相关论文: Hold-out estimates of prediction models for Markov…

Markov chains are a natural and well understood tool for describing one-dimensional patterns in time or space. We show how to infer $k$-th order Markov chains, for arbitrary $k$, from finite data by applying Bayesian methods to both…

There are multiple ways in which a stochastic system can be out of statistical equilibrium. It might be subject to time-varying forcing; or be in a transient phase on its way towards equilibrium; it might even be in equilibrium without us…

A common challenge across all areas of machine learning is that training data is not distributed like test data, due to natural shifts, "blind spots," or adversarial examples; such test examples are referred to as out-of-distribution (OOD)…

The parameters of a discrete stationary Markov model are transition probabilities between states. Traditionally, data consist in sequences of observed states for a given number of individuals over the whole observation period. In such a…

This paper studies theory and inference related to a class of time series models that incorporates nonlinear dynamics. It is assumed that the observations follow a one-parameter exponential family of distributions given an accompanying…

We propose a very efficient method for pricing various types of lookback options under Markov models. We utilize the model-free representations of lookback option prices as integrals of first passage probabilities. We combine efficient…

Out-of-sample prediction is the acid test of predictive models, yet an independent test dataset is often not available for assessment of the prediction error. For this reason, out-of-sample performance is commonly estimated using data…

We propose leave-out estimators of quadratic forms designed for the study of linear models with unrestricted heteroscedasticity. Applications include analysis of variance and tests of linear restrictions in models with many regressors. An…

In order to steer e-commerce users towards making a purchase, marketers rely upon predictions of when users exit without purchasing. Previously, such predictions were based upon hidden Markov models (HMMs) due to their ability of modeling…

The hidden Markov model (HMM) provides a powerful framework for inference in time-varying environments, where the underlying state evolves according to a Markov chain. To address the optimal filtering problem in general dynamic settings, we…

A method for estimating theoretical predictability of time series is presented, based on information-theoretic functionals---redundancies and surrogate data technique. The redundancy, designed for a chosen model and a prediction horizon,…

Predicting the exit (e.g. bankrupt, acquisition, etc.) of privately held companies is a current and relevant problem for investment firms. The difficulty of the problem stems from the lack of reliable, quantitative and publicly available…

Time delay estimation plays a critical role in control, stabilization and state estimation of many practical system with time delay. In this paper, we propose a method to estimate delay for discrete time linear multiple-input…

To sample from a given target distribution, Markov chain Monte Carlo (MCMC) sampling relies on constructing an ergodic Markov chain with the target distribution as its invariant measure. For any MCMC method, an important question is how to…

Recommender systems are widely used for suggesting books, education materials, and products to users by exploring their behaviors. In reality, users' preferences often change over time, leading to studies on time-dependent recommender…

We present an optimization process to estimate parameters in systems of ordinary differential equations from chaotic time series. The optimization technique is based on a variational approach, and numerical studies on noisy time series…

Predictive risk scores for adverse outcomes are increasingly crucial in guiding health interventions. Such scores may need to be periodically updated due to change in the distributions they model. However, directly updating risk scores used…

We derive a finite-sample probabilistic bound on the parameter estimation error of a system identification algorithm for Linear Switched Systems. The algorithm estimates Markov parameters from a single trajectory and applies a variant of…

Stochastic approximation is a framework unifying many random iterative algorithms occurring in a diverse range of applications. The stability of the process is often difficult to verify in practical applications and the process may even be…

Modern preference alignment techniques, such as Best-of-N (BoN) sampling, rely on reward models trained with pairwise comparison data. While effective at learning relative preferences, this paradigm fails to capture a signal of response…