14,509 research outputs found
Autoencoders for strategic decision support
In the majority of executive domains, a notion of normality is involved in
most strategic decisions. However, few data-driven tools that support strategic
decision-making are available. We introduce and extend the use of autoencoders
to provide strategically relevant granular feedback. A first experiment
indicates that experts are inconsistent in their decision making, highlighting
the need for strategic decision support. Furthermore, using two large
industry-provided human resources datasets, the proposed solution is evaluated
in terms of ranking accuracy, synergy with human experts, and dimension-level
feedback. This three-point scheme is validated using (a) synthetic data, (b)
the perspective of data quality, (c) blind expert validation, and (d)
transparent expert evaluation. Our study confirms several principal weaknesses
of human decision-making and stresses the importance of synergy between a model
and humans. Moreover, unsupervised learning and in particular the autoencoder
are shown to be valuable tools for strategic decision-making
A unified approach to nonlinearity, structural change and outliers
This paper demonstrates that the class of conditionally linear and Gaussianstate-space models offers a general and convenient framework for simultaneouslyhandling nonlinearity, structural change and outliers in time series. Manypopular nonlinear time series models, including threshold, smooth transitionand Markov-Switching models, can be written in state-space form. It is thenstraightforward to add components that capture parameter instability andintervention effects. We advocate a Bayesian approach to estimation andinference, using an efficient implementation of Markov Chain Monte Carlosampling schemes for such linear dynamic mixture models. The general modellingframework and the Bayesian methodology are illustrated by means of severalexamples. An application to quarterly industrial production growth rates forthe G7 countries demonstrates the empirical usefulness of the approach.Bayesian inference;threshold models;Markov-switching models;business cycle asymmetry;state-space models
Robust Statistics
The first example involves the real data given in Table 1 which are the results of an interlaboratory test. The boxplots are shown in Fig. 1 where the dotted line denotes the mean of the observations and the solid line the median. We note that only the results of the Laboratories 1 and 3 lie below the mean whereas all the remaining laboratories return larger values. In the case of the median, 7 of the readings coincide with the median, 24 readings are smaller and 24 are larger. A glance at Fig. 1 suggests that in the absence of further information the Laboratories 1 and 3 should be treated as outliers. This is the course which we recommend although the issues involved require careful thought. For the moment we note simply that the median is a robust statistic whereas the mean is not. --
Functional data analytic approach of modeling ECG T-wave shape to measure cardiovascular behavior
The T-wave of an electrocardiogram (ECG) represents the ventricular
repolarization that is critical in restoration of the heart muscle to a
pre-contractile state prior to the next beat. Alterations in the T-wave reflect
various cardiac conditions; and links between abnormal (prolonged) ventricular
repolarization and malignant arrhythmias have been documented. Cardiac safety
testing prior to approval of any new drug currently relies on two points of the
ECG waveform: onset of the Q-wave and termination of the T-wave; and only a few
beats are measured. Using functional data analysis, a statistical approach
extracts a common shape for each subject (reference curve) from a sequence of
beats, and then models the deviation of each curve in the sequence from that
reference curve as a four-dimensional vector. The representation can be used to
distinguish differences between beats or to model shape changes in a subject's
T-wave over time. This model provides physically interpretable parameters
characterizing T-wave shape, and is robust to the determination of the endpoint
of the T-wave. Thus, this dimension reduction methodology offers the strong
potential for definition of more robust and more informative biomarkers of
cardiac abnormalities than the QT (or QT corrected) interval in current use.Comment: Published in at http://dx.doi.org/10.1214/09-AOAS273 the Annals of
Applied Statistics (http://www.imstat.org/aoas/) by the Institute of
Mathematical Statistics (http://www.imstat.org
Probabilistic Anomaly Detection in Natural Gas Time Series Data
This paper introduces a probabilistic approach to anomaly detection, specifically in natural gas time series data. In the natural gas field, there are various types of anomalies, each of which is induced by a range of causes and sources. The causes of a set of anomalies are examined and categorized, and a Bayesian maximum likelihood classifier learns the temporal structures of known anomalies. Given previously unseen time series data, the system detects anomalies using a linear regression model with weather inputs, after which the anomalies are tested for false positives and classified using a Bayesian classifier. The method can also identify anomalies of an unknown origin. Thus, the likelihood of a data point being anomalous is given for anomalies of both known and unknown origins. This probabilistic anomaly detection method is tested on a reported natural gas consumption data set
Bayesian outlier detection in Capital Asset Pricing Model
We propose a novel Bayesian optimisation procedure for outlier detection in
the Capital Asset Pricing Model. We use a parametric product partition model to
robustly estimate the systematic risk of an asset. We assume that the returns
follow independent normal distributions and we impose a partition structure on
the parameters of interest. The partition structure imposed on the parameters
induces a corresponding clustering of the returns. We identify via an
optimisation procedure the partition that best separates standard observations
from the atypical ones. The methodology is illustrated with reference to a real
data set, for which we also provide a microeconomic interpretation of the
detected outliers
- ā¦