arXiv research

We apply the procedure of Lee et al. to the problem of performing inference on the signal-noise ratio of the asset which displays maximum sample Sharpe ratio over a set of possibly correlated assets. We find a multivariate analogue of the commonly used approximate standard error of the Sharpe ratio to use in this condi…

Accurate on-device keyword spotting (KWS) with low false accept and false reject rate is crucial to customer experience for far-field voice control of conversational agents. It is particularly challenging to maintain low false reject rate in real world conditions where there is (a) ambient noise from external sources s…

We consider the classical problem of learning rates for classes with finite VC dimension. It is well known that fast learning rates up to $O\left(\frac{d}{n}\right)$ are achievable by the empirical risk minimization algorithm (ERM) if low noise or margin assumptions are satisfied. These usually require the optimal Baye…

The log-periodic power law (LPPL) is a model of asset prices during endogenous bubbles. A major open issue is to verify the presence of LPPL in price sequences and to estimate the LPPL parameters. Estimation is complicated by the fact that daily LPPL returns are typically orders of magnitude smaller than measured price…

PRS improves rejection sampling by learning better proposals.

In many real applications of statistical learning, a decision made from misclassification can be too costly to afford; in this case, a reject option, which defers the decision until further investigation is conducted, is often preferred. In recent years, there has been much development for binary classification with a …

Proposes a new undersampling method for imbalanced data classification.

Paper tackles regression with cost-based rejection, balancing prediction and rejection costs.

Accurate noise modelling is important for training of deep learning reconstruction algorithms. While noise models are well known for traditional imaging techniques, the noise distribution of a novel sensor may be difficult to determine a priori. Therefore, we propose learning arbitrary noise distributions. To do so, th…

We provide a method for approximating Bayesian inference using rejection sampling. We not only make the process efficient, but also dramatically reduce the memory required relative to conventional methods by combining rejection sampling with particle filtering. We also provide an approximate form of rejection sampling …

We describe a post hoc test for the Sharpe ratio, analogous to Tukey's test for pairwise equality of means. The test can be applied after rejection of the hypothesis that all population Signal-Noise ratios are equal. The test is applicable under a simple correlation structure among asset returns. Simulations indicate t…

Algorithmic trading systems on DEXs reject most candidate tokens, but the counterfactual outcome of rejected candidates is rarely measured.

RMT-Net tackles biased credit scoring data by learning from both default/non-default and rejection/approval tasks.

Optimal regression with reject option using conditional variance thresholding.

Proposes a spectral method for jointly smooth functions on multiple manifolds.

How to self-localize large teams of underwater nodes using only noisy range measurements? How to do it in a distributed way, and incorporating dynamics into the problem? How to reject outliers and produce trustworthy position estimates? The stringent acoustic communication channel and the accuracy needs of our geophysi…

A reject option improves partial-label learning's accuracy.

A dealer manages quotes and rejection rules to control slippage risk in FX markets.

A new approach to model rejection using density ratios.

Delayed rejection HMC improves sampling efficiency for multiscale distributions.

Credit scoring models support loan approval decisions in the financial services industry. Lenders train these models on data from previously granted credit applications, where the borrowers' repayment behavior has been observed. This approach creates sample bias. The scoring model (i.e., classifier) is trained on accep…

Paper connects rejection learning to Bhattacharyya divergence.

Credit scoring models based on accepted applications may be biased and their consequences can have a statistical and economic impact. Reject inference is the process of attempting to infer the creditworthiness status of the rejected applications. In this research, we use deep generative models to develop two new semi-s…

A method for making predictions with a reject option using conformal prediction.

Energy-based models (EBMs) are powerful probabilistic models, but suffer from intractable sampling and density evaluation due to the partition function. As a result, inference in EBMs relies on approximate sampling algorithms, leading to a mismatch between the model and inference. Motivated by this, we consider the sam…

We consider the problem of selective prediction (also known as reject option) in deep neural networks, and introduce SelectiveNet, a deep neural architecture with an integrated reject option. Existing rejection mechanisms are based mostly on a threshold over the prediction confidence of a pre-trained network. In contra…

A novel method for classification with rejection using ensemble of cost-sensitive classifiers.

