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This paper presents a method for predicting stock returns using principal component analysis (PCA) and the hidden Markov model (HMM) and tests the results of trading stocks based on this approach. Principal component analysis is applied to…
We forecast a single time series using a high-dimensional set of predictors. When these predictors share common underlying dynamics, an approximate latent factor model provides a powerful characterization of their co-movements Bai(2003).…
This work is concerned with the prime factor decomposition (PFD) of strong product graphs. A new quasi-linear time algorithm for the PFD with respect to the strong product for arbitrary, finite, connected, undirected graphs is derived.…
Methodologies for multidimensionality reduction aim at discovering low-dimensional manifolds where data ranges. Principal Component Analysis (PCA) is very effective if data have linear structure. But fails in identifying a possible…
Principal component analysis (PCA) is a standard dimensionality reduction technique used in various research and applied fields. From an algorithmic point of view, classical PCA can be formulated in terms of operations on a multivariate…
In regression analysis, we employ contour projection (CP) to develop a new dimension reduction theory. Accordingly, we introduce the notions of the central contour subspace and generalized contour subspace. We show that both of their…
Kernel methods are powerful and flexible approach to solve many problems in machine learning. Due to the pairwise evaluations in kernel methods, the complexity of kernel computation grows as the data size increases; thus the applicability…
The literature provides strong evidence that stock prices can be predicted from past price data. Principal component analysis (PCA) is a widely used mathematical technique for dimensionality reduction and analysis of data by identifying a…
Many applications that use empirically estimated functions face a curse of dimensionality, because the integrals over most function classes must be approximated by sampling. This paper introduces a novel regression-algorithm that learns…
Predictive coding (PC) is an influential theory in computational neuroscience, which argues that the cortex forms unsupervised world models by implementing a hierarchical process of prediction error minimization. PC networks (PCNs) are…
Quantum principal component analysis (QPCA) ignited a new development toward quantum machine learning algorithms. Initially showcasing as an active way for analyzing a quantum system using the quantum state itself, QPCA also found potential…
We introduce Adaptive Functional Principal Component Analysis, a novel method to capture directions of variation in functional data that exhibit sharp changes in smoothness. We first propose a new adaptive scatterplot smoothing technique…
It has been intensively investigated that the local shape, especially flatness, of the loss landscape near a minimum plays an important role for generalization of deep models. We developed a training algorithm called PoF: Post-Training of…
Functional data analysis is concerned with the analysis of infinite-dimensional data functions. Functional principal component analysis (FPCA) is a key method to obtain finite-dimensional summaries. Consistency of FPCA has been…
Principal Component Analysis (PCA) is a dimension reduction technique. It produces inconsistent estimators when the dimensionality is moderate to high, which is often the problem in modern large-scale applications where algorithm…
Artificial neural networks that learn to perform Principal Component Analysis (PCA) and related tasks using strictly local learning rules have been previously derived based on the principle of similarity matching: similar pairs of inputs…
Principal component analysis (PCA) is largely adopted for chemical process monitoring and numerous PCA-based systems have been developed to solve various fault detection and diagnosis problems. Since PCA-based methods assume that the…
Methods for supervised principal component analysis (SPCA) aim to incorporate label information into principal component analysis (PCA), so that the extracted features are more useful for a prediction task of interest. Prior work on SPCA…
In this paper we analyze approximate methods for undertaking a principal components analysis (PCA) on large data sets. PCA is a classical dimension reduction method that involves the projection of the data onto the subspace spanned by the…
Principal Component Analysis (PCA) is a foundational technique in machine learning for dimensionality reduction of high-dimensional datasets. However, PCA could lead to biased outcomes that disadvantage certain subgroups of the underlying…