A structural version of the Gaussian mixture vector autoregressive model is introduced. The shocks are identified by combining simultaneous diagonalization of the error term covariance matrices with constraints on the time-varying B-matrix. This leads to more flexible identification conditions than in the conventional SVAR models, while some of the constraints are also testable. The empirical application considers a quarterly U.S. data covering the period from 1953Q3 to 2021Q1. Our model identifies two regimes: a stable inflation regime and an unstable inflation regime, of which the latter mainly prevails in late 1950's, 1970's, early 1980's, and during the Corona crisis. While the effects of monetary policy shocks are relatively symmetric in the unstable inflation regime, we found strong asymmetries with respect to the sign and size of the shock as well as to the initial state of the economy in the stable inflation regime. Large expansionary shocks, in particular, often drive the economy towards the unstable inflation regime and propagate high and persistent inflation. Consequently, the interest rate rises significantly, which appears to cause a strong contraction to the GDP after the initial short-term expansion. The accompanying, CRAN distributed R package gmvarkit provides easy-to-use tools for estimating the models and applying the introduced methods.
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Gaussian mixture models (GMM) are fundamental tools in statistical and data sciences. We study the moments of multivariate Gaussians and GMMs. The $d$-th moment of an $n$-dimensional random variable is a symmetric $d$-way tensor of size $n^d$, so working with moments naively is assumed to be prohibitively expensive for $d>2$ and larger values of $n$. In this work, we develop theory and numerical methods for implicit computations with moment tensors of GMMs, reducing the computational and storage costs to $\mathcal{O}(n^2)$ and $\mathcal{O}(n^3)$, respectively, for general covariance matrices, and to $\mathcal{O}(n)$ and $\mathcal{O}(n)$, respectively, for diagonal ones. We derive concise analytic expressions for the moments in terms of symmetrized tensor products, relying on the correspondence between symmetric tensors and homogeneous polynomials, and combinatorial identities involving Bell polynomials. The primary application of this theory is to estimating GMM parameters from a set of observations, when formulated as a moment-matching optimization problem. If there is a known and common covariance matrix, we also show it is possible to debias the data observations, in which case the problem of estimating the unknown means reduces to symmetric CP tensor decomposition. Numerical results validate and illustrate the numerical efficiency of our approaches. This work potentially opens the door to the competitiveness of the method of moments as compared to expectation maximization methods for parameter estimation of GMMs.
Multivariate dynamical processes can often be intuitively described by a weighted connectivity graph between components representing each individual time-series. Even a simple representation of this graph as a Pearson correlation matrix may be informative and predictive as demonstrated in the brain imaging literature. However, there is a consensus expectation that powerful graph neural networks (GNNs) should perform better in similar settings. In this work, we present a model that is considerably shallow than deep GNNs, yet outperforms them in predictive accuracy in a brain imaging application. Our model learns the autoregressive structure of individual time series and estimates directed connectivity graphs between the learned representations via a self-attention mechanism in an end-to-end fashion. The supervised training of the model as a classifier between patients and controls results in a model that generates directed connectivity graphs and highlights the components of the time-series that are predictive for each subject. We demonstrate our results on a functional neuroimaging dataset classifying schizophrenia patients and controls.
In this work we aim to develop a unified mathematical framework and a reliable computational approach to model the brittle fracture in heterogeneous materials with variability in material microstructures, and to provide statistic metrics for quantities of interest, such as the fracture toughness. To depict the material responses and naturally describe the nucleation and growth of fractures, we consider the peridynamics model. In particular, a stochastic state-based peridynamic model is developed, where the micromechanical parameters are modeled by a finite-dimensional random vector, or a combination of random variables truncating the Karhunen-Lo\`{e}ve decomposition or the principle component analysis (PCA). To solve this stochastic peridynamic problem, probabilistic collocation method (PCM) is employed to sample the random field representing the micromechanical parameters. For each sample, the deterministic peridynamic problem is discretized with an optimization-based meshfree quadrature rule. We present rigorous analysis for the proposed scheme and demonstrate its convergence for a number of benchmark problems, showing that it sustains the asymptotic compatibility spatially and achieves an algebraic or sub-exponential convergence rate in the random space as the number of collocation points grows. Finally, to validate the applicability of this approach on real-world fracture problems, we consider the problem of crystallization toughening in glass-ceramic materials, in which the material at the microstructural scale contains both amorphous glass and crystalline phases. The proposed stochastic peridynamic solver is employed to capture the crack initiation and growth for glass-ceramics with different crystal volume fractions, and the averaged fracture toughness are calculated. The numerical estimates of fracture toughness show good consistency with experimental measurements.
We study full Bayesian procedures for high-dimensional linear regression. We adopt data-dependent empirical priors introduced in [1]. In their paper, these priors have nice posterior contraction properties and are easy to compute. Our paper extend their theoretical results to the case of unknown error variance . Under proper sparsity assumption, we achieve model selection consistency, posterior contraction rates as well as Bernstein von-Mises theorem by analyzing multivariate t-distribution.
