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.
Develops an empirical likelihood framework for random forests and ensembles.
We select n stocks traded in the New York Stock Exchange and we form a statistical ensemble of daily stock returns for each of the k trading days of our database from the stock price time series. We analyze each ensemble of stock returns by extracting its first four central moments. We observe that these moments are fl…
We study the price dynamics of stocks traded in a financial market by considering the statistical properties both of a single time series and of an ensemble of stocks traded simultaneously. We use the stocks traded in the New York Stock Exchange to form a statistical ensemble of daily stock returns. For each tradin…
Rainfall ensemble forecasts have to be skillful for both low precipitation and extreme events. We present statistical post-processing methods based on Quantile Regression Forests (QRF) and Gradient Forests (GF) with a parametric extension for heavy-tailed distributions. Our goal is to improve ensemble quality for all t…
In this paper we quantitatively investigate the statistical properties of an ensemble of {\it stock prices}. We selected 1200 stocks traded in the Tokyo Stock Exchange and formed a statistical ensemble of daily stock prices for each trading day in the 5 year period from January 4, 1988 to December 30, 1992. We found th…
We study the price dynamics of stocks traded in the NASDAQ market by considering the statistical properties of an ensemble of stocks traded simultaneously. For each trading day of our database, we study the ensemble return distribution by extracting its first two central moments. According to previous results obtained …
We study dynamical behavior of the Chinese stock markets by investigating the statistical properties of daily ensemble returns and varieties defined respectively as the mean and the standard deviation of the ensemble daily price returns of a portfolio of stocks traded in China's stock markets on a given day. The distri…
This research improves model interpretability and uncertainty estimation for deep learning models on non-iid data.
SETrLUSI combines diverse knowledge from multiple domains for faster convergence.
New method improves wind and solar energy forecasts by 48 hours.
This paper examines how to calibrate ensemble members for better prediction accuracy.
Neural networks learn from ensemble forecasts without considering their order.
Ensemble Kalman methods improve climate model calibration from noisy observations.
Random Hyperboxes is a simple yet effective ensemble classifier.
In this article supervised learning problems are solved using soft rule ensembles. We first review the importance sampling learning ensembles (ISLE) approach that is useful for generating hard rules. The soft rules are then obtained with logistic regression from the corresponding hard rules. In order to deal with the p…
Recently, the binary expansion testing framework was introduced to test the independence of two continuous random variables by utilizing symmetry statistics that are complete sufficient statistics for dependence. We develop a new test based on an ensemble approach that uses the sum of squared symmetry statistics and di…
Study compares machine learning methods for improving wind gust forecasts.
Enhanced TSFMs improve time series forecasting accuracy and reliability.
New neural scaling law found for simple quadratic function.
We present an extension of the ergodic, mixing, and Bernoulli levels of the ergodic hierarchy for statistical models on curved manifolds, making use of elements of the information geometry. This extension focuses on the notion of statistical independence between the microscopical variables of the system. Moreover, we e…
This paper studies recursive ensembles driven by Fibonacci updates, improving learning dynamics.
We build a statistical ensemble representation of two economic models describing respectively, in simplified terms, a payment system and a credit market. To this purpose we adopt the Boltzmann-Gibbs distribution where the role of the Hamiltonian is taken by the total money supply (i.e. including money created from debt…
Paper introduces EnDKF for more accurate pose tracking.
Since their emergence in the 1990's, the support vector machine and the AdaBoost algorithm have spawned a wave of research in statistical machine learning. Much of this new research falls into one of two broad categories: kernel methods and ensemble methods. In this expository article, I discuss the main ideas behind t…
Proposes GBBHE for efficient large-scale regression.
Randomized gradient-based ensemble improves prediction accuracy.
Model predicts short-term Amazon rainforest fires with high accuracy.
We consider the problem of estimating the support of a vector based on observations contaminated by noise. A significant body of work has studied behavior of -relaxations when applied to measurement matrices drawn from standard dense ensembles (e.g., Gaussian, Bernoulli). In this paper,…
In this paper, we quantitatively investigate the statistical properties of a statistical ensemble of stock prices. We selected 1200 stocks traded on the Tokyo Stock Exchange, and formed a statistical ensemble of daily stock prices for each trading day in the 3-year period from January 4, 1999 to December 28, 2001, corr…
A hybrid strategy forecasts short-term loads using Warm-start Gradient Tree Boosting.
Study forecasts vegetable prices in Nepal using a novel index and ensemble model.
Paper proposes FVC for functional data classification.
RealStats detects fake images rigorously, combining multiple detectors for robustness.
Over the years, ensemble methods have become a staple of machine learning. Similarly, generalized linear models (GLMs) have become very popular for a wide variety of statistical inference tasks. The former have been shown to enhance out- of-sample predictive power and the latter possess easy interpretability. Recently,…
We select the stocks traded in the New York Stock Exchange and we form a statistical ensemble of daily stock returns for each of the trading days of our database from the stock price time series. We study the ensemble return distribution for each trading day and we find that the symmetry properties of the ensem…
This paper combines and improves probabilistic forecasts of wind speeds using advanced statistical methods.
The paper analyzes fluctuations in ensemble models in high-dimensional settings.
Method detects neural network equivalence via matrix ensembles and spectral analysis.
We consider random vectors drawn from a multivariate normal distribution and compute the sample statistics in the presence of non-stationary correlations. For this purpose, we construct an ensemble of random correlation matrices and average the normal distribution over this ensemble. The resulting distribution contains…
VGE provides a practical approach to uncertainty estimation in ensemble models.
The combination of multiple classifiers using ensemble methods is increasingly important for making progress in a variety of difficult prediction problems. We present a comparative analysis of several ensemble methods through two case studies in genomics, namely the prediction of genetic interactions and protein functi…
In complex systems, crucial parameters are often subject to unpredictable changes in time. Climate, biological evolution and networks provide numerous examples for such non-stationarities. In many cases, improved statistical models are urgently called for. In a general setting, we study systems of correlated quantities…
New method combines ensembling and regularization for genomic disease prediction.
Paper proposes an ensemble-based AIS for multimodal sampling.
CE improves climate uncertainty quantification using GCM ensembles and observational data.
Statistical estimates can often be improved by fusion of data from several different sources. One example is so-called ensemble methods which have been successfully applied in areas such as machine learning for classification and clustering. In this paper, we present an ensemble method to improve community detection by…
Ensembling improves performance when classifiers disagree more than average.
Convex regression is a promising area for bridging statistical estimation and deterministic convex optimization. New piecewise linear convex regression methods are fast and scalable, but can have instability when used to approximate constraints or objective functions for optimization. Ensemble methods, like bagging, sm…