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.
Style Miner generates stable and significant style factors for time series analysis.
XGL uses global explanations to guide human supervision in machine learning.
Recent years have seen much research on fairness in machine learning. Here, mean difference (MD) or demographic parity is one of the most popular measures of fairness. However, MD quantifies not only discrimination but also explanatory bias which is the difference of outcomes justified by explanatory features. In this …
Bayesian framework explains diverse explanatory values.
FFRK automatically extracts features for spatial interpolation without external variables.
RelatIF selects more intuitive training examples for explaining model predictions.
Paper improves deep learning convergence rates for low-dimensional data.
This text discusses several popular explanatory methods that go beyond the error measurements and plots traditionally used to assess machine learning models. Some of the explanatory methods are accepted tools of the trade while others are rigorously derived and backed by long-standing theory. The methods, decision tree…
PROD method improves high-dimensional regression by handling strong correlations.
There has recently been a surge of work in explanatory artificial intelligence (XAI). This research area tackles the important problem that complex machines and algorithms often cannot provide insights into their behavior and thought processes. XAI allows users and parts of the internal system to be more transparent, p…
Although interactive learning puts the user into the loop, the learner remains mostly a black box for the user. Understanding the reasons behind queries and predictions is important when assessing how the learner works and, in turn, trust. Consequently, we propose the novel framework of explanatory interactive learning…
We study the problem of identifying a probability distribution for some given randomly sampled data in the limit, in the context of algorithmic learning theory as proposed recently by Vinanyi and Chater. We show that there exists a computable partial learner for the computable probability measures, while by Bienvenu, M…
Knockoffs method selects financial factors, controlling false discoveries.
Principal component regression (PCR) is a two-stage procedure: the first stage performs principal component analysis (PCA) and the second stage constructs a regression model whose explanatory variables are replaced by principal components obtained by the first stage. Since PCA is performed by using only explanatory var…
A new framework for time series analysis using state-space learning.
A measure of relative importance of variables is often desired by researchers when the explanatory aspects of econometric methods are of interest. To this end, the author briefly reviews the limitations of conventional econometrics in constructing a reliable measure of variable importance. The author highlights the rel…
Multimodal sensory data resembles the form of information perceived by humans for learning, and are easy to obtain in large quantities. Compared to unimodal data, synchronization of concepts between modalities in such data provides supervision for disentangling the underlying explanatory factors of each modality. Previ…
Paper uses interbank contagion to predict U.S. bank defaults, finding it highly explanatory.
Deep learning extracts terrain texture covariates for geostatistical modeling.
New method selects direct causal parents from large sets of variables.
Nonlinear kernel regression models are often used in statistics and machine learning because they are more accurate than linear models. Variable selection for kernel regression models is a challenge partly because, unlike the linear regression setting, there is no clear concept of an effect size for regression coeffici…
PiNets provide faithful explanations for neural networks.
Probabilistic learning for binary classification with categorical variables.
Interpretable representations improve explainable AI by translating complex data into understandable concepts.
Interpretable machine learning uncovers ESG's explanatory power on equity returns across sectors and capitalizations.
When response variables are nominal and populations are cross-classified with respect to multiple polytomies, questions often arise about the degree of association of the responses with explanatory variables. When populations are known, we introduce a nominal association vector and matrix to evaluate the dependence of …
Principal component regression (PCR) is a two-stage procedure that selects some principal components and then constructs a regression model regarding them as new explanatory variables. Note that the principal components are obtained from only explanatory variables and not considered with the response variable. To addre…
Statistical detection of a rare class of objects in a two-class classification problem can pose several challenges. Because the class of interest is rare in the training data, there is relatively little information in the known class response labels for model building. At the same time the available explanatory variabl…
Realized moments of higher order computed from intraday returns are introduced in recent years. The literature indicates that realized skewness is an important factor in explaining future asset returns. However, the literature mainly focuses on the whole market and on the monthly or weekly scale. In this paper, we cond…
The problem of inferring the direct causal parents of a response variable among a large set of explanatory variables is of high practical importance in many disciplines. Recent work exploits stability of regression coefficients or invariance properties of models across different experimental conditions for reconstructi…
Proposes models to better represent ordinal data with non-unimodal distributions.
The paper develops a method to model high-dimensional data with many variables and weak signals.
In traditional generative modeling, good data representation is very often a base for a good machine learning model. It can be linked to good representations encoding more explanatory factors that are hidden in the original data. With the invention of Generative Adversarial Networks (GANs), a subclass of generative mod…
Develops method to assess feature importance in black-box models for unconditional distribution.
We propose to learn a hierarchical prior in the context of variational autoencoders to avoid the over-regularisation resulting from a standard normal prior distribution. To incentivise an informative latent representation of the data, we formulate the learning problem as a constrained optimisation problem by extending …
We consider the problem of sparsity-constrained -estimation when both explanatory and response variables have heavy tails (bounded 4-th moments), or a fraction of arbitrary corruptions. We focus on the -sparse, high-dimensional regime where the number of variables and the sample size are related through $…
Proposes a method to explain black-box models using causal learning.
A new estimator learns sparse linear models with context-dependent coefficients.
Proposes a neural network for accurate and reconciled hierarchical time series forecasting.
We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory power than the beta parameter of the capital asset pricing model. For asset pricing we define the continuous entropy as an alternative meas…
According to Dennett, the same system may be described using a `physical' (mechanical) explanatory stance, or using an `intentional' (belief- and goal-based) explanatory stance. Humans tend to find the physical stance more helpful for certain systems, such as planets orbiting a star, and the intentional stance for othe…
Paper summarizes unsupervised learning challenges for disentangled representations.
Bayesian nonparametric machine learning improves instrumental variable inference.
Enhances patient failure prediction using dynamic survival models.
Interactive EMA combines multiple explainability methods to improve model understanding.
New research shows input-gradients can be manipulated without changing model's core function, challenging their use for model interpretation.
This paper analyzes deep federated learning for low-dimensional data, revealing intrinsic dimensionality's role in convergence rates.
Deep neural networks have shown excellent performances in many real-world applications. Unfortunately, they may show "Clever Hans"-like behavior -- making use of confounding factors within datasets -- to achieve high performance. In this work, we introduce the novel learning setting of "explanatory interactive learning…