Tests of mutual independence among several random vectors using univariate and multivariate ranks of nearest neighbours

2021 ◽  
pp. 1-17
Author(s):  
Angshuman Roy ◽  
Kunal Das ◽  
Soham Sarkar ◽  
Anil K. Ghosh
Keyword(s):  
Random Vectors ◽  
Nearest Neighbours ◽  
Mutual Independence

On some consistent tests of mutual independence among several random vectors of arbitrary dimensions

2020 ◽  
Vol 30 (6) ◽  
pp. 1707-1723
Author(s):  
Angshuman Roy ◽  
Soham Sarkar ◽  
Anil K. Ghosh ◽  
Alok Goswami
Keyword(s):  
Random Vectors ◽  
Mutual Independence ◽  
Arbitrary Dimensions ◽  
Consistent Tests

HIGH-ORDER CONDITIONAL DISTANCE COVARIANCE WITH CONDITIONAL MUTUAL INDEPENDENCE

2020 ◽  
pp. 1-18
Author(s):  
Pengfei Liu ◽  
Xuejun Ma ◽  
Wang Zhou
Keyword(s):  
Linear Combination ◽  
Conditional Independence ◽  
Graphical Model ◽  
High Order ◽  
Gaussian Graphical Model ◽  
Random Vectors ◽  
Independence Test ◽  
Mutual Independence ◽  
Simulation Results ◽  
Distance Covariance

We construct a high-order conditional distance covariance, which generalizes the notation of conditional distance covariance. The joint conditional distance covariance is defined as a linear combination of conditional distance covariances, which can capture the joint relation of many random vectors given one vector. Furthermore, we develop a new method of conditional independence test based on the joint conditional distance covariance. Simulation results indicate that the proposed method is very effective. We also apply our method to analyze the relationships of PM2.5 in five Chinese cities: Beijing, Tianjin, Jinan, Tangshan and Qinhuangdao by the Gaussian graphical model.

scholarly journals Is It Possible to Forecast the Price of Bitcoin?

Forecasting ◽  
2021 ◽  
Vol 3 (2) ◽  
pp. 377-420
Author(s):  
Julien Chevallier ◽  
Dominique Guégan ◽  
Stéphane Goutte
Keyword(s):  
Data Analytics ◽  
Daily Variation ◽  
A Priori ◽  
Machine Learning Algorithms ◽  
Support Vector ◽  
Market Growth ◽  
Network Support ◽  
Market Participants ◽  
Nearest Neighbours ◽  
Stationary Behavior

This paper focuses on forecasting the price of Bitcoin, motivated by its market growth and the recent interest of market participants and academics. We deploy six machine learning algorithms (e.g., Artificial Neural Network, Support Vector Machine, Random Forest, k-Nearest Neighbours, AdaBoost, Ridge regression), without deciding a priori which one is the ‘best’ model. The main contribution is to use these data analytics techniques with great caution in the parameterization, instead of classical parametric modelings (AR), to disentangle the non-stationary behavior of the data. As soon as Bitcoin is also used for diversification in portfolios, we need to investigate its interactions with stocks, bonds, foreign exchange, and commodities. We identify that other cryptocurrencies convey enough information to explain the daily variation of Bitcoin’s spot and futures prices. Forecasting results point to the segmentation of Bitcoin concerning alternative assets. Finally, trading strategies are implemented.

scholarly journals Computing Expectiles Using k-Nearest Neighbours Approach

Symmetry ◽  
2021 ◽  
Vol 13 (4) ◽  
pp. 645
Author(s):  
Muhammad Farooq ◽  
Sehrish Sarfraz ◽  
Christophe Chesneau ◽  
Mahmood Ul Hassan ◽  
Muhammad Ali Raza ◽  
...  
Keyword(s):  
Computational Cost ◽  
Real Life ◽  
Distance Measures ◽  
Computational Time ◽  
High Dimensional ◽  
Test Error ◽  
Nearest Neighbours ◽  
Comparable Performance ◽  
Asymmetric Least Squares ◽  
Low Computational Cost

