Related papers: Neural Hidden Markov Model with Adaptive Granulari…
Stock selection is important for investors to construct profitable portfolios. Graph neural networks (GNNs) are increasingly attracting researchers for stock prediction due to their strong ability of relation modelling and generalisation.…
Recurrent neural networks (RNNs) provide a powerful approach in neuroscience to infer latent dynamics in neural populations and to generate hypotheses about the neural computations underlying behavior. However, past work has focused on…
We present a new algorithm for identifying the transition and emission probabilities of a hidden Markov model (HMM) from the emitted data. Expectation-maximization becomes computationally prohibitive for long observation records, which are…
This paper presents a heterogeneous adaptive mesh refinement (AMR) framework for efficient simulation of moderately stiff reactive problems. This framework features an elaborate subcycling-in-time algorithm along with a specialized…
The hydrometric prediction of water quantity is useful for a variety of applications, including water management, flood forecasting, and flood control. However, the task is difficult due to the dynamic nature and limited data of water…
There is an increase in interest to model driving maneuver patterns via the automatic unsupervised clustering of naturalistic sequential kinematic driving data. The patterns learned are often used in transportation research areas such as…
The Hierarchical Dirichlet Process Hidden Markov Model (HDP-HMM) is a natural Bayesian nonparametric extension of the classical Hidden Markov Model for learning from (spatio-)temporal data. A sticky HDP-HMM has been proposed to strengthen…
Stochastic gradient MCMC (SG-MCMC) algorithms have proven useful in scaling Bayesian inference to large datasets under an assumption of i.i.d data. We instead develop an SG-MCMC algorithm to learn the parameters of hidden Markov models…
High-frequency trading (HFT) represents a pivotal and intensely competitive domain within the financial markets. The velocity and accuracy of data processing exert a direct influence on profitability, underscoring the significance of this…
This paper presents an arbitrary h.o. accurate ADER DG method on space-time adaptive meshes (AMR) for the solution of two important families of non-linear time dependent PDE for compr. dissipative flows: the compr. Navier-Stokes equations…
Molecular representation learning, a cornerstone for downstream tasks like molecular captioning and molecular property prediction, heavily relies on Graph Neural Networks (GNN). However, GNN suffers from the over-smoothing problem, where…
High-frequency trading requires fast data processing without information lags for precise stock price forecasting. This high-paced stock price forecasting is usually based on vectors that need to be treated as sequential and…
This paper develops an interpolatory framework for weighted-$\mathcal{H}_2$ model reduction of MIMO dynamical systems. A new representation of the weighted-$\mathcal{H}_2$ inner products in MIMO settings is introduced and used to derive…
We propose a heterogeneous simultaneous graphical dynamic linear model (H-SGDLM), which extends the standard SGDLM framework to incorporate a heterogeneous autoregressive realised volatility (HAR-RV) model. This novel approach creates a…
How heterogeneous multiscale methods (HMM) handle fluctuations acting on the slow variables in fast-slow systems is investigated. In particular, it is shown via analysis of central limit theorems (CLT) and large deviation principles (LDP)…
Conformal prediction is a widely used method to quantify the uncertainty of a classifier under the assumption of exchangeability (e.g., IID data). We generalize conformal prediction to the Hidden Markov Model (HMM) framework where the…
In a real life process evolving over time, the relationship between its relevant variables may change. Therefore, it is advantageous to have different inference models for each state of the process. Asymmetric hidden Markov models fulfil…
In quantitative finance, machine learning methods are essential for alpha generation. This study introduces a new approach that combines Hidden Markov Models (HMM) and neural networks, integrated with Black-Litterman portfolio optimization.…
Facial Action Unit (AU) detection in in-the-wild environments remains a formidable challenge due to severe spatial-temporal heterogeneity, unconstrained poses, and complex audio-visual dependencies. While recent multimodal approaches have…
We address the problem of detecting an anomalous process among a large number of processes. At each time t, normal processes are in state zero (normal state), while the abnormal process may be in either state zero (normal state) or state…