic Product (GDP). The pertinent data refers to 43 countries, over 1970-2015, - …

A reliable controller is critical and essential for the execution of safe and smooth maneuvers of an autonomous vehicle.The controller must be robust to external disturbances, such as road surface, weather, and wind conditions, and so on.It also needs to deal with the internal parametric variations of vehicle sub-syste…

In this paper we propose a novel observer-based method to improve the safety and security of connected and automated vehicle (CAV) transportation. The proposed method combines model-based signal filtering and anomaly detection methods. Specifically, we use adaptive extended Kalman filter (AEKF) to smooth sensor reading…

LEAP identifies latent causal variables from temporal data.

Time delay estimation (TDE) is a critical and challenging step in all ultrasound elastography methods. A growing number of TDE techniques require an approximate but robust and fast method to initialize solving for TDE. Herein, we present a fast method for calculating an approximate TDE between two radio frequency (RF) …

New framework IDOL identifies latent causal processes with instantaneous relations from time series data.

Parsimonious Dynamic Mode Decomposition selects sparse modes robustly.

Training deep recurrent neural network (RNN) architectures is complicated due to the increased network complexity. This disrupts the learning of higher order abstracts using deep RNN. In case of feed-forward networks training deep structures is simple and faster while learning long-term temporal information is not poss…

Novel method discovers causal relations in time series data, even with autocorrelation.

New method constructs multilayer networks from financial data, capturing dependencies across different risk factors.

This study uses persistent homology to analyze complex transitional networks from time series data.

Optimizes asset allocation with illiquid assets using MPC.

Aggregation distorts causal discovery results but recovery is possible with partial linearity or prior.

New method recovers radar and communication signals from overlaid data.

Solves utility maximization for delayed informed investors.

Many studies have shown that there are good reasons to claim very low predictability of currency nevertheless, the deviations from true randomness exist which have potential predictive and prognostic power [J.James, Quantitative finance 3 (2003) C75-C77]. We analyze the local trends which are of the main focus of the t…