The most recent financial upheavals have cast doubt on the adequacy of some of the conventional quantitative risk management strategies, such as VaR (Value at Risk), in many common situations. Consequently, there has been an increasing need for verisimilar financial stress testings, namely simulating and analyzing financial portfolios in extreme, albeit rare scenarios. Unlike conventional risk management which exploits statistical correlations among financial instruments, here we focus our analysis on the notion of probabilistic causation, which is embodied by Suppes-Bayes Causal Networks (SBCNs); SBCNs are probabilistic graphical models that have many attractive features in terms of more accurate causal analysis for generating financial stress scenarios. In this paper, we present a novel approach for conducting stress testing of financial portfolios based on SBCNs in combination with classical machine learning classification tools. The resulting method is shown to be capable of correctly discovering the causal relationships among financial factors that affect the portfolios and thus, simulating stress testing scenarios with a higher accuracy and lower computational complexity than conventional Monte Carlo Simulations.

One of the critical issues when adopting Bayesian networks (BNs) to model dependencies among random variables is to "learn" their structure. This is a well-known NP-hard problem in its most general and classical formulation, which is furthermore complicated by known pitfalls such as the issue of I-equivalence among different structures. In this work we restrict the investigation to a specific class of networks, i.e., those representing the dynamics of phenomena characterized by the monotonic accumulation of events. Such phenomena allow to set specific structural constraints based on Suppes' theory of probabilistic causation and, accordingly, to define constrained BNs, named Suppes-Bayes Causal Networks (SBCNs). Within this framework, we study the structure learning of SBCNs via extensive simulations with various state-of-the-art search strategies, such as canonical local search techniques and Genetic Algorithms. This investigation is intended to be an extension and an in-depth clarification of our previous works on SBCN structure learning. Among the main results, we show that Suppes' constraints do simplify the learning task, by reducing the solution search space and providing a temporal ordering on the variables, which simplifies the complications derived by I-equivalent structures. Finally, we report on tradeoffs among different optimization techniques that can be used to learn SBCNs.

This article describes an implementation of a nonparametric Bayesian approach to solving binary classification problems on graphs. We consider a hierarchical Bayesian approach with a prior that is constructed by truncating a series expansion of the soft label function using the graph Laplacian eigenfunctions as basis functions. We compare our truncated prior to the untruncated Laplacian based prior in simulated and real data examples to illustrate the improved scalability in terms of size of the underlying graph.

Finite mixture models have become a popular tool for clustering. Amongst other uses, they have been applied for clustering longitudinal data and clustering high-dimensional data. In the latter case, a latent Gaussian mixture model is sometimes used. Although there has been much work on clustering using latent variables and on clustering longitudinal data, respectively, there has been a paucity of work that combines these features. An approach is developed for clustering longitudinal data with many time points based on an extension of the mixture of common factor analyzers model. A variation of the expectation-maximization algorithm is used for parameter estimation and the Bayesian information criterion is used for model selection. The approach is illustrated using real and simulated data.

Natural Language Generation is a very important area to be explored in our time. It forms the basis of how a bot would communicate with -- not like how literates write books but like how we talk. In this Kernel, I'd like to show you a very simple but powerful Python module that does a similar exercise in (literally) a couple of lines of code. The Py module we use here is markovify. Markovify is a simple, extensible Markov chain generator.

Discovering the causal structure among a set of variables is a fundamental problem in many areas of science. In this paper, we propose Kernel Conditional Deviance for Causal Inference (KCDC) a fully nonparametric causal discovery method based on purely observational data. From a novel interpretation of the notion of asymmetry between cause and effect, we derive a corresponding asymmetry measure using the framework of reproducing kernel Hilbert spaces. Based on this, we propose three decision rules for causal discovery. We demonstrate the wide applicability of our method across a range of diverse synthetic datasets. Furthermore, we test our method on real-world time series data and the real-world benchmark dataset Tubingen Cause-Effect Pairs where we outperform existing state-of-the-art methods.

We propose scalable methods to execute counting queries in machine learning applications. To achieve memory and computational efficiency, we abstract counting queries and their context such that the counts can be aggregated as a stream. We demonstrate performance and scalability of the resulting approach on random queries, and through extensive experimentation using Bayesian networks learning and association rule mining. Our methods significantly outperform commonly used ADtrees and hash tables, and are practical alternatives for processing large-scale data.

Parameter identification and comparison of dynamical systems is a challenging task in many fields. Bayesian approaches based on Gaussian process regression over time-series data have been successfully applied to infer the parameters of a dynamical system without explicitly solving it. While the benefits in computational cost are well established, a rigorous mathematical framework has been missing. We offer a novel interpretation which leads to a better understanding and improvements in state-of-the-art performance in terms of accuracy for nonlinear dynamical systems.

This paper demonstrates two novel methods to estimate the global SNR of speech signals. In both methods, Deep Neural Network-Hidden Markov Model (DNN-HMM) acoustic model used in speech recognition systems is leveraged for the additional task of SNR estimation. In the first method, the entropy of the DNN-HMM output is computed. Recent work on bayesian deep learning has shown that a DNN-HMM trained with dropout can be used to estimate model uncertainty by approximating it as a deep Gaussian process. In the second method, this approximation is used to obtain model uncertainty estimates. Noise specific regressors are used to predict the SNR from the entropy and model uncertainty. The DNN-HMM is trained on GRID corpus and tested on different noise profiles from the DEMAND noise database at SNR levels ranging from -10 dB to 30 dB.

Ok, I just skimmed through the video but why on earth did you get the names of key places and cities right, but messed up the title? Like those fancy chairs kings sit on. Not the spiky things that grow in the wilderness. You don't want to sit on those.