Related papers: Flexible least squares for temporal data mining an…

We introduce a new empirical Bayes approach for large-scale multiple linear regression. Our approach combines two key ideas: (i) the use of flexible "adaptive shrinkage" priors, which approximate the nonparametric family of scale mixture of…

Spatial-temporal estimation of signals on graph edges is challenging because most conventional Graph Signal Processing techniques are defined on the graph nodes. Leveraging the Line Graph transform, the Line Graph Least Mean Square (LGLMS)…

Flexible sparsity regularization means stably approximating sparse solutions of operator equations by using coefficient-dependent penalizations. We propose and analyse a general nonconvex approach in this respect, from both theoretical and…

Federated learning (FL) is a promising distributed learning framework where distributed clients collaboratively train a machine learning model coordinated by a server. To tackle the stragglers issue in asynchronous FL, we consider that each…

In this work, we revisit dictionary-based sparse regression, in particular, Sequential Threshold Least Squares (STLS), and propose a score-guided library selection to provide practical guidance for data-driven modeling, with emphasis on…

We address the numerical solution of minimal norm residuals of {\it nonlinear} equations in finite dimensions. We take inspiration from the problem of finding a sparse vector solution by using greedy algorithms based on iterative residual…

The aim of this paper is to propose a least mean squares (LMS) strategy for adaptive estimation of signals defined over graphs. Assuming the graph signal to be band-limited, over a known bandwidth, the method enables reconstruction, with…

In many fields where human understanding plays a crucial role, such as bioprocesses, the capacity of extracting knowledge from data is of critical importance. Within this framework, fuzzy learning methods, if properly used, can greatly help…

Performance forecasting is an age-old problem in economics and finance. Recently, developments in machine learning and neural networks have given rise to non-linear time series models that provide modern and promising alternatives to…

Driven by recent advances in artificial intelligence (AI), a growing literature has demonstrated the potential for using large language models (LLMs) as scalable surrogates to generate human-like responses in many business applications. Two…

We consider a conditional factor model for a multivariate portfolio of United States equities in the context of analysing a statistical arbitrage trading strategy. A state space framework underlies the factor model whereby asset returns are…

Linear regression is one of the most prevalent techniques in machine learning, however, it is also common to use linear regression for its \emph{explanatory} capabilities rather than label prediction. Ordinary Least Squares (OLS) is often…

Fitting statistical models to spatiotemporal data requires finding the right balance between imposing smoothness and following the data. In the context of p-splines, we propose a Bayesian framework for choosing the smoothing parameter which…

Partial Least Squares (PLS) regression emerged as an alternative to ordinary least squares for addressing multicollinearity in a wide range of scientific applications. As multidimensional tensor data is becoming more widespread, tensor…

In order to improve the performance of Least Mean Square (LMS) based system identification of sparse systems, a new adaptive algorithm is proposed which utilizes the sparsity property of such systems. A general approximating approach on…

While training fair machine learning models has been studied extensively in recent years, most developed methods rely on the assumption that the training and test data have similar distributions. In the presence of distribution shifts, fair…

Federated learning (FL) scenarios inherently generate a large communication overhead by frequently transmitting neural network updates between clients and server. To minimize the communication cost, introducing sparsity in conjunction with…

This paper studies the question of filtering and maximizing terminal wealth from expected utility in a partially information stochastic volatility models. The special features is that the only information available to the investor is the…

Trend-following strategies underpin many systematic trading approaches yet struggle under nonstationary and nonlinear market regimes. We propose an LSTM-based framework to forecast next-day trend differences ($\Delta_t$) for the top 30 S\&P…

The partial least squares algorithm for dependent data realisations is considered. Consequences of ignoring the dependence for the algorithm performance are studied both theoretically and in simulations. It is shown that ignoring certain…