Auto-regressive models improve smoothing efficiency with exponentially tapered windows.
problem Improving time-series smoothing efficiency.
method An auto-regressive formulation for time-series smoothing.
result Auto-regressive models result in moving means with exponentially tapered windows.
Optimal weight windows are symmetric rectangles centered at peak.
problem Finding the best weight windows for weighted least squares.
method Investigated symmetric and tapered rectangle window weights, showing the best rectangle window is optimal.
result The best rectangle window is optimal for all tapered rectangle window definitions.
Optimal weight windows are found by projecting the origin onto a convex polytope.
problem Finding the best weight windows for a weighted moving average smoother.
method Formulated as a quadratic program and projection onto a convex polytope.
result Optimal weight windows are symmetrical and decrease in weight away from the center.
Study examines how institutional differences and crises affect volatility in ASEAN stock markets.
problem Understanding how institutional differences and crises impact volatility in emerging Asian stock markets.
method By-window EGARCH/TGARCH analysis of daily stock index returns for Indonesia, Malaysia, and the Philippines from 2010 to 2024.
result All three markets show strong volatility persistence and fat-tailed returns; crises increase persistence and asymmetry, while tail thickness rises.
Neural network pruning is an important step in design process of efficient neural networks for edge devices with limited computational power. Pruning is a form of knowledge transfer from the weights of the original network to a smaller target subnetwork. We propose a new method for compute-constrained structured channe…
A new method for exponentially weighted moving models using approximations.
problem Efficiently updating moving averages for time series data.
method Approximates EWMM using a fixed window and quadratic term, solving non-growing problems.
result Approximation produces estimates similar to exact EWMM.
Effective representation learning of electronic health records is a challenging task and is becoming more important as the availability of such data is becoming pervasive. The data contained in these records are irregular and contain multiple modalities such as notes, and medical codes. They are preempted by medical co…
Improved algorithm reduces excess risk in selective learning.
problem Selective learning with windowed model selection.
method Hybrid Exponential Weights Algorithm and bounded-recall ERM.
result Achieves expected excess risk of O((log log |L| + log log n) / log n).
We introduce a new sparse estimator of the covariance matrix for high-dimensional models in which the variables have a known ordering. Our estimator, which is the solution to a convex optimization problem, is equivalently expressed as an estimator which tapers the sample covariance matrix by a Toeplitz, sparsely-banded…
A complex-valued convolutional network (convnet) implements the repeated application of the following composition of three operations, recursively applying the composition to an input vector of nonnegative real numbers: (1) convolution with complex-valued vectors followed by (2) taking the absolute value of every entry…
New algorithms achieve optimal regret in sliding window model with limited memory.
problem Experts problem in the sliding window model with limited information.
method 2 queries, polylog(nT) memory, exponential improvement on memory.
result Achieve optimal regret of sqrt(nW)polylog(nT) with 2 queries and polylog(nT) memory.
New moving average adapts weight dynamically based on polynomial and wavefunction.
problem Lagging traditional moving averages in adjusting to changes in data.
method Develops a moving average with weight as a polynomial of a wavefunction from an eigenproblem.
result Immediate 'switch' without lag, adapting to changes in data.
Enhanced GNN with expanded attention window and partially random embeddings.
problem Limited expressivity of traditional GNNs in distinguishing non-isomorphic graphs.
method Graph attention network with expanding attention window and partially random initial embeddings. Head dropout for regularization.
result Improved ability to differentiate between non-isomorphic graphs.
New GLB algorithm handles non-stationary data with forgetting.
problem Non-stationary GLB with non-convex projection or burn-in phases.
method Self-concordant GLB with sliding window or exponential weights for forgetting.
result Novel confidence-based algorithm for maximum likelihood estimator.
Time series analysis is used to understand and predict dynamic processes, including evolving demands in business, weather, markets, and biological rhythms. Exponential smoothing is used in all these domains to obtain simple interpretable models of time series and to forecast future values. Despite its popularity, expon…
Adaptive beamforming collapses in highly non-stationary environments, but the Universal Switching Beamformer resolves this by dynamically adjusting memory length.
problem Adaptive beamforming performance degrades in highly non-stationary environments.
method Integrating sequential prediction into the beamforming architecture.
result The USB achieves agility and precision in tracking highly non-stationary scenes.
