arXiv research

This study identifies RwD crash patterns on rural two-lane highways under different lighting conditions.

We show that gamma distributions provide models for departures from randomness since every neighbourhood of an exponential distribution contains a neighbourhood of gamma distributions, using an information theoretic metric topology. We derive also the information geometry of the 3-manifold of McKay bivariate gamma dist…

Bayesian approach improves car-following model calibration and validation with limited data.

Accurate and reliable traffic forecasting for complicated transportation networks is of vital importance to modern transportation management. The complicated spatial dependencies of roadway links and the dynamic temporal patterns of traffic states make it particularly challenging. To address these challenges, we propos…

Traffic forecasting is a particularly challenging application of spatiotemporal forecasting, due to the time-varying traffic patterns and the complicated spatial dependencies on road networks. To address this challenge, we learn the traffic network as a graph and propose a novel deep learning framework, Traffic Graph C…

Study finds short-term instability in financial ARCH models.

New bandit model accounts for user departures in recommender systems.

Proposes a machine learning predictor for survey data.

Recent news cast doubts on London Interbank Offered Rate (LIBOR) integrity. Given its economic importance and the delay with which authorities realize about this situation, we aim to find an objective method in order to detect departures in the LIBOR rate that from the expected behavior. We analyze several interest rat…

We develop a framework especially suited to the autocorrelation properties observed in financial times series, by borrowing from the physical picture of turbulence. The success of our approach as applied to high frequency foreign exchange data is demonstrated by the overlap of the curves in Figure (1), since we are abl…

Natural disasters can have catastrophic impacts on the functionality of infrastructure systems and cause severe physical and socio-economic losses. Given budget constraints, it is crucial to optimize decisions regarding mitigation, preparedness, response, and recovery practices for these systems. This requires accurate…

Parameter estimation for model-based clustering using a finite mixture of normal inverse Gaussian (NIG) distributions is achieved through variational Bayes approximations. Univariate NIG mixtures and multivariate NIG mixtures are considered. The use of variational Bayes approximations here is a substantial departure fr…

This paper formulates a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity about both the drift and volatility of the driving process. At a technical level, the analysis requires a significant departure from existing continuous time modeling because it cannot be d…

As a consequence of the dependence experienced in loan portfolios, the standard binomial test which is based on the assumption of independence does not appear appropriate for validating probabilities of default (PDs). The model underlying the new rules for minimum capital requirements (Basle II) is taken as a point of …

AGCA approximates angular variation on the unit sphere, reducing extremal dependence problems to eigenanalysis.

Federated learning involves training statistical models over remote devices or siloed data centers, such as mobile phones or hospitals, while keeping data localized. Training in heterogeneous and potentially massive networks introduces novel challenges that require a fundamental departure from standard approaches for l…

Enhances conformal geometry in higher dimensions with infinite-dimensional algebra.

We prove that the default times (or any of their minima) in the dynamic Gaussian copula model of Cr{é}pey, Jeanblanc, and Wu (2013) are invariance times in the sense of Cr{é}pey and Song (2017), with related invariance probability measures different from the pricing measure. This reflects a departure from the immersion…

Robust Bayesian models are appealing alternatives to standard models, providing protection from data that contains outliers or other departures from the model assumptions. Historically, robust models were mostly developed on a case-by-case basis; examples include robust linear regression, robust mixture models, and bur…

We investigate a novel cluster-of-bandit algorithm CAB for collaborative recommendation tasks that implements the underlying feedback sharing mechanism by estimating the neighborhood of users in a context-dependent manner. CAB makes sharp departures from the state of the art by incorporating collaborative effects into …

In a series of papers, we will develop systematically the basic spectral theory of (self-adjoint) boundary value problems for operators of Dirac type. We begin in this paper with the characterization of (self-adjoint) boundary conditions with optimal regularity, for which we will derive the heat asymptotics and index t…

Study the topological information of map germs using Euler obstruction.

The paper analyzes how quantization affects the Fisher Information Matrix's dominant eigenvalue.

New algorithm learns mappings between metric spaces, achieving strong consistency.

Flexible device participation improves federated learning convergence.

