Toward a generic representation of random variables for machine learning

This paper presents a pre-processing and a distance which improve the performance of machine learning algorithms working on independent and identically distributed stochastic processes. We introduce a novel non-parametric approach to represent random variables which splits apart dependency and distribution without losing any information. We also propound an associated metric leveraging this representation and its statistical estimate. Besides experiments on synthetic datasets, the benefits of our contribution is illustrated through the example of clustering financial time series, for instance prices from the credit default swaps market. Results are available on the website www.datagrapple.com and an IPython Notebook tutorial is available at www.datagrapple.com/Tech for reproducible research.Comment: submitted to Pattern Recognition Letter

A proposal of a methodological framework with experimental guidelines to investigate clustering stability on financial time series

We present in this paper an empirical framework motivated by the practitioner point of view on stability. The goal is to both assess clustering validity and yield market insights by providing through the data perturbations we propose a multi-view of the assets' clustering behaviour. The perturbation framework is illustrated on an extensive credit default swap time series database available online at www.datagrapple.com.Comment: Accepted at ICMLA 201

The sensitivity of rapidly rotating Rayleigh--B\'enard convection to Ekman pumping

The dependence of the heat transfer, as measured by the nondimensional Nusselt number $Nu$, on Ekman pumping for rapidly rotating Rayleigh-B\'enard convection in an infinite plane layer is examined for fluids with Prandtl number $Pr = 1$. A joint effort utilizing simulations from the Composite Non-hydrostatic Quasi-Geostrophic model (CNH-QGM) and direct numerical simulations (DNS) of the incompressible fluid equations has mapped a wide range of the Rayleigh number $Ra$ - Ekman number $E$ parameter space within the geostrophic regime of rotating convection. Corroboration of the $Nu$-$Ra$ relation at $E = 10^{-7}$ from both methods along with higher $E$ covered by DNS and lower $E$ by the asymptotic model allows for this range of the heat transfer results. For stress-free boundaries, the relation $Nu-1 \propto (Ra E^{4/3} )^{\alpha}$ has the dissipation-free scaling of $\alpha = 3/2$ for all $E \leq 10^{-7}$. This is directly related to a geostrophic turbulent interior that throttles the heat transport supplied to the thermal boundary layers. For no-slip boundaries, the existence of ageostrophic viscous boundary layers and their associated Ekman pumping yields a more complex 2D surface in $Nu(E,Ra)$ parameter space. For $E<10^{-7}$ results suggest that the surface can be expressed as $Nu-1 \propto (1+ P(E)) (Ra E^{4/3} )^{3/2}$ indicating the dissipation-free scaling law is enhanced by Ekman pumping by the multiplicative prefactor $(1+ P(E))$ where $P(E) \approx 5.97 E^{1/8}$. It follows for $E<10^{-7}$ that the geostrophic turbulent interior remains the flux bottleneck in rapidly rotating Rayleigh-B\'enard convection. For $E\sim10^{-7}$, where DNS and asymptotic simulations agree quantitatively, it is found that the effects of Ekman pumping are sufficiently strong to influence the heat transport with diminished exponent $\alpha \approx 1.2$ and $Nu-1 \propto (Ra E^{4/3} )^{1.2}$.Comment: 9 pages, 14 figure

The effects of Ekman pumping on quasi-geostrophic Rayleigh-Benard convection

Numerical simulations of 3D, rapidly rotating Rayleigh-Benard convection are performed using an asymptotic quasi-geostrophic model that incorporates the effects of no-slip boundaries through (i) parameterized Ekman pumping boundary conditions, and (ii) a thermal wind boundary layer that regularizes the enhanced thermal fluctuations induced by pumping. The fidelity of the model, obtained by an asymptotic reduction of the Navier-Stokes equations that implicitly enforces a pointwise geostrophic balance, is explored for the first time by comparisons of simulations against the findings of direct numerical simulations and laboratory experiments. Results from these methods have established Ekman pumping as the mechanism responsible for significantly enhancing the vertical heat transport. This asymptotic model demonstrates excellent agreement over a range of thermal forcing for Pr ~1 when compared with results from experiments and DNS at maximal values of their attainable rotation rates, as measured by the Ekman number (E ~ 10^{-7}); good qualitative agreement is achieved for Pr > 1. Similar to studies with stress-free boundaries, four spatially distinct flow morphologies exists. Despite the presence of frictional drag at the upper and/or lower boundaries, a strong non-local inverse cascade of barotropic (i.e., depth-independent) kinetic energy persists in the final regime of geostrophic turbulence and is dominant at large scales. For mixed no-slip/stress-free and no-slip/no-slip boundaries, Ekman friction is found to attenuate the efficiency of the upscale energy transport and, unlike the case of stress-free boundaries, rapidly saturates the barotropic kinetic energy. For no-slip/no-slip boundaries, Ekman friction is strong enough to prevent the development of a coherent dipole vortex condensate. Instead vortex pairs are found to be intermittent, varying in both time and strength.Comment: 20 pages, 10 figure