This study optimizes trading strategy parameters using walk-forward techniques and finds robust performance.
problem Optimizing trading strategy performance through parameter optimization.
method Walk-forward optimization with varying window lengths, tested on Bitcoin, Binance Coin, and Ethereum.
result The strategy outperforms Buy-and-Hold with lower drawdown and higher Information Ratio.
Differentiable Window improves attention modules by enabling more focused attentions.
problem Improving attention mechanisms in neural networks.
method Proposes Differentiable Window, a neural module for dynamic window selection.
result Consistent and sizable improvements across various NLP tasks.
BAWS adapts window size for financial risk forecasting.
problem Adaptive selection of look-back window for financial risk modeling.
method Data-driven online learning method using bootstrap-based adaptive window selection (BAWS).
result BAWS improves risk forecasting, especially in data with structural changes.
We continue to develop our neural network (NN) based forecasting approach to anomaly detection (AD) using the Secure Water Treatment (SWaT) industrial control system (ICS) testbed dataset. We propose genetic algorithms (GA) to find the best NN architecture for a given dataset, using the NAB metric to assess the quality…
Five simple soft sensor methodologies with two update conditions were compared on two experimentally-obtained datasets and one simulated dataset. The soft sensors investigated were moving window partial least squares regression (and a recursive variant), moving window random forest regression, the mean moving window of…
Paper evaluates deadline-ILS on insider trading contracts, finding it distinguishes signals from noise.
problem Deadlines in insider trading contracts and information leakage detection.
method Empirical evaluation using FFIC dataset, hazard-rate estimation, cross-market wallet analysis.
result Deadline-ILS distinguishes signal from proxy artefact, with a significant shift in magnitude.
Paper introduces a differentiable STFT for continuous window length optimization.
problem Optimizing window length in spectrograms for neural networks.
method Defines a differentiable short-time Fourier transform with continuous window length.
result Demonstrates improved performance in estimation and classification tasks.
This paper presents a spatiotemporal unsupervised feature learning method for cause identification of electromagnetic transient events (EMTE) in power grids. The proposed method is formulated based on the availability of time-synchronized high-frequency measurement, and using the convolutional neural network (CNN) as t…
We show that finite-width deep ReLU neural networks yield rate-distortion optimal approximation (Bölcskei et al., 2018) of polynomials, windowed sinusoidal functions, one-dimensional oscillatory textures, and the Weierstrass function, a fractal function which is continuous but nowhere differentiable. Together with thei…
Novel time series forecasting method using sliding window signatures.
problem Challenges in forecasting nonlinear and delayed time series data.
method Ridge regression with signature features calculated on sliding windows.
result Signature features effectively encode temporal and nonlinear dependencies, leading to accurate forecasts.
Proposes a sliding window method for better portfolio trading.
problem Log-optimal portfolio problem with time-varying weights.
method Data-driven sliding window approach to solve log-optimal portfolio problem.
result Trading strategy outperforms classical log-optimal portfolio in cumulative returns.
We present a new algorithm for the 2D Sliding Window Discrete Fourier Transform (SWDFT). Our algorithm avoids repeating calculations in overlapping windows by storing them in a tree data-structure based on the ideas of the Cooley- Tukey Fast Fourier Transform (FFT). For an N0×N1 array and n0×n1 wi…
Improved convergence of fixed-point methods using windowed Anderson acceleration.
problem Improving convergence of fixed-point methods for symmetric operators.
method Windowed Anderson acceleration for symmetric fixed-point iterations.
result Windowed Anderson acceleration improves convergence over standard fixed-point methods.
Improved Granger causality method for dynamic time series data.
problem Traditional Granger causality method assumes constant causalities, failing to model dynamic causalities.
method Dynamic window-level Granger causality (DWGC) method with causality indexing.
result Improved DWGC method better detects window-level causalities.
Study compares GARCH, EWMA, and IV models for GBP/USD and EUR/GBP currency pairs.
problem Predicting 20-day variation in GBP/USD and EUR/GBP currency pairs.
method Applied GARCH, EWMA, and IV models to GBP/USD and EUR/GBP pairs data.
result GARCH models outperform other models in predicting volatility for EUR/GBP, while GARCH with rolling window for GBP/USD.
WeldNet reduces complex dynamics to simpler, manageable segments.
problem Complex, high-dimensional time-dependent datasets from physical processes are costly to simulate.
method Windowed Encoders for Learning Dynamics, splitting time domain into windows for nonlinear dimension reduction and propagator training.
result WeldNet captures nonlinear latent structures and dynamics, outperforming existing methods.