Autonomous driving is a multi-agent setting where the host vehicle must apply sophisticated negotiation skills with other road users when overtaking, giving way, merging, taking left and right turns and while pushing ahead in unstructured urban roadways. Since there are many possible scenarios, manually tackling all po…

Ensembles of neural networks (NNs) have long been used to estimate predictive uncertainty; a small number of NNs are trained from different initialisations and sometimes on differing versions of the dataset. The variance of the ensemble's predictions is interpreted as its epistemic uncertainty. The appeal of ensembling…

Empirical evidence suggests that even the most competitive markets are not strictly efficient. Price histories can be used to predict near future returns with a probability better than random chance. Many markets can be considered as {\it favorable games}, in the sense that there is a small probabilistic edge that smar…

The expected low market penetration of connected vehicles (CVs) in the near future could be a constraint in estimating traffic flow parameters, such as average travel speed of a roadway segment and average space headway between vehicles from the CV broadcasted data. This estimated traffic flow parameters from low penet…

The paper proves optimal smoothness for certain Lagrangian graphs with specific Hölder continuity.

The paper introduces a new model to correct bias in treatment effect estimates due to sample selection.

Paper tackles GAN instability in audio and speech signals using a new similarity metric.

This study uses ARM to analyze pedestrian crashes under different lighting conditions.

A number of modern learning tasks involve estimation from heterogeneous information sources. This includes classification with labeled and unlabeled data as well as other problems with analogous structure such as competitive (game theoretic) problems. The associated estimation problems can be typically reduced to solvi…

This paper proposes a novel uncertainty quantification framework for computationally demanding systems characterized by a large vector of non-Gaussian uncertainties. It combines state-of-the-art techniques in advanced Monte Carlo sampling with Bayesian formulations. The key departure from existing works is the use of i…

It is shown phenomenologically that the fractional derivative $ξ=D^αu$ of order $α$ of a multifractal function has a power-law tail $\propto |ξ| ^{-p_\star}$ in its cumulative probability, for a suitable range of $α$'s. The exponent is determined by the condition $ζ_{p_\star} = αp_\star$, where $ζ_p$ is the exponent of…

A cased-based reasoning method predicts rare events on strategic sites using satellite imagery.

Paper quantifies label shift with robustness guarantees using distribution feature matching.

Optimizes option portfolios for skewed-t returns using VaR and variance measures.

The subject of this paper is Beurling's celebrated extension of the Riemann mapping theorem \cite{Beu53}. Our point of departure is the observation that the only known proof of the Beurling-Riemann mapping theorem contains a number of gaps which seem inherent in Beurling's geometric and approximative approach. We provi…

Representations of probability measures in reproducing kernel Hilbert spaces provide a flexible framework for fully nonparametric hypothesis tests of independence, which can capture any type of departure from independence, including nonlinear associations and multivariate interactions. However, these approaches come wi…

We study the nature of fluctuations in variety of price indices involving companies listed on the New York Stock Exchange. The fluctuations at multiple scales are extracted through the use of wavelets belonging to Daubechies basis. The fact that these basis sets satisfy vanishing moments conditions makes them ideal to …

We consider the problem of efficiently constructing cheap and novel round trip flight itineraries by combining legs from different airlines. We analyse the factors that contribute towards the price of such itineraries and find that many result from the combination of just 30% of airlines and that the closer the departu…

Introduces new gradient-based methods for machine learning problems.

New method stabilizes GAN training by solving ODEs.

Predicts morning traffic congestion using social media data from the previous evening.

Consider a feedforward neural network $ψ: \mathbb{R}^d\rightarrow \mathbb{R}^d$ such that $ψ\approx \nabla f$, where $f:\mathbb{R}^d \rightarrow \mathbb{R}$ is a smooth function, therefore $ψ$ must satisfy $\partial_j ψ_i = \partial_i ψ_j$ pointwise. We prove a theorem that a $ψ$ network with more than one hidden layer…

We propose a one-class neural network (OC-NN) model to detect anomalies in complex data sets. OC-NN combines the ability of deep networks to extract a progressively rich representation of data with the one-class objective of creating a tight envelope around normal data. The OC-NN approach breaks new ground for the foll…