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.
Paper introduces NICc for fast cluster-based validation of prediction models.
This paper aims to review the methodology behind the generalized linear models which are used in analyzing the actuarial situations instead of the ordinary multiple linear regression. We introduce how to assess the adequacy of the model which includes comparing nested models using the deviance and the scaled deviance. …
Bayesian model clusters brain activity time series.
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…
Deviance Voronoi residuals improve earthquake insurance risk assessment.
Deviance-style normalization for sparse, jointly overdispersed count matrices
Extends matrix factorization for deviance-based losses with GLM theory.
Dynamic model captures spatial, temporal, and spatiotemporal volatility effects.
Bayesian CART models improve insurance claims frequency prediction and interpretation.
The paper addresses insurance pricing by improving machine learning models and metrics.
Discovering the causal structure among a set of variables is a fundamental problem in many areas of science. In this paper, we propose Kernel Conditional Deviance for Causal Inference (KCDC) a fully nonparametric causal discovery method based on purely observational data. From a novel interpretation of the notion of as…
EGO-MDA identifies optimal spectral-bands for process discrimination.
We introduce a new criterion to determine the order of an autoregressive model fitted to time series data. It has the benefits of the two well-known model selection techniques, the Akaike information criterion and the Bayesian information criterion. When the data is generated from a finite order autoregression, the Bay…
New criterion improves predictive evaluation in weighted inference scenarios.
The Partial Information Decomposition (PID) [arXiv:1004.2515] provides a theoretical framework to characterize and quantify the structure of multivariate information sharing. A new method (Idep) has recently been proposed for computing a two-predictor PID over discrete spaces. [arXiv:1709.06653] A lattice of maximum en…
A widely applicable Bayesian information criterion (Watanabe, 2013) is applicable for both regular and singular models in the model selection problem. This criterion tends to overestimate the log marginal likelihood. We identify an overestimating term of a widely applicable Bayesian information criterion. Adjustment of…
This paper generalizes beta divergence beyond its classical form associated with power variance functions of Tweedie models. Generalized form is represented by a compact definite integral as a function of variance function of the exponential dispersion model. This compact integral form simplifies derivations of many pr…
Proposes a new hyperprior and predictive criterion for weakly informative hyperprior in relevance vector machine.
SIC detects elbows in error curves automatically.
Study shows the corrected Akaike criterion is inadmissible for estimating Kullback-Leibler discrepancy.
Complete criterion for VoI in multi-decision influence diagrams established.
Bregman perspective on CART provides a unified framework for impurity measures.
In the information-based paradigm of inference, model selection is performed by selecting the candidate model with the best estimated predictive performance. The success of this approach depends on the accuracy of the estimate of the predictive complexity. In the large-sample-size limit of a regular model, the predicti…
LS improves model selection for singular statistical models.
SplitWise enhances stepwise regression by adaptively encoding numeric predictors into binary features.
In this paper, we propose an information-theoretic exploration strategy for stochastic, discrete multi-armed bandits that achieves optimal regret. Our strategy is based on the value of information criterion. This criterion measures the trade-off between policy information and obtainable rewards. High amounts of policy …
A new criterion selects models in overparameterized settings.
A new criterion HBIC improves model selection for factor analysis with missing data.
The discovery of causal relationships is a fundamental problem in science and medicine. In recent years, many elegant approaches to discovering causal relationships between two variables from observational data have been proposed. However, most of these deal only with purely directed causal relationships and cannot det…
Statistical inference is considered for variables of interest, called primary variables, when auxiliary variables are observed along with the primary variables. We consider the setting of incomplete data analysis, where some primary variables are not observed. Utilizing a parametric model of joint distribution of prima…
This paper introduces Kernel-based Information Criterion (KIC) for model selection in regression analysis. The novel kernel-based complexity measure in KIC efficiently computes the interdependency between parameters of the model using a variable-wise variance and yields selection of better, more robust regressors. Expe…
The paper derives an equation linking WAIC and WBIC for singular 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…
We test three common information criteria (IC) for selecting the order of a Hawkes process with an intensity kernel that can be expressed as a mixture of exponential terms. These processes find application in high-frequency financial data modelling. The information criteria are Akaike's information criterion (AIC), the…
When the in-sample Sharpe ratio is obtained by optimizing over a k-dimensional parameter space, it is a biased estimator for what can be expected on unseen data (out-of-sample). We derive (1) an unbiased estimator adjusting for both sources of bias: noise fit and estimation error. We then show (2) how to use the adjust…
New method uses kernel deviance measures to discover causal relationships in heterogeneous data.
We study tick-by-tick financial returns belonging to the FTSE MIB index of the Italian Stock Exchange (Borsa Italiana). We can confirm previously detected non-stationarities. However, scaling properties reported in the previous literature for other high-frequency financial data are only approximately valid. As a conseq…
Paper improves feature selection accuracy using transfer learning.
Proposes SNML for selecting word2vec Skip-gram dimensionality.
Reasoning based on causality, instead of association has been considered as a key ingredient towards real machine intelligence. However, it is a challenging task to infer causal relationship/structure among variables. In recent years, an Independent Mechanism (IM) principle was proposed, stating that the mechanism gene…
Safe Bayesian optimization method using information theory.
A new method for automatic gradient tree boosting using information theory.
Comparing with traditional learning criteria, such as mean square error (MSE), the minimum error entropy (MEE) criterion is superior in nonlinear and non-Gaussian signal processing and machine learning. The argument of the logarithm in Renyis entropy estimator, called information potential (IP), is a popular MEE cost i…
The paper describes a method to infer the signal-to-noise ratio in portfolio optimization.
Factorized Information Criterion (FIC) is a recently developed information criterion, based on which a novel model selection methodology, namely Factorized Asymptotic Bayesian (FAB) Inference, has been developed and successfully applied to various hierarchical Bayesian models. The Dirichlet Process (DP) prior, and one …
Accurate model selection is a fundamental requirement for statistical analysis. In many real-world applications of graphical modelling, correct model structure identification is the ultimate objective. Standard model validation procedures such as information theoretic scores and cross validation have demonstrated poor …
Two new algorithms reduce feature space while preserving non-linear relationships.
A new criterion for deep active learning selects minimal labeled data points.