Expectiles have gained considerable attention in recent years due to wide applications in many areas. In this study, the k-nearest neighbours approach, together with the asymmetric least squares loss function, called ex-kNN, is proposed for computing expectiles. Firstly, the effect of various distance measures on ex-kNN in terms of test error and computational time is evaluated. It is found that Canberra, Lorentzian, and Soergel distance measures lead to minimum test error, whereas Euclidean, Canberra, and Average of (L1,L∞) lead to a low computational cost. Secondly, the performance of ex-kNN is compared with existing packages er-boost and ex-svm for computing expectiles that are based on nine real life examples. Depending on the nature of data, the ex-kNN showed two to 10 times better performance than er-boost and comparable performance with ex-svm regarding test error. Computationally, the ex-kNN is found two to five times faster than ex-svm and much faster than er-boost, particularly, in the case of high dimensional data.

scholarly journals On Randomized Trace Estimates for Indefinite Matrices with an Application to Determinants

2021 ◽  
Author(s):  
Alice Cortinovis ◽  
Daniel Kressner
Keyword(s):  
Large Scale ◽  
Gaussian Process Regression ◽  
Likelihood Estimation ◽  
Random Vectors ◽  
Symmetric Positive Definite ◽  
Matrix Logarithm ◽  
The Matrix ◽  
Trace Estimation ◽  
Scale Matrix ◽  
Existing Result

AbstractRandomized trace estimation is a popular and well-studied technique that approximates the trace of a large-scale matrix B by computing the average of $$x^T Bx$$ x T B x for many samples of a random vector X. Often, B is symmetric positive definite (SPD) but a number of applications give rise to indefinite B. Most notably, this is the case for log-determinant estimation, a task that features prominently in statistical learning, for instance in maximum likelihood estimation for Gaussian process regression. The analysis of randomized trace estimates, including tail bounds, has mostly focused on the SPD case. In this work, we derive new tail bounds for randomized trace estimates applied to indefinite B with Rademacher or Gaussian random vectors. These bounds significantly improve existing results for indefinite B, reducing the number of required samples by a factor n or even more, where n is the size of B. Even for an SPD matrix, our work improves an existing result by Roosta-Khorasani and Ascher (Found Comput Math, 15(5):1187–1212, 2015) for Rademacher vectors. This work also analyzes the combination of randomized trace estimates with the Lanczos method for approximating the trace of f(B). Particular attention is paid to the matrix logarithm, which is needed for log-determinant estimation. We improve and extend an existing result, to not only cover Rademacher but also Gaussian random vectors.

scholarly journals Optimal Relabeling of Water Molecules and Single-Molecule Entropy Estimation

Biophysica ◽  
2021 ◽  
Vol 1 (3) ◽  
pp. 279-296
Author(s):  
Federico Fogolari ◽  
Gennaro Esposito
Keyword(s):  
Single Molecule ◽  
Degrees Of Freedom ◽  
Water Molecules ◽  
Maximum Information ◽  
Nearest Neighbours ◽  
Biomolecular Simulations ◽  
Solvent Molecules ◽  
Solvation Entropy ◽  
Dynamics Simulations ◽  
Internal Degrees Of Freedom

Estimation of solvent entropy from equilibrium molecular dynamics simulations is a long-standing problem in statistical mechanics. In recent years, methods that estimate entropy using k-th nearest neighbours (kNN) have been applied to internal degrees of freedom in biomolecular simulations, and for the rigorous computation of positional-orientational entropy of one and two molecules. The mutual information expansion (MIE) and the maximum information spanning tree (MIST) methods were proposed and used to deal with a large number of non-independent degrees of freedom, providing estimates or bounds on the global entropy, thus complementing the kNN method. The application of the combination of such methods to solvent molecules appears problematic because of the indistinguishability of molecules and of their symmetric parts. All indistiguishable molecules span the same global conformational volume, making application of MIE and MIST methods difficult. Here, we address the problem of indistinguishability by relabeling water molecules in such a way that each water molecule spans only a local region throughout the simulation. Then, we work out approximations and show how to compute the single-molecule entropy for the system of relabeled molecules. The results suggest that relabeling water molecules is promising for computation of solvation entropy.

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