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.
The paper describes a method to infer the signal-to-noise ratio in portfolio optimization.
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…
The chapter compares Gaussian process models for stochastic simulators with varying noise.
Deep Convolutional Networks (DCNs) have been shown to be vulnerable to adversarial examples---perturbed inputs specifically designed to produce intentional errors in the learning algorithms at test time. Existing input-agnostic adversarial perturbations exhibit interesting visual patterns that are currently unexplained…
We develop a flexible framework for low-rank matrix estimation that allows us to transform noise models into regularization schemes via a simple bootstrap algorithm. Effectively, our procedure seeks an autoencoding basis for the observed matrix that is stable with respect to the specified noise model; we call the resul…
Optimal ridge regularization computed iteratively from generative parameters.
Method estimates noise variance in Gaussian process regression.
We show that asymptotically, completely asynchronous stochastic gradient procedures achieve optimal (even to constant factors) convergence rates for the solution of convex optimization problems under nearly the same conditions required for asymptotic optimality of standard stochastic gradient procedures. Roughly, the n…
New method reduces uncertainty in deep neural networks with minimal computation.
We study the control of a linear dynamical system with adversarial disturbances (as opposed to statistical noise). The objective we consider is one of regret: we desire an online control procedure that can do nearly as well as that of a procedure that has full knowledge of the disturbances in hindsight. Our main result…
To improve the off-sample generalization of classical procedures minimizing the empirical risk under potentially heavy-tailed data, new robust learning algorithms have been proposed in recent years, with generalized median-of-means strategies being particularly salient. These procedures enjoy performance guarantees in …
This paper aims to address two fundamental challenges arising in eigenvector estimation and inference for a low-rank matrix from noisy observations: (1) how to estimate an unknown eigenvector when the eigen-gap (i.e. the spacing between the associated eigenvalue and the rest of the spectrum) is particularly small; (2) …
We consider a problem of manifold estimation from noisy observations. Many manifold learning procedures locally approximate a manifold by a weighted average over a small neighborhood. However, in the presence of large noise, the assigned weights become so corrupted that the averaged estimate shows very poor performance…
We propose a general framework for solving the group synchronization problem, where we focus on the setting of adversarial or uniform corruption and sufficiently small noise. Specifically, we apply a novel message passing procedure that uses cycle consistency information in order to estimate the corruption levels of gr…
Efficiently refits black box predictions with wild refitting method.
We study the robustness to symmetric label noise of GNNs training procedures. By combining the nonlinear neural message-passing models (e.g. Graph Isomorphism Networks, GraphSAGE, etc.) with loss correction methods, we present a noise-tolerant approach for the graph classification task. Our experiments show that test a…
Algorithm learns halfspaces in noisy data efficiently.
Using integration by parts on Gaussian space we construct a Stein Unbiased Risk Estimator (SURE) for the drift of Gaussian processes using their local and occupation times. By almost-sure minimization of the SURE risk of shrinkage estimators we derive an estimation and de-noising procedure for an input signal perturbed…
NoMoPy models noise as HMM/FHMM in Python.
We study empirical covariance matrices in finance. Due to the limited amount of available input information, these objects incorporate a huge amount of noise, so their naive use in optimization procedures, such as portfolio selection, may be misleading. In this paper we investigate a recently introduced filtering proce…
New methods improve estimation accuracy in noisy settings.
Deep Convolutional Networks (DCNs) have been shown to be sensitive to Universal Adversarial Perturbations (UAPs): input-agnostic perturbations that fool a model on large portions of a dataset. These UAPs exhibit interesting visual patterns, but this phenomena is, as yet, poorly understood. Our work shows that visually …
We consider the problem of learning from distributed data in the agnostic setting, i.e., in the presence of arbitrary forms of noise. Our main contribution is a general distributed boosting-based procedure for learning an arbitrary concept space, that is simultaneously noise tolerant, communication efficient, and compu…
PANDA augments data to regularize GLM estimation and inference.
Novel privatization framework for high-dimensional variable selection with differential privacy.
We present two Bayesian procedures to infer the interactions and external currents in an assembly of stochastic integrate-and-fire neurons from the recording of their spiking activity. The first procedure is based on the exact calculation of the most likely time courses of the neuron membrane potentials conditioned by …
Let $\cF$ be a set of classification procedures with values in . Given a loss function, we want to construct a procedure which mimics at the best possible rate the best procedure in $\cF$. This fastest rate is called optimal rate of aggregation. Considering a continuous scale of loss functions with various …
Develops efficient inference for noise heterogeneity in machine learning models.
The study finds that memorization is necessary or harmful depending on the prior distribution and noise level.
Proposes ENVAR for causal discovery in structural VAR models with equal noise variance.
The gradient noise of SGD is considered to play a central role in the observed strong generalization abilities of deep learning. While past studies confirm that the magnitude and the covariance structure of gradient noise are critical for regularization, it remains unclear whether or not the class of noise distribution…
We investigate multiple testing and variable selection using the Least Angle Regression (LARS) algorithm in high dimensions under the assumption of Gaussian noise. LARS is known to produce a piecewise affine solution path with change points referred to as the knots of the LARS path. The key to our results is an express…
We introduce coroICA, confounding-robust independent component analysis, a novel ICA algorithm which decomposes linearly mixed multivariate observations into independent components that are corrupted (and rendered dependent) by hidden group-wise stationary confounding. It extends the ordinary ICA model in a theoretical…
Alternative hypothesis tests for class-conditional noise using local maximum likelihood.
In this work, we investigate a novel training procedure to learn a generative model as the transition operator of a Markov chain, such that, when applied repeatedly on an unstructured random noise sample, it will denoise it into a sample that matches the target distribution from the training set. The novel training pro…
Paper proposes a universal probabilistic model for handling instance-dependent label noise.
Paper derives convergence rates and confidence intervals for LSA with Markovian noise.
Develops statistical confidence sets for multidimensional scaling.
A new method for identifying causal directions in complex systems.
The paper analyzes continuous optimization for DAG structure learning and its limitations.
Improves model generalization by minimizing loss sharpness.
We present a theoretically grounded approach to train deep neural networks, including recurrent networks, subject to class-dependent label noise. We propose two procedures for loss correction that are agnostic to both application domain and network architecture. They simply amount to at most a matrix inversion and mult…
EarlyStopping package helps prevent overfitting in iterative learning procedures.
Discrete noise improves graph generation quality and speed.
The performance of standard learning procedures has been observed to differ widely across groups. Recent studies usually attribute this loss discrepancy to an information deficiency for one group (e.g., one group has less data). In this work, we point to a more subtle source of loss discrepancy---feature noise. Our mai…
Two classes of methods have been proposed for escaping from saddle points with one using the second-order information carried by the Hessian and the other adding the noise into the first-order information. The existing analysis for algorithms using noise in the first-order information is quite involved and hides the es…
New method detects changes online with bounds on delay.
GnIES recovers causal structure from unknown interventions.