Quantile forecasts made across multiple horizons have become an important output of many financial institutions, central banks and international organisations. This paper proposes misspecification tests for such quantile forecasts that assess optimality over a set of multiple forecast horizons and/or quantiles. The tests build on multiple Mincer-Zarnowitz quantile regressions cast in a moment equality framework. Our main test is for the null hypothesis of autocalibration, a concept which assesses optimality with respect to the information contained in the forecasts themselves. We provide an extension that allows to test for optimality with respect to larger information sets and a multivariate extension. Importantly, our tests do not just inform about general violations of optimality, but may also provide useful insights into specific forms of sub-optimality. A simulation study investigates the finite sample performance of our tests, and two empirical applications to financial returns and U.S. macroeconomic series illustrate that our tests can yield interesting insights into quantile forecast sub-optimality and its causes.
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We provide non asymptotic rates of convergence of the Wasserstein Generative Adversarial networks (WGAN) estimator. We build neural networks classes representing the generators and discriminators which yield a GAN that achieves the minimax optimal rate for estimating a certain probability measure $\mu$ with support in $\mathbb{R}^p$. The probability $\mu$ is considered to be the push forward of the Lebesgue measure on the $d$-dimensional torus $\mathbb{T}^d$ by a map $g^\star:\mathbb{T}^d\rightarrow \mathbb{R}^p$ of smoothness $\beta+1$. Measuring the error with the $\gamma$-H\"older Integral Probability Metric (IPM), we obtain up to logarithmic factors, the minimax optimal rate $O(n^{-\frac{\beta+\gamma}{2\beta +d}}\vee n^{-\frac{1}{2}})$ where $n$ is the sample size, $\beta$ determines the smoothness of the target measure $\mu$, $\gamma$ is the smoothness of the IPM ($\gamma=1$ is the Wasserstein case) and $d\leq p$ is the intrinsic dimension of $\mu$. In the process, we derive a sharp interpolation inequality between H\"older IPMs. This novel result of theory of functions spaces generalizes classical interpolation inequalities to the case where the measures involved have densities on different manifolds.
Psychological stress detection is an important task for mental healthcare research, but there has been little prior work investigating the effectiveness of psychological stress models on minority individuals, who are especially vulnerable to poor mental health outcomes. In this work, we use the related task of minority stress detection to evaluate the ability of psychological stress models to understand the language of sexual and gender minorities. We find that traditional psychological stress models underperform on minority stress detection, and we propose using emotion-infused models to reduce that performance disparity. We further demonstrate that multi-task psychological stress models outperform the current state-of-the-art for minority stress detection without directly training on minority stress data. We provide explanatory analysis showing that minority communities have different distributions of emotions than the general population and that emotion-infused models improve the performance of stress models on underrepresented groups because of their effectiveness in low-data environments, and we propose that integrating emotions may benefit underrepresented groups in other mental health detection tasks.
Graph Neural Networks (GNNs) have been successfully used in many problems involving graph-structured data, achieving state-of-the-art performance. GNNs typically employ a message-passing scheme, in which every node aggregates information from its neighbors using a permutation-invariant aggregation function. Standard well-examined choices such as the mean or sum aggregation functions have limited capabilities, as they are not able to capture interactions among neighbors. In this work, we formalize these interactions using an information-theoretic framework that notably includes synergistic information. Driven by this definition, we introduce the Graph Ordering Attention (GOAT) layer, a novel GNN component that captures interactions between nodes in a neighborhood. This is achieved by learning local node orderings via an attention mechanism and processing the ordered representations using a recurrent neural network aggregator. This design allows us to make use of a permutation-sensitive aggregator while maintaining the permutation-equivariance of the proposed GOAT layer. The GOAT model demonstrates its increased performance in modeling graph metrics that capture complex information, such as the betweenness centrality and the effective size of a node. In practical use-cases, its superior modeling capability is confirmed through its success in several real-world node classification benchmarks.
Technology ecosystems often undergo significant transformations as they mature. For example, telephony, the Internet, and PCs all started with a single provider, but in the United States each is now served by a competitive market that uses comprehensive and universal technology standards to provide compatibility. This white paper presents our view on how the cloud ecosystem, barely over fifteen years old, could evolve as it matures.
