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.
Proposes a GNN for multivariate time-series prediction with filtering.
Neurons predict future scalar inputs by learning top modes of lag vectors.
Proposes a nonparametric approach for inferring spike train filters.
The recent discovered spatial-temporal information processing capability of bio-inspired Spiking neural networks (SNN) has enabled some interesting models and applications. However designing large-scale and high-performance model is yet a challenge due to the lack of robust training algorithms. A bio-plausible SNN mode…
This letter extends the concept of graph-frequency to graph signals that evolve with time. Our goal is to generalize and, in fact, unify the familiar concepts from time- and graph-frequency analysis. To this end, we study a joint temporal and graph Fourier transform (JFT) and demonstrate its attractive properties. We b…
Much work has been done refining and characterizing the receptive fields learned by deep learning algorithms. A lot of this work has focused on the development of Gabor-like filters learned when enforcing sparsity constraints on a natural image dataset. Little work however has investigated how these filters might expan…
This paper presents, evaluates, and discusses a new software tool to automatically build Dynamic Bayesian Networks (DBNs) from ordinary differential equations (ODEs) entered by the user. The DBNs generated from ODE models can handle both data uncertainty and model uncertainty in a principled manner. The application, na…
Efficient spatio-temporal Gaussian process inference method.
EnSF improves accuracy in tracking high-dimensional nonlinear systems.
Perceptual Kalman filters maintain human-perceptual quality while processing data.
Develops state-space deep Gaussian processes for irregular signals.
Real-time ionospheric images created from limited data using parallel Kalman filters.
Video sequences contain rich dynamic patterns, such as dynamic texture patterns that exhibit stationarity in the temporal domain, and action patterns that are non-stationary in either spatial or temporal domain. We show that a spatial-temporal generative ConvNet can be used to model and synthesize dynamic patterns. The…
FLUID uses flows to unify filtering and smoothing for complex systems.
In kernel methods, temporal information on the data is commonly included by using time-delayed embeddings as inputs. Recently, an alternative formulation was proposed by defining a gamma-filter explicitly in a reproducing kernel Hilbert space, giving rise to a complex model where multiple kernels operate on different t…
Modern intelligent transportation systems provide data that allow real-time dynamic demand prediction, which is essential for planning and operations. The main challenge of prediction of dynamic Origin-Destination (O-D) demand matrices is that demands cannot be directly measured by traffic sensors; instead, they have t…
The parameters of temporal models, such as dynamic Bayesian networks, may be modelled in a Bayesian context as static or atemporal variables that influence transition probabilities at every time step. Particle filters fail for models that include such variables, while methods that use Gibbs sampling of parameter variab…
Combining LETKF and RC improves chaotic system prediction from noisy, sparse data.
STAD adapts models to evolving time-based data shifts.
SG-NTF completes HDI tensors with spectral mapping and spatio-temporal gating.
Study examines how COVID-19 affects bond yields using network filtering methods.
We focus on the problem of streaming recommender system and explore novel collaborative filtering algorithms to handle the data dynamicity and complexity in a streaming manner. Although deep neural networks have demonstrated the effectiveness of recommendation tasks, it is lack of explorations on integrating probabilis…
Triangular, overlapping Mel-scaled filters ("f-banks") are the current standard input for acoustic models that exploit their input's time-frequency geometry, because they provide a psycho-acoustically motivated time-frequency geometry for a speech signal. F-bank coefficients are provably robust to small deformations in…
Kalman Filters are one of the most influential models of time-varying phenomena. They admit an intuitive probabilistic interpretation, have a simple functional form, and enjoy widespread adoption in a variety of disciplines. Motivated by recent variational methods for learning deep generative models, we introduce a uni…
Data-driven spatial filtering algorithms optimize scores such as the contrast between two conditions to extract oscillatory brain signal components. Most machine learning approaches for filter estimation, however, disregard within-trial temporal dynamics and are extremely sensitive to changes in training data and invol…
TASC improves synthetic control for time-series data with trends.
