相关论文: Large-Scale Dynamic Predictive Regressions

Deep generative models are becoming widely used across science and industry for a variety of purposes. A common challenge is achieving a precise implicit or explicit representation of the data probability density. Recent proposals have…

In high-dimensional data, structured noise caused by observed and unobserved factors affecting multiple target variables simultaneously, imposes a serious challenge for modeling, by masking the often weak signal. Therefore, (1) explaining…

Structured additive distributional copula regression allows to model the joint distribution of multivariate outcomes by relating all distribution parameters to covariates. Estimation via statistical boosting enables accounting for…

The Lasso is an attractive technique for regularization and variable selection for high-dimensional data, where the number of predictor variables $p_n$ is potentially much larger than the number of samples $n$. However, it was recently…

We study the dynamic portfolio selection of an investor who uses deep learning methods to forecast stock market excess returns. In a two-asset allocation problem, deep neural networks -- both feedforward and long short-term memory (LSTM)…

Learning predictive models from observations using deep neural networks (DNNs) is a promising new approach to many real-world planning and control problems. However, common DNNs are too unstructured for effective planning, and current…

We propose a distributed method for simultaneous inference for datasets with sample size much larger than the number of covariates, i.e., N >> p, in the generalized linear models framework. When such datasets are too big to be analyzed…

In the problem of learning mixtures of linear regressions, the goal is to learn a collection of signal vectors from a sequence of (possibly noisy) linear measurements, where each measurement is evaluated on an unknown signal drawn uniformly…

Conformal predictors, introduced by Vovk et al. (2005), serve to build prediction intervals by exploiting a notion of conformity of the new data point with previously observed data. In the present paper, we propose a novel method for…

As synthetic data proliferates across the Internet, it is often reused to train successive generations of generative models. This creates a ``self-consuming loop" that can lead to training instability or \textit{model collapse}. Common…

We present a semi-supervised learning algorithm for learning discrete factor analysis models with arbitrary structure on the latent variables. Our algorithm assumes that every latent variable has an "anchor", an observed variable with only…

We study low-rank matrix regression in settings where matrix-valued predictors and scalar responses are observed across multiple individuals. Rather than assuming a fully homogeneous coefficient matrices across individuals, we accommodate…

Automated model discovery of partial differential equations (PDEs) usually considers a single experiment or dataset to infer the underlying governing equations. In practice, experiments have inherent natural variability in parameters,…

Within the statistical and machine learning literature, regularization techniques are often used to construct sparse (predictive) models. Most regularization strategies only work for data where all predictors are treated identically, such…

We introduce an online tensor decomposition based approach for two latent variable modeling problems namely, (1) community detection, in which we learn the latent communities that the social actors in social networks belong to, and (2)…

Scientific measurements are often bottlenecked by suboptimal conditions, whether that be noise, incomplete spatial coverage, or limited resolution, rendering accurate field reconstruction a difficult task. We introduce LatentPDE, a latent…

This paper presents a novel machine learning approach to GDP prediction that incorporates volatility as a model weight. The proposed method is specifically designed to identify and select the most relevant macroeconomic variables for…

Given (small amounts of) time-series' data from a high-dimensional, fine-grained, multiscale dynamical system, we propose a generative framework for learning an effective, lower-dimensional, coarse-grained dynamical model that is predictive…

Generating synthetic financial time series that preserve the statistical properties of real market data is essential for stress testing, risk model validation, and scenario design. Existing approaches struggle to simultaneously reproduce…

Unsupervised learning aims at the discovery of hidden structure that drives the observations in the real world. It is essential for success in modern machine learning. Latent variable models are versatile in unsupervised learning and have…