9,495 research outputs found
Forecasting and Granger Modelling with Non-linear Dynamical Dependencies
Traditional linear methods for forecasting multivariate time series are not
able to satisfactorily model the non-linear dependencies that may exist in
non-Gaussian series. We build on the theory of learning vector-valued functions
in the reproducing kernel Hilbert space and develop a method for learning
prediction functions that accommodate such non-linearities. The method not only
learns the predictive function but also the matrix-valued kernel underlying the
function search space directly from the data. Our approach is based on learning
multiple matrix-valued kernels, each of those composed of a set of input
kernels and a set of output kernels learned in the cone of positive
semi-definite matrices. In addition to superior predictive performance in the
presence of strong non-linearities, our method also recovers the hidden dynamic
relationships between the series and thus is a new alternative to existing
graphical Granger techniques.Comment: Accepted for ECML-PKDD 201
Invariances of random fields paths, with applications in Gaussian Process Regression
We study pathwise invariances of centred random fields that can be controlled
through the covariance. A result involving composition operators is obtained in
second-order settings, and we show that various path properties including
additivity boil down to invariances of the covariance kernel. These results are
extended to a broader class of operators in the Gaussian case, via the Lo\`eve
isometry. Several covariance-driven pathwise invariances are illustrated,
including fields with symmetric paths, centred paths, harmonic paths, or sparse
paths. The proposed approach delivers a number of promising results and
perspectives in Gaussian process regression
Invariance of visual operations at the level of receptive fields
Receptive field profiles registered by cell recordings have shown that
mammalian vision has developed receptive fields tuned to different sizes and
orientations in the image domain as well as to different image velocities in
space-time. This article presents a theoretical model by which families of
idealized receptive field profiles can be derived mathematically from a small
set of basic assumptions that correspond to structural properties of the
environment. The article also presents a theory for how basic invariance
properties to variations in scale, viewing direction and relative motion can be
obtained from the output of such receptive fields, using complementary
selection mechanisms that operate over the output of families of receptive
fields tuned to different parameters. Thereby, the theory shows how basic
invariance properties of a visual system can be obtained already at the level
of receptive fields, and we can explain the different shapes of receptive field
profiles found in biological vision from a requirement that the visual system
should be invariant to the natural types of image transformations that occur in
its environment.Comment: 40 pages, 17 figure
Machine-learning of atomic-scale properties based on physical principles
We briefly summarize the kernel regression approach, as used recently in
materials modelling, to fitting functions, particularly potential energy
surfaces, and highlight how the linear algebra framework can be used to both
predict and train from linear functionals of the potential energy, such as the
total energy and atomic forces. We then give a detailed account of the Smooth
Overlap of Atomic Positions (SOAP) representation and kernel, showing how it
arises from an abstract representation of smooth atomic densities, and how it
is related to several popular density-based representations of atomic
structure. We also discuss recent generalisations that allow fine control of
correlations between different atomic species, prediction and fitting of
tensorial properties, and also how to construct structural kernels---applicable
to comparing entire molecules or periodic systems---that go beyond an additive
combination of local environments
Ray casting implicit fractal surfaces with reduced affine arithmetic
A method is presented for ray casting implicit surfaces defined by fractal combinations of procedural noise functions. The method is robust and uses affine arithmetic to bound the variation of the implicit function along a ray. The method is also efficient due to a modification in the affine arithmetic representation that introduces a condensation step at the end of every non-affine operation. We show that our method is able to retain the tight estimation capabilities of affine arithmetic for ray casting implicit surfaces made from procedural noise functions while being faster to compute and more efficient to store
Realized volatility: a review
This paper reviews the exciting and rapidly expanding literature on realized volatility. After presenting a general univariate framework for estimating realized volatilities, a simple discrete time model is presented in order to motivate the main results. A continuous time specification provides the theoretical foundation for the main results in this literature. Cases with and without microstructure noise are considered, and it is shown how microstructure noise can cause severe problems in terms of consistent estimation of the daily realized volatility. Independent and dependent noise processes are examined. The most important methods for providing consistent estimators are presented, and a critical exposition of different techniques is given. The finite sample properties are discussed in comparison with their asymptotic properties. A multivariate model is presented to discuss estimation of the realized covariances. Various issues relating to modelling and forecasting realized volatilities are considered. The main empirical findings using univariate and multivariate methods are summarized.
Polynomial-Chaos-based Kriging
Computer simulation has become the standard tool in many engineering fields
for designing and optimizing systems, as well as for assessing their
reliability. To cope with demanding analysis such as optimization and
reliability, surrogate models (a.k.a meta-models) have been increasingly
investigated in the last decade. Polynomial Chaos Expansions (PCE) and Kriging
are two popular non-intrusive meta-modelling techniques. PCE surrogates the
computational model with a series of orthonormal polynomials in the input
variables where polynomials are chosen in coherency with the probability
distributions of those input variables. On the other hand, Kriging assumes that
the computer model behaves as a realization of a Gaussian random process whose
parameters are estimated from the available computer runs, i.e. input vectors
and response values. These two techniques have been developed more or less in
parallel so far with little interaction between the researchers in the two
fields. In this paper, PC-Kriging is derived as a new non-intrusive
meta-modeling approach combining PCE and Kriging. A sparse set of orthonormal
polynomials (PCE) approximates the global behavior of the computational model
whereas Kriging manages the local variability of the model output. An adaptive
algorithm similar to the least angle regression algorithm determines the
optimal sparse set of polynomials. PC-Kriging is validated on various benchmark
analytical functions which are easy to sample for reference results. From the
numerical investigations it is concluded that PC-Kriging performs better than
or at least as good as the two distinct meta-modeling techniques. A larger gain
in accuracy is obtained when the experimental design has a limited size, which
is an asset when dealing with demanding computational models
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