Related papers: Time Series Forecasting with Many Predictors
Generalization of time series prediction remains an important open issue in machine learning, wherein earlier methods have either large generalization error or local minima. We develop an analytically solvable, unsupervised learning scheme…
Gaussian process (GP) methods have been widely studied recently, especially for large-scale systems with big data and even more extreme cases when data is sparse. Key advantages of these methods consist in: 1) the ability to provide…
In this paper we develop a novel, discrete-time optimal control framework for mechanical systems with uncertain model parameters. We consider finite-horizon problems where the performance index depends on the statistical moments of the…
This paper presents the open-source stochastic model predictive control framework GRAMPC-S for nonlinear uncertain systems with chance constraints. It provides several uncertainty propagation methods to predict stochastic moments of the…
This paper studies macroeconomic forecasting and variable selection using a folded-concave penalized regression with a very large number of predictors. The penalized regression approach leads to sparse estimates of the regression…
The paper is focused on the forecasting method for time series groups with the use of algorithms for cluster analysis. $K$-means algorithm is suggested to be a basic one for clustering. The coordinates of the centers of clusters have been…
In this paper, we introduce a novel method for predicting intraday instantaneous volatility based on Ito semimartingale models using high-frequency financial data. Several studies have highlighted stylized volatility time series features,…
Principal Component Analysis (PCA) is a ubiquitous tool with many applications in machine learning including feature construction, subspace embedding, and outlier detection. In this paper, we present an algorithm for computing the top…
We present a new tool, GPA, that can generate key performance measures for very large systems. Based on solving systems of ordinary differential equations (ODEs), this method of performance analysis is far more scalable than stochastic…
Sparse Principal Component Analysis (sPCA) is a cardinal technique for obtaining combinations of features, or principal components (PCs), that explain the variance of high-dimensional datasets in an interpretable manner. This involves…
In high-dimensional prediction problems, where the number of features may greatly exceed the number of training instances, fully Bayesian approach with a sparsifying prior is known to produce good results but is computationally challenging.…
We propose a principal components regression method based on maximizing a joint pseudo-likelihood for responses and predictors. Our method uses both responses and predictors to select linear combinations of the predictors relevant for the…
Generative probabilistic forecasting produces future time series samples according to the conditional probability distribution given past time series observations. Such techniques are essential in risk-based decision-making and planning…
In this paper, we propose a new nonparametric estimator of time-varying forecast combination weights. When the number of individual forecasts is small, we study the asymptotic properties of the local linear estimator. When the number of…
The ability to manipulate complex systems, such as the brain, to modify specific outcomes has far-reaching implications, particularly in the treatment of psychiatric disorders. One approach to designing appropriate manipulations is to…
Stochastic Gradient Descent (SGD) is one of the many iterative optimization methods that are widely used in solving machine learning problems. These methods display valuable properties and attract researchers and industrial machine learning…
In this paper, we propose a novel method to select significant variables and estimate the corresponding coefficients in multiple-index models with a group structure. All existing approaches for single-index models cannot be extended…
This paper develops a novel, fully automated forecast averaging scheme, which combines LASSO estimation method with Principal Component Averaging (PCA). LASSO-PCA (LPCA) explores a pool of predictions based on a single model but calibrated…
We propose a simple yet reliable bottom-up approach with a good trade-off between accuracy and efficiency for the problem of multi-person pose estimation. Given an image, we employ an Hourglass Network to infer all the keypoints from…
This paper proposes a hierarchical approximate-factor approach to analyzing high-dimensional, large-scale heterogeneous time series data using distributed computing. The new method employs a multiple-fold dimension reduction procedure using…