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We present a new finite-time analysis of the estimation error of the Ordinary Least Squares (OLS) estimator for stable linear time-invariant systems. We characterize the number of observed samples (the length of the observed trajectory)…
This paper proposes a new approach to perform unsupervised fine-tuning and self-training using unlabeled speech data for recurrent neural network (RNN)-Transducer (RNN-T) end-to-end (E2E) automatic speech recognition (ASR) systems.…
The main contribution of the paper is a new approach to subspace clustering that is significantly more computationally efficient and scalable than existing state-of-the-art methods. The central idea is to modify the regression technique in…
A long memory and non-linear realized volatility model class is proposed for direct Value at Risk (VaR) forecasting. This model, referred to as RNN-HAR, extends the heterogeneous autoregressive (HAR) model, a framework known for efficiently…
Linear models are foundational tools in statistics and ubiquitous across the applied sciences. However, conventional statistical inference -- such as $t$-tests and $F$-tests -- are only valid at fixed sample sizes, making them unsuitable…
Least squares regression with heteroskedasticity consistent standard errors ("OLS-HC regression") has proved very useful in cross section environments. However, several major difficulties, which are generally overlooked, must be confronted…
In reinforcement learning (RL), experience replay-based sampling techniques play a crucial role in promoting convergence by eliminating spurious correlations. However, widely used methods such as uniform experience replay (UER) and…
We study non-stationary linear contextual bandits through the lens of sequential Bayesian inference. Whereas existing algorithms typically rely on the Weighted Regularized Least-Squares (WRLS) objective, we study Weighted Sequential…
High dimensional Vector Autoregressions (VAR) have received a lot of interest recently due to novel applications in health, engineering, finance and the social sciences. Three issues arise when analyzing VAR's: (a) The high dimensional…
Forecasting the evolution of complex systems is one of the grand challenges of modern data science. The fundamental difficulty lies in understanding the structure of the observed stochastic process. In this paper, we show that every…
Likelihood-based inference for multivariate extreme-value models is often unreliable or infeasible when likelihoods are intractable or supports are discrete. This challenge is particularly acute for multivariate discrete generalized Pareto…
Artificial Neural Networks (ANNs) can be viewed as nonlinear sieves that can approximate complex functions of high dimensional variables more effectively than linear sieves. We investigate the performance of various ANNs in nonparametric…
Word error rate (WER) is a metric used to evaluate the quality of transcriptions produced by Automatic Speech Recognition (ASR) systems. In many applications, it is of interest to estimate WER given a pair of a speech utterance and a…
The importance weighted autoencoder (IWAE) (Burda et al., 2016) is a popular variational-inference method which achieves a tighter evidence bound (and hence a lower bias) than standard variational autoencoders by optimising a multi-sample…
We propose a pointwise inference algorithm for high-dimensional linear models with time-varying coefficients. The method is based on a novel combination of the nonparametric kernel smoothing technique and a Lasso bias-corrected ridge…
We consider Wald type statistics designed for joint predictability and structural break testing based on the instrumentation method of Phillips and Magdalinos (2009). We show that under the assumption of nonstationary predictors: (i) the…
An empirical Bayes approach to the estimation of possibly sparse sequences observed in Gaussian white noise is set out and investigated. The prior considered is a mixture of an atom of probability at zero and a heavy-tailed density \gamma,…
This work presents a technique for statistically modeling errors introduced by reduced-order models. The method employs Gaussian-process regression to construct a mapping from a small number of computationally inexpensive `error indicators'…
Multivariate time series (MTS) imputation is a widely studied problem in recent years. Existing methods can be divided into two main groups, including (1) deep recurrent or generative models that primarily focus on time series features, and…
Reweighted wake-sleep (RWS) is a machine learning method for performing Bayesian inference in a very general class of models. RWS draws $K$ samples from an underlying approximate posterior, then uses importance weighting to provide a better…