In many applications, monitoring area under the ROC curve (AUC) in a sliding window over a data stream is a natural way of detecting changes in the system. The drawback is that computing AUC in a sliding window is expensive, especially if the window size is large and the data flow is significant. In this paper we propo…
Quantum mixing for eigenfunctions on hyperbolic surfaces converging to the hyperbolic plane.
problem Mixing of quantum eigenfunctions on converging hyperbolic surfaces.
method Duhamel formula for hyperbolic wave equation, exponential mixing of geodesic flow.
result Quantum mixing for eigenfunctions in large spectral windows.
Study predicts cryptocurrency trends using LSTM model.
problem Predicting cryptocurrency price trends.
method Combination of window-sliding and prediction range method with LSTM model.
result Established model for cryptocurrency price trend prediction.
Optimizes sliding window approach for tracking Gaussian densities.
problem Improving tracking performance of Gaussian density estimation.
method Theoretical analysis of sliding window Gaussian Kernel Density Estimators.
result Empirical evidence shows improved tracking performance with optimal weight sequence.
BWS selects best window subsets for efficient data pruning.
problem Challenges in selecting subsets of large datasets for neural network training.
method Best Window Selection (BWS) by choosing optimal window intervals from ordered sample scores.
result BWS outperforms other methods across various selection ratios and datasets.
KeRNS tackles non-stationary reinforcement learning in metric spaces.
problem Non-stationary reinforcement learning in metric spaces.
method KeRNS uses time-dependent kernels to model non-stationary Markov Decision Processes (MDPs).
result KeRNS achieves a regret bound that scales with the covering dimension and total variation of the MDP.
Occupant behavior (OB) and in particular window openings need to be considered in building performance simulation (BPS), in order to realistically model the indoor climate and energy consumption for heating ventilation and air conditioning (HVAC). However, the proposed OB window opening models are often biased towards …
We identify 'critical windows' in diffusion models where specific features emerge, providing a theoretical framework.
problem Understanding narrow time intervals in diffusion models where specific features emerge.
method Developed a formal framework to study these critical windows, showing provable bounds for certain data types.
result Proved that critical windows can be bounded in terms of measures of separation for data from mixtures of log-concave densities.
We study the dynamics of the linear and non-linear serial dependencies in financial time series in a rolling window framework. In particular, we focus on the detection of episodes of statistically significant two- and three-point correlations in the returns of several leading currency exchange rates that could offer so…
Proposes a method to train classifiers with delayed feedback using a time window.
problem Training classifiers with delayed feedback that can be biased due to delayed user actions.
method Uses a time window to select samples for training, constructs unbiased empirical risk from all samples.
result Improves classifier performance by using all samples with a time window assumption.
Statistical test verifies long-term rating system calibration with overlapping time windows.
problem Verifying supervisory requirements for overlapping time windows in rating systems.
method Analyzes long-run default rate distribution and correlation effects; presents conservative calibration test methods.
result Developed a test for individual and portfolio levels that can handle unknown variance.
CrossAD detects anomalies in time series data by considering cross-scale associations and cross-window modeling.
problem Anomaly detection in time series data is challenging due to varying patterns at different scales and fixed window sizes.
method CrossAD incorporates cross-scale reconstruction and a query library to capture dynamic cross-scale associations and comprehensive context.
result CrossAD achieves state-of-the-art performance in anomaly detection across multiple real-world datasets.
K-fold Cross Validation is commonly used to evaluate classifiers and tune their hyperparameters. However, it assumes that data points are Independent and Identically Distributed (i.i.d.) so that samples used in the training and test sets can be selected randomly and uniformly. In Human Activity Recognition datasets, we…
High-dimensional diffusion models suffer from distorted samples due to CFG.
problem Distortions in high-dimensional guided diffusion models.
method Analytical tools from statistical physics, dynamic mean-field theory.
result Distortions arise in high-dimensional settings due to class separability issues.
This paper addresses the question of identifying the time-window in short-term past from which the information regarding the future occupant's window opening actions and resulting window states in buildings can be predicted. The addressed sequence duration was in the range between 30 and 240 time-steps of indoor climat…
We report on time-varying network connectedness within three banking systems: North America, the EU, and ASEAN. The original method by Diebold and Yilmaz is improved by using exponentially weighted daily returns and ridge regularization on vector autoregression (VAR) and forecast error variance decomposition (FEVD). We…