Dynamic Covariance Models for Multivariate Financial Time Series

The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure to capture shifts in market conditions and c) large computational costs. To address these problems we introduce a novel dynamic model for time-changing covariances. Over-fitting and local optima are avoided by following a Bayesian approach instead of computing point estimates. Changes in market conditions are captured by assuming a diffusion process in parameter values, and finally computationally efficient and scalable inference is performed using particle filters. Experiments with financial data show excellent performance of the proposed method with respect to current standard models

3D Human Activity Recognition with Reconfigurable Convolutional Neural Networks

Human activity understanding with 3D/depth sensors has received increasing attention in multimedia processing and interactions. This work targets on developing a novel deep model for automatic activity recognition from RGB-D videos. We represent each human activity as an ensemble of cubic-like video segments, and learn to discover the temporal structures for a category of activities, i.e. how the activities to be decomposed in terms of classification. Our model can be regarded as a structured deep architecture, as it extends the convolutional neural networks (CNNs) by incorporating structure alternatives. Specifically, we build the network consisting of 3D convolutions and max-pooling operators over the video segments, and introduce the latent variables in each convolutional layer manipulating the activation of neurons. Our model thus advances existing approaches in two aspects: (i) it acts directly on the raw inputs (grayscale-depth data) to conduct recognition instead of relying on hand-crafted features, and (ii) the model structure can be dynamically adjusted accounting for the temporal variations of human activities, i.e. the network configuration is allowed to be partially activated during inference. For model training, we propose an EM-type optimization method that iteratively (i) discovers the latent structure by determining the decomposed actions for each training example, and (ii) learns the network parameters by using the back-propagation algorithm. Our approach is validated in challenging scenarios, and outperforms state-of-the-art methods. A large human activity database of RGB-D videos is presented in addition.Comment: This manuscript has 10 pages with 9 figures, and a preliminary version was published in ACM MM'14 conferenc

Graphic Symbol Recognition using Graph Based Signature and Bayesian Network Classifier

We present a new approach for recognition of complex graphic symbols in technical documents. Graphic symbol recognition is a well known challenge in the field of document image analysis and is at heart of most graphic recognition systems. Our method uses structural approach for symbol representation and statistical classifier for symbol recognition. In our system we represent symbols by their graph based signatures: a graphic symbol is vectorized and is converted to an attributed relational graph, which is used for computing a feature vector for the symbol. This signature corresponds to geometry and topology of the symbol. We learn a Bayesian network to encode joint probability distribution of symbol signatures and use it in a supervised learning scenario for graphic symbol recognition. We have evaluated our method on synthetically deformed and degraded images of pre-segmented 2D architectural and electronic symbols from GREC databases and have obtained encouraging recognition rates.Comment: 5 pages, 8 figures, Tenth International Conference on Document Analysis and Recognition (ICDAR), IEEE Computer Society, 2009, volume 10, 1325-132

A method for exploratory repeated-measures analysis applied to a breast-cancer screening study

When a model may be fitted separately to each individual statistical unit, inspection of the point estimates may help the statistician to understand between-individual variability and to identify possible relationships. However, some information will be lost in such an approach because estimation uncertainty is disregarded. We present a comparative method for exploratory repeated-measures analysis to complement the point estimates that was motivated by and is demonstrated by analysis of data from the CADET II breast-cancer screening study. The approach helped to flag up some unusual reader behavior, to assess differences in performance, and to identify potential random-effects models for further analysis.Comment: Published in at http://dx.doi.org/10.1214/11-AOAS481 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org