The electroencephalogram (EEG) is the most popular form of input for brain computer interfaces (BCIs). However, it can be easily contaminated by various artifacts and noise, e.g., eye blink, muscle activities, powerline noise, etc. Therefore, the EEG signals are often filtered both spatially and temporally to increase …
We introduce the probabilistic sequential matrix factorization (PSMF) method for factorizing time-varying and non-stationary datasets consisting of high-dimensional time-series. In particular, we consider nonlinear Gaussian state-space models where sequential approximate inference results in the factorization of a data…
In this work we study the non-parametric reconstruction of spatio-temporal dynamical Gaussian processes (GPs) via GP regression from sparse and noisy data. GPs have been mainly applied to spatial regression where they represent one of the most powerful estimation approaches also thanks to their universal representing p…
Inference of space-time varying signals on graphs emerges naturally in a plethora of network science related applications. A frequently encountered challenge pertains to reconstructing such dynamic processes, given their values over a subset of vertices and time instants. The present paper develops a graph-aware kernel…
The paper is concerned with non-linear Gaussian filtering and smoothing in continuous-discrete state-space models, where the dynamic model is formulated as an Itô stochastic differential equation (SDE), and the measurements are obtained at discrete time instants. We propose novel Taylor moment expansion (TME) Gaussian …
AD-EnKFs use machine learning to improve data assimilation in high-dimensional systems.
Enhances SNNs for spatio-temporal feature extraction.
Simplicial persistence measures financial market dynamics, revealing long-term structure evolution.
New algorithm tracks deep RL value functions with uncertainty.
We introduce Deep Variational Bayes Filters (DVBF), a new method for unsupervised learning and identification of latent Markovian state space models. Leveraging recent advances in Stochastic Gradient Variational Bayes, DVBF can overcome intractable inference distributions via variational inference. Thus, it can handle …
A new method reduces high-dimensional filtering to quadratic complexity.
Action detection and recognition tasks have been the target of much focus in the computer vision community due to their many applications, namely, security, robotics and recommendation systems. Recently, datasets like AVA, provide multi-person, multi-label, spatiotemporal action detection and recognition challenges. Be…
In this article, we propose a novel ECG classification framework for atrial fibrillation (AF) detection using spectro-temporal representation (i.e., time varying spectrum) and deep convolutional networks. In the first step we use a Bayesian spectro-temporal representation based on the estimation of time-varying coeffic…
Sequential Monte Carlo (SMC) methods comprise one of the most successful approaches to approximate Bayesian filtering. However, SMC without good proposal distributions struggle in high dimensions. We propose nested sequential Monte Carlo (NSMC), a methodology that generalises the SMC framework by requiring only approxi…
Spatio-temporal point process models play a central role in the analysis of spatially distributed systems in several disciplines. Yet, scalable inference remains computa- tionally challenging both due to the high resolution modelling generally required and the analytically intractable likelihood function. Here, we expl…
We study the problem of classifying interval-based temporal sequences (IBTSs). Since common classification algorithms cannot be directly applied to IBTSs, the main challenge is to define a set of features that effectively represents the data such that classifiers can be applied. Most prior work utilizes frequent patter…
A new algorithm adapts to changing user behaviors in finance.
Forecasting multivariate time series data, such as prediction of electricity consumption, solar power production, and polyphonic piano pieces, has numerous valuable applications. However, complex and non-linear interdependencies between time steps and series complicate the task. To obtain accurate prediction, it is cru…
PKF improves KF for dynamic uncertainty tracking in time-course data.
Epileptic seizure activity shows complicated dynamics in both space and time. To understand the evolution and propagation of seizures spatially extended sets of data need to be analysed. We have previously described an efficient filtering scheme using variational Laplace that can be used in the Dynamic Causal Modelling…
This paper improves MI-based BCIs by applying transfer learning across all components.
Develops a framework for quantifying agentic AI model risk using LLM-inferred Bayesian state filters.