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.
New intervals improve confidence in selected parameters.
Proposes a method to optimize budget allocation for collecting and analyzing streaming data.
We develop a coherent framework for integrative simultaneous analysis of the exploration-exploitation and model order selection trade-offs. We improve over our preceding results on the same subject (Seldin et al., 2011) by combining PAC-Bayesian analysis with Bernstein-type inequality for martingales. Such a combinatio…
The paper provides high-probability bounds on false discovery proportions in conformal inference.
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…
Proposes MOCE method for simultaneous inference in high-dimensional linear models.
Our problem of interest is to cluster vertices of a graph by identifying underlying community structure. Among various vertex clustering approaches, spectral clustering is one of the most popular methods because it is easy to implement while often outperforming more traditional clustering algorithms. However, there are…
Develops methods to adjust prediction set coverage based on post-selection analysis.
Network anomaly detection is still a vibrant research area. As the fast growth of network bandwidth and the tremendous traffic on the network, there arises an extremely challengeable question: How to efficiently and accurately detect the anomaly on multiple traffic? In multi-task learning, the traffic consisting of flo…
Proposes sparsified intervals for high-dimensional regression coefficients.
EXAGREE selects a stakeholder-aligned model to reduce conflicting explanations in machine learning.
The paper explores how smaller data sets can lead to better model selection decisions.
A new knot selection method speeds up sparse Gaussian process approximations.
New method improves IV estimation with many weak and invalid instruments.
Support selection and eventwise decoupling for simultaneous bets proven.
Stability is an important aspect of a classification procedure because unstable predictions can potentially reduce users' trust in a classification system and also harm the reproducibility of scientific conclusions. The major goal of our work is to introduce a novel concept of classification instability, i.e., decision…
In this paper we propose a computationally efficient algorithm for on-line variable selection in multivariate regression problems involving high dimensional data streams. The algorithm recursively extracts all the latent factors of a partial least squares solution and selects the most important variables for each facto…
Can we manipulate multiple deep neural networks simultaneously?
Develops model selection for bandits balancing adversarial and stochastic guarantees.
OSOM solves multi-armed and linear contextual bandits efficiently.
Many algorithms for data analysis exist, especially for classification problems. To solve a data analysis problem, a proper algorithm should be chosen, and also its hyperparameters should be selected. In this paper, we present a new method for the simultaneous selection of an algorithm and its hyperparameters. In order…
Solves selecting the best optimizing system problems.
We consider multi-task learning, which simultaneously learns related prediction tasks, to improve generalization performance. We factorize a coefficient matrix as the product of two matrices based on a low-rank assumption. These matrices have sparsities to simultaneously perform variable selection and learn and overlap…
Selective classification can worsen accuracy disparities between groups.
In neuroimaging data analysis, Gaussian graphical models are often used to model statistical dependencies across spatially remote brain regions known as functional connectivity. Typically, data is collected across a cohort of subjects and the scientific objectives consist of estimating population and subject-specific g…
Stochastic gradient descent algorithms for training linear and kernel predictors are gaining more and more importance, thanks to their scalability. While various methods have been proposed to speed up their convergence, the model selection phase is often ignored. In fact, in theoretical works most of the time assumptio…
We extend the adaptive regression spline model by incorporating saturation, the natural requirement that a function extend as a constant outside a certain range. We fit saturating splines to data using a convex optimization problem over a space of measures, which we solve using an efficient algorithm based on the condi…
NAPP-ERM improves ERM with differential privacy guarantees by iteratively achieving target regularization and delivering strong convexity.
The goal in network state prediction (NSP) is to classify the global state (label) associated with features embedded in a graph. This graph structure encoding feature relationships is the key distinctive aspect of NSP compared to classical supervised learning. NSP arises in various applications: gene expression samples…
DARL framework tackles partial domain adaptation by selecting source instances for positive transfer.
Develops a method for estimating networks and covariate associations in compositional data.
Improved estimation of hedge fund tail risks using a novel model.
Proposes a neural network framework for feature selection in high-dimensional settings.
One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the dynamic factor models. A challenging issue is to determine which variables and (their)…
We present a supervised-learning algorithm from graph data (a set of graphs) for arbitrary twice-differentiable loss functions and sparse linear models over all possible subgraph features. To date, it has been shown that under all possible subgraph features, several types of sparse learning, such as Adaboost, LPBoost, …
Feature selection (FS) has become an indispensable task in dealing with today's highly complex pattern recognition problems with massive number of features. In this study, we propose a new wrapper approach for FS based on binary simultaneous perturbation stochastic approximation (BSPSA). This pseudo-gradient descent st…
A new method selects features efficiently for high-dimensional data.
Develops robust knockoffs for controlling false discoveries in financial data.
We propose a novel application of the Simultaneous Orthogonal Matching Pursuit (S-OMP) procedure for sparsistant variable selection in ultra-high dimensional multi-task regression problems. Screening of variables, as introduced in \cite{fan08sis}, is an efficient and highly scalable way to remove many irrelevant variab…
This paper is concerned with an important issue in finite mixture modelling, the selection of the number of mixing components. We propose a new penalized likelihood method for model selection of finite multivariate Gaussian mixture models. The proposed method is shown to be statistically consistent in determining of th…
Due to the increasing availability of high-dimensional empirical applications in many research disciplines, valid simultaneous inference becomes more and more important. For instance, high-dimensional settings might arise in economic studies due to very rich data sets with many potential covariates or in the analysis o…
Dictionary learning is a cutting-edge area in imaging processing, that has recently led to state-of-the-art results in many signal processing tasks. The idea is to conduct a linear decomposition of a signal using a few atoms of a learned and usually over-completed dictionary instead of a pre-defined basis. Determining …
Proposes HOTA-FedGradNorm for faster and robust PFL in noisy channels.
Proposes a new criterion for selecting Nash equilibria considering both utility and inequality.
This paper presents the R package gRapHD for efficient selection of high-dimensional undirected graphical models. The package provides tools for selecting trees, forests and decomposable models minimizing information criteria such as AIC or BIC, and for displaying the independence graphs of the models. It has also some…
Brain Electroencephalography (EEG) classification is widely applied to analyze cerebral diseases in recent years. Unfortunately, invalid/noisy EEGs degrade the diagnosis performance and most previously developed methods ignore the necessity of EEG selection for classification. To this end, this paper proposes a novel m…
This paper studies simultaneous feature selection and extraction in supervised and unsupervised learning. We propose and investigate selective reduced rank regression for constructing optimal explanatory factors from a parsimonious subset of input features. The proposed estimators enjoy sharp oracle inequalities, and w…
A scalable portfolio approach speeds up Bayesian optimization for noisy functions.