Financial Time Series Forecast Using Neural Network Ensembles

Abstract. Financial time series has been standard complex problem in the field of forecasting due to its non-linearity and high volatility. Though various neural networks such as backpropagation, radial basis, recurrent and evolutionary etc. can be used for time series forecasting, each of them suffer from some flaws. Performances are more varied for different time series with loss of generalization. Each of the method poses some pros and cons for it. In this paper, we use ensembles of neural networks to get better performance for the financial time series forecasting. For neural network ensemble four different modules has been used and results of them are finally integrated using integrator to get the final output. Gating has been used as integration techniques for the ensembles modules. Empirical results obtained from ensemble approach confirm the outperformance of forecast results than single module results

Distribution-Free Rates in Neyman-Pearson Classification

We consider the problem of Neyman-Pearson classification which models unbalanced classification settings where error w.r.t. a distribution $\mu_1$ is to be minimized subject to low error w.r.t. a different distribution $\mu_0$. Given a fixed VC class $\mathcal{H}$ of classifiers to be minimized over, we provide a full characterization of possible distribution-free rates, i.e., minimax rates over the space of all pairs $(\mu_0, \mu_1)$. The rates involve a dichotomy between hard and easy classes $\mathcal{H}$ as characterized by a simple geometric condition, a three-points-separation condition, loosely related to VC dimension

Neyman-pearson classiffication under high-dimensional settings

Most existing binary classification methods target on the optimization of the overall classification risk and may fail to serve some real-world applications such as cancer diagnosis, where users are more concerned with the risk of misclassifying one specific class than the other. Neyman-Pearson (NP) paradigm was introduced in this context as a novel statistical framework for handling asymmetric type I/II error priorities. It seeks classifiers with a minimal type II error and a constrained type I error under a user specified level. This article is the first attempt to construct classifiers with guaranteed theoretical performance under the NP paradigm in high-dimensional settings. Based on the fundamental Neyman-Pearson Lemma, we used a plug-in approach to construct NP-Type classifiers for Naive Bayes models. The proposed classifiers satisfy the NP oracle inequalities, which are natural NP paradigm counterparts of the oracle inequalities in classical binary classification. Besides their desirable theoretical properties, we also demonstrated their numerical advantages in prioritized error control via both simulation and real data studies

Frugal hypothesis testing and classification

Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2010.Cataloged from PDF version of thesis.Includes bibliographical references (p. 157-175).The design and analysis of decision rules using detection theory and statistical learning theory is important because decision making under uncertainty is pervasive. Three perspectives on limiting the complexity of decision rules are considered in this thesis: geometric regularization, dimensionality reduction, and quantization or clustering. Controlling complexity often reduces resource usage in decision making and improves generalization when learning decision rules from noisy samples. A new margin-based classifier with decision boundary surface area regularization and optimization via variational level set methods is developed. This novel classifier is termed the geometric level set (GLS) classifier. A method for joint dimensionality reduction and margin-based classification with optimization on the Stiefel manifold is developed. This dimensionality reduction approach is extended for information fusion in sensor networks. A new distortion is proposed for the quantization or clustering of prior probabilities appearing in the thresholds of likelihood ratio tests. This distortion is given the name mean Bayes risk error (MBRE). The quantization framework is extended to model human decision making and discrimination in segregated populations.by Kush R. Varshney.Ph.D

Hyperspectral Unmixing Overview: Geometrical, Statistical, and Sparse Regression-Based Approaches

Imaging spectrometers measure electromagnetic energy scattered in their instantaneous field view in hundreds or thousands of spectral channels with higher spectral resolution than multispectral cameras. Imaging spectrometers are therefore often referred to as hyperspectral cameras (HSCs). Higher spectral resolution enables material identification via spectroscopic analysis, which facilitates countless applications that require identifying materials in scenarios unsuitable for classical spectroscopic analysis. Due to low spatial resolution of HSCs, microscopic material mixing, and multiple scattering, spectra measured by HSCs are mixtures of spectra of materials in a scene. Thus, accurate estimation requires unmixing. Pixels are assumed to be mixtures of a few materials, called endmembers. Unmixing involves estimating all or some of: the number of endmembers, their spectral signatures, and their abundances at each pixel. Unmixing is a challenging, ill-posed inverse problem because of model inaccuracies, observation noise, environmental conditions, endmember variability, and data set size. Researchers have devised and investigated many models searching for robust, stable, tractable, and accurate unmixing algorithms. This paper presents an overview of unmixing methods from the time of Keshava and Mustard's unmixing tutorial [1] to the present. Mixing models are first discussed. Signal-subspace, geometrical, statistical, sparsity-based, and spatial-contextual unmixing algorithms are described. Mathematical problems and potential solutions are described. Algorithm characteristics are illustrated experimentally.Comment: This work has been accepted for publication in IEEE Journal of Selected Topics in Applied Earth Observations and Remote Sensin

Feature Selection and Classifier Development for Radio Frequency Device Identification

The proliferation of simple and low-cost devices, such as IEEE 802.15.4 ZigBee and Z-Wave, in Critical Infrastructure (CI) increases security concerns. Radio Frequency Distinct Native Attribute (RF-DNA) Fingerprinting facilitates biometric-like identification of electronic devices emissions from variances in device hardware. Developing reliable classifier models using RF-DNA fingerprints is thus important for device discrimination to enable reliable Device Classification (a one-to-many looks most like assessment) and Device ID Verification (a one-to-one looks how much like assessment). AFITs prior RF-DNA work focused on Multiple Discriminant Analysis/Maximum Likelihood (MDA/ML) and Generalized Relevance Learning Vector Quantized Improved (GRLVQI) classifiers. This work 1) introduces a new GRLVQI-Distance (GRLVQI-D) classifier that extends prior GRLVQI work by supporting alternative distance measures, 2) formalizes a framework for selecting competing distance measures for GRLVQI-D, 3) introducing response surface methods for optimizing GRLVQI and GRLVQI-D algorithm settings, 4) develops an MDA-based Loadings Fusion (MLF) Dimensional Reduction Analysis (DRA) method for improved classifier-based feature selection, 5) introduces the F-test as a DRA method for RF-DNA fingerprints, 6) provides a phenomenological understanding of test statistics and p-values, with KS-test and F-test statistic values being superior to p-values for DRA, and 7) introduces quantitative dimensionality assessment methods for DRA subset selection

Conceptual challenges for interpretable machine learning

As machine learning has gradually entered into ever more sectors of public and private life, there has been a growing demand for algorithmic explainability. How can we make the predictions of complex statistical models more intelligible to end users? A subdiscipline of computer science known as interpretable machine learning (IML) has emerged to address this urgent question. Numerous influential methods have been proposed, from local linear approximations to rule lists and counterfactuals. In this article, I highlight three conceptual challenges that are largely overlooked by authors in this area. I argue that the vast majority of IML algorithms are plagued by (1) ambiguity with respect to their true target; (2) a disregard for error rates and severe testing; and (3) an emphasis on product over process. Each point is developed at length, drawing on relevant debates in epistemology and philosophy of science. Examples and counterexamples from IML are considered, demonstrating how failure to acknowledge these problems can result in counterintuitive and potentially misleading explanations. Without greater care for the conceptual foundations of IML, future work in this area is doomed to repeat the same mistakes