Rejection Sampling is a fundamental Monte-Carlo method. It is used to sample from distributions admitting a probability density function which can be evaluated exactly at any given point, albeit at a high computational cost. However, without proper tuning, this technique implies a high rejection rate. Several methods h…

New algorithms reduce rejection sampling complexity for shape-constrained distributions.

This paper proposes a subspace decomposition method based on an over-complete dictionary in sparse representation, called "Sparse Signal Subspace Decomposition" (or 3SD) method. This method makes use of a novel criterion based on the occurrence frequency of atoms of the dictionary over the data set. This criterion, wel…

Paper improves privacy-preserving measurement of advertising incrementality.

Proposes a method combining CNFs and rejection-resampling for sampling from unnormalized densities.

RED-2400 is a public benchmark of trading events from a Solana exchange, labeled by algorithmic rejection.

Learning with rejection (LWR) allows development of machine learning systems with the ability to discard low confidence decisions generated by a prediction model. That is, just like human experts, LWR allows machine models to abstain from generating a prediction when reliability of the prediction is expected to be low.…

We propose Generative Well-intentioned Networks (GWINs), a novel framework for increasing the accuracy of certainty-based, closed-world classifiers. A conditional generative network recovers the distribution of observations that the classifier labels correctly with high certainty. We introduce a reject option to the cl…

Deep convolutional neural networks are known to be unstable during training at high learning rate unless normalization techniques are employed. Normalizing weights or activations allows the use of higher learning rates, resulting in faster convergence and higher test accuracy. Batch normalization requires minibatch sta…

Active learning is an important technique to reduce the number of labeled examples in supervised learning. Active learning for binary classification has been well addressed in machine learning. However, active learning of the reject option classifier remains unaddressed. In this paper, we propose novel algorithms for a…

We consider the combined use of resampling and partial rejection control in sequential Monte Carlo methods, also known as particle filters. While the variance reducing properties of rejection control are known, there has not been (to the best of our knowledge) any work on unbiased estimation of the marginal likelihood …

New method improves sampling from score-based models by correcting bias.

Generation of pseudorandom numbers from different probability distributions has been studied extensively in the Monte Carlo simulation literature. Two standard generation techniques are the acceptance-rejection and inverse transformation methods. An alternative approach to Monte Carlo simulation is the quasi-Monte Carl…

Naive approaches to amortized inference in probabilistic programs with unbounded loops can produce estimators with infinite variance. This is particularly true of importance sampling inference in programs that explicitly include rejection sampling as part of the user-programmed generative procedure. In this paper we de…

Inferring causal interactions from observed data is a challenging problem, especially in the presence of measurement noise. To alleviate the problem of spurious causality, Haufe et al. (2013) proposed to contrast measures of information flow obtained on the original data against the same measures obtained on time-rever…

The wide and rapid adoption of deep learning by practitioners brought unintended consequences in many situations such as in the infamous case of Google Photos' racist image recognition algorithm; thus, necessitated the utilization of the quantified uncertainty for each prediction. There have been recent efforts towards…

We propose a novel confidence scoring mechanism for deep neural networks based on a two-model paradigm involving a base model and a meta-model. The confidence score is learned by the meta-model observing the base model succeeding/failing at its task. As features to the meta-model, we investigate linear classifier probe…

Accelerated RPCholesky speeds up kernel matrix approximations.

Framework to mitigate adversarial attacks by allowing classifiers to abstain.

Variational inference using the reparameterization trick has enabled large-scale approximate Bayesian inference in complex probabilistic models, leveraging stochastic optimization to sidestep intractable expectations. The reparameterization trick is applicable when we can simulate a random variable by applying a differ…

Improved inference for models with continuous latent variables.