Correlation acts as a critical role in the tracking field, especially in recent popular Siamese-based trackers. The correlation operation is a simple fusion manner to consider the similarity between the template and the search region. However, the correlation operation itself is a local linear matching process, leading to lose semantic information and fall into local optimum easily, which may be the bottleneck of designing high-accuracy tracking algorithms. Is there any better feature fusion method than correlation? To address this issue, inspired by Transformer, this work presents a novel attention-based feature fusion network, which effectively combines the template and search region features solely using attention. Specifically, the proposed method includes an ego-context augment module based on self-attention and a cross-feature augment module based on cross-attention. Finally, we present a Transformer tracking (named TransT) method based on the Siamese-like feature extraction backbone, the designed attention-based fusion mechanism, and the classification and regression head. Experiments show that our TransT achieves very promising results on six challenging datasets, especially on large-scale LaSOT, TrackingNet, and GOT-10k benchmarks. Our tracker runs at approximatively 50 fps on GPU. Code and models are available at //github.com/chenxin-dlut/TransT.
This paper addresses the difficulty of forecasting multiple financial time series (TS) conjointly using deep neural networks (DNN). We investigate whether DNN-based models could forecast these TS more efficiently by learning their representation directly. To this end, we make use of the dynamic factor graph (DFG) from that we enhance by proposing a novel variable-length attention-based mechanism to render it memory-augmented. Using this mechanism, we propose an unsupervised DNN architecture for multivariate TS forecasting that allows to learn and take advantage of the relationships between these TS. We test our model on two datasets covering 19 years of investment funds activities. Our experimental results show that our proposed approach outperforms significantly typical DNN-based and statistical models at forecasting their 21-day price trajectory.
Graph neural networks (GNNs) have been widely used in representation learning on graphs and achieved state-of-the-art performance in tasks such as node classification and link prediction. However, most existing GNNs are designed to learn node representations on the fixed and homogeneous graphs. The limitations especially become problematic when learning representations on a misspecified graph or a heterogeneous graph that consists of various types of nodes and edges. In this paper, we propose Graph Transformer Networks (GTNs) that are capable of generating new graph structures, which involve identifying useful connections between unconnected nodes on the original graph, while learning effective node representation on the new graphs in an end-to-end fashion. Graph Transformer layer, a core layer of GTNs, learns a soft selection of edge types and composite relations for generating useful multi-hop connections so-called meta-paths. Our experiments show that GTNs learn new graph structures, based on data and tasks without domain knowledge, and yield powerful node representation via convolution on the new graphs. Without domain-specific graph preprocessing, GTNs achieved the best performance in all three benchmark node classification tasks against the state-of-the-art methods that require pre-defined meta-paths from domain knowledge.
Graphs, which describe pairwise relations between objects, are essential representations of many real-world data such as social networks. In recent years, graph neural networks, which extend the neural network models to graph data, have attracted increasing attention. Graph neural networks have been applied to advance many different graph related tasks such as reasoning dynamics of the physical system, graph classification, and node classification. Most of the existing graph neural network models have been designed for static graphs, while many real-world graphs are inherently dynamic. For example, social networks are naturally evolving as new users joining and new relations being created. Current graph neural network models cannot utilize the dynamic information in dynamic graphs. However, the dynamic information has been proven to enhance the performance of many graph analytical tasks such as community detection and link prediction. Hence, it is necessary to design dedicated graph neural networks for dynamic graphs. In this paper, we propose DGNN, a new {\bf D}ynamic {\bf G}raph {\bf N}eural {\bf N}etwork model, which can model the dynamic information as the graph evolving. In particular, the proposed framework can keep updating node information by capturing the sequential information of edges, the time intervals between edges and information propagation coherently. Experimental results on various dynamic graphs demonstrate the effectiveness of the proposed framework.
This paper proposes a method to modify traditional convolutional neural networks (CNNs) into interpretable CNNs, in order to clarify knowledge representations in high conv-layers of CNNs. In an interpretable CNN, each filter in a high conv-layer represents a certain object part. We do not need any annotations of object parts or textures to supervise the learning process. Instead, the interpretable CNN automatically assigns each filter in a high conv-layer with an object part during the learning process. Our method can be applied to different types of CNNs with different structures. The clear knowledge representation in an interpretable CNN can help people understand the logics inside a CNN, i.e., based on which patterns the CNN makes the decision. Experiments showed that filters in an interpretable CNN were more semantically meaningful than those in traditional CNNs.
This work details CipherGAN, an architecture inspired by CycleGAN used for inferring the underlying cipher mapping given banks of unpaired ciphertext and plaintext. We demonstrate that CipherGAN is capable of cracking language data enciphered using shift and Vigenere ciphers to a high degree of fidelity and for vocabularies much larger than previously achieved. We present how CycleGAN can be made compatible with discrete data and train in a stable way. We then prove that the technique used in CipherGAN avoids the common problem of uninformative discrimination associated with GANs applied to discrete data.
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