6,786 research outputs found

    A New Test of the Martingale Difference Hypothesis

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    In this paper we propose a new class of tests for the martingale difference hypothesis based on the moment conditions derived by Bierens (1982). In contrast with the existing consistent tests, the proposed test has a standard limiting distribution and is easy to implement. Comparing with the commonly used autocorrelation- and spectrum-based tests, it has power against a much larger class of alternatives that may be serially correlated or uncorrelated. Moreover, this test does not rely on the assumption of conditional homoskedasticity and requires a weaker moment condition. Our simulations confirm that the proposed test is powerful against various linear and nonlinear alternatives and is quite robust to the failure of higher-order moments. Our empirical study on exchange rate returns also shows that the conclusion resulted from the proposed test is different from that of the conventional tests.autocorrelation-based test, Bierens’ equivalence result, martingale difference sequence, multivariate exponential distribution, spectrum-based test

    Testing Over-Identifying Restrictions without Consistent Estimation of the Asymptotic Covariance Matrix

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    We extend the KVB approach of Kiefer, Vogelsang, and Bunzel (2000, Econometrica) and Kiefer and Vogelsang (2002b, Econometric Theory) to construct a class of robust tests for over-identifying restrictions in the context of GMM. The proposed test does not require consistent estimation of the asymptotic covariance matrix but relies on kernel-based normalizing matrices to eliminate the nuisance parameters in the limit. Moreover, the proposed test is valid for any consistent GMM estimator, in contrast with the conventional test that requires the optimal GMM estimator, and hence is easy to implement. Our simulations show that the proposed test is properly sized and may even be more powerful than the conventional test computed with an inappropriate user-chosen parameter.generalized method of moments, kernel function, KVB approach, overidentifying restrictions, robust test

    Multi-Label Zero-Shot Learning with Structured Knowledge Graphs

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    In this paper, we propose a novel deep learning architecture for multi-label zero-shot learning (ML-ZSL), which is able to predict multiple unseen class labels for each input instance. Inspired by the way humans utilize semantic knowledge between objects of interests, we propose a framework that incorporates knowledge graphs for describing the relationships between multiple labels. Our model learns an information propagation mechanism from the semantic label space, which can be applied to model the interdependencies between seen and unseen class labels. With such investigation of structured knowledge graphs for visual reasoning, we show that our model can be applied for solving multi-label classification and ML-ZSL tasks. Compared to state-of-the-art approaches, comparable or improved performances can be achieved by our method.Comment: CVPR 201

    Personalized Acoustic Modeling by Weakly Supervised Multi-Task Deep Learning using Acoustic Tokens Discovered from Unlabeled Data

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    It is well known that recognizers personalized to each user are much more effective than user-independent recognizers. With the popularity of smartphones today, although it is not difficult to collect a large set of audio data for each user, it is difficult to transcribe it. However, it is now possible to automatically discover acoustic tokens from unlabeled personal data in an unsupervised way. We therefore propose a multi-task deep learning framework called a phoneme-token deep neural network (PTDNN), jointly trained from unsupervised acoustic tokens discovered from unlabeled data and very limited transcribed data for personalized acoustic modeling. We term this scenario "weakly supervised". The underlying intuition is that the high degree of similarity between the HMM states of acoustic token models and phoneme models may help them learn from each other in this multi-task learning framework. Initial experiments performed over a personalized audio data set recorded from Facebook posts demonstrated that very good improvements can be achieved in both frame accuracy and word accuracy over popularly-considered baselines such as fDLR, speaker code and lightly supervised adaptation. This approach complements existing speaker adaptation approaches and can be used jointly with such techniques to yield improved results.Comment: 5 pages, 5 figures, published in IEEE ICASSP 201