In this paper, we propose the use of geodesic distances in conjunction with multivariate distance matrix regression, called geometric-MDMR, as a powerful first step analysis method for manifold-valued data. Manifold-valued data is appearing more frequently in the literature from analyses of earthquake to analysing brain patterns. Accounting for the structure of this data increases the complexity of your analysis, but allows for much more interpretable results in terms of the data. To test geometric-MDMR, we develop a method to simulate functional connectivity matrices for fMRI data to perform a simulation study, which shows that our method outperforms the current standards in fMRI analysis.
Long Short-Term Memory (LSTM) infers the long term dependency through a cell state maintained by the input and the forget gate structures, which models a gate output as a value in [0,1] through a sigmoid function. However, due to the graduality of the sigmoid function, the sigmoid gate is not flexible in representing multi-modality or skewness. Besides, the previous models lack modeling on the correlation between the gates, which would be a new method to adopt inductive bias for a relationship between previous and current input. This paper proposes a new gate structure with the bivariate Beta distribution. The proposed gate structure enables probabilistic modeling on the gates within the LSTM cell so that the modelers can customize the cell state flow with priors and distributions. Moreover, we theoretically show the higher upper bound of the gradient compared to the sigmoid function, and we empirically observed that the bivariate Beta distribution gate structure provides higher gradient values in training. We demonstrate the effectiveness of bivariate Beta gate structure on the sentence classification, image classification, polyphonic music modeling, and image caption generation.
Model-based compression is an effective, facilitating, and expanded model of neural network models with limited computing and low power. However, conventional models of compression techniques utilize crafted features [2,3,12] and explore specialized areas for exploration and design of large spaces in terms of size, speed, and accuracy, which usually have returns Less and time is up. This paper will effectively analyze deep auto compression (ADC) and reinforcement learning strength in an effective sample and space design, and improve the compression quality of the model. The results of compression of the advanced model are obtained without any human effort and in a completely automated way. With a 4- fold reduction in FLOP, the accuracy of 2.8% is higher than the manual compression model for VGG-16 in ImageNet.
Person re-identification is being widely used in the forensic, and security and surveillance system, but person re-identification is a challenging task in real life scenario. Hence, in this work, a new feature descriptor model has been proposed using a multilayer framework of Gaussian distribution model on pixel features, which include color moments, color space values and Schmid filter responses. An image of a person usually consists of distinct body regions, usually with differentiable clothing followed by local colors and texture patterns. Thus, the image is evaluated locally by dividing the image into overlapping regions. Each region is further fragmented into a set of local Gaussians on small patches. A global Gaussian encodes, these local Gaussians for each region creating a multi-level structure. Hence, the global picture of a person is described by local level information present in it, which is often ignored. Also, we have analyzed the efficiency of earlier metric learning methods on this descriptor. The performance of the descriptor is evaluated on four public available challenging datasets and the highest accuracy achieved on these datasets are compared with similar state-of-the-arts, which demonstrate the superior performance.
We introduce an effective model to overcome the problem of mode collapse when training Generative Adversarial Networks (GAN). Firstly, we propose a new generator objective that finds it better to tackle mode collapse. And, we apply an independent Autoencoders (AE) to constrain the generator and consider its reconstructed samples as "real" samples to slow down the convergence of discriminator that enables to reduce the gradient vanishing problem and stabilize the model. Secondly, from mappings between latent and data spaces provided by AE, we further regularize AE by the relative distance between the latent and data samples to explicitly prevent the generator falling into mode collapse setting. This idea comes when we find a new way to visualize the mode collapse on MNIST dataset. To the best of our knowledge, our method is the first to propose and apply successfully the relative distance of latent and data samples for stabilizing GAN. Thirdly, our proposed model, namely Generative Adversarial Autoencoder Networks (GAAN), is stable and has suffered from neither gradient vanishing nor mode collapse issues, as empirically demonstrated on synthetic, MNIST, MNIST-1K, CelebA and CIFAR-10 datasets. Experimental results show that our method can approximate well multi-modal distribution and achieve better results than state-of-the-art methods on these benchmark datasets. Our model implementation is published here: //github.com/tntrung/gaan
Despite of the success of Generative Adversarial Networks (GANs) for image generation tasks, the trade-off between image diversity and visual quality are an well-known issue. Conventional techniques achieve either visual quality or image diversity; the improvement in one side is often the result of sacrificing the degradation in the other side. In this paper, we aim to achieve both simultaneously by improving the stability of training GANs. A key idea of the proposed approach is to implicitly regularizing the discriminator using a representative feature. For that, this representative feature is extracted from the data distribution, and then transferred to the discriminator for enforcing slow updates of the gradient. Consequently, the entire training process is stabilized because the learning curve of discriminator varies slowly. Based on extensive evaluation, we demonstrate that our approach improves the visual quality and diversity of state-of-the art GANs.
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