In this paper we address the problem of predicting a time series using the ARMA (autoregressive moving average) model, under minimal assumptions on the noise terms. Using regret minimization techniques, we develop effective online learning algorithms for the prediction problem, without assuming that the noise terms are Gaussian, identically distributed or even independent. Furthermore, we show that our algorithm's performances asymptotically approaches the performance of the best ARMA model in hindsight.
In standard time series analysis, the squared loss is usually considered and the noise terms are assumed to be independent with bounded variance and zero-mean. In this specific setting, one can assume without loss of generality that the noise terms have identical Gaussian distribution (see @cite_12 @cite_3 @cite_9 for more information). This allows the use of statistical methods, such as least squares and maximum likelihood based methods, for the tasks of analysis and prediction. However, when different loss functions are considered these assumptions do not hold in general, and the aforementioned methods are not applicable. We are not aware of a previous approach that tries to relax these assumptions for general convex loss functions. We note that there has been previous work which tries to relax such assumptions for the squared loss, usually under additional modelling assumptions such as -distribution of the noise (e.g., @cite_11 @cite_4 ). We emphasize that the independence assumption is rather strict and previous works that relax this assumption usually offer specific dependency model, e.g., as proposed by @cite_8 for the ARCH model.
@cite_4 @cite_8 @cite_9 @cite_3 @cite_12 @cite_11
2063663311 1979575715 2114001875 2104353081 2520020011
Citation relationship between scientific publications has been successfully used for scholarly bibliometrics, information retrieval and data mining tasks, and citation-based recommendation algorithms are well documented. While previous studies investigated citation relations from various viewpoints, most of them share the same assumption that, if paper1 cites paper2 (or author1 cites author2), they are connected, regardless of citation importance, sentiment, reason, topic, or motivation. However, this assumption is oversimplified. In this study, we employ an innovative "context-rich heterogeneous network" approach, which paves a new way for citation recommendation task. In the network, we characterize 1) the importance of citation relationships between citing and cited papers, and 2) the topical citation motivation. Unlike earlier studies, the citation information, in this paper, is characterized by citation textual contexts extracted from the full-text citing paper. We also propose algorithm to cope with the situation when large portion of full-text missing information exists in the bibliographic repository. Evaluation results show that, context-rich heterogeneous network can significantly enhance the citation recommendation performance. We obtain sharp bounds on the performance of Empirical Risk Minimization performed in a convex class and with respect to the squared loss, without assuming that class members and the target are bounded functions or have rapidly decaying tails. Rather than resorting to a concentration-based argument, the method used here relies on a small-ball' assumption and thus holds for classes consisting of heavy-tailed functions and for heavy-tailed targets. The resulting estimates scale correctly with the noise level' of the problem, and when applied to the classical, bounded scenario, always improve the known bounds. This work studies applications and generalizations of a simple estimation technique that provides exponential concentration under heavy-tailed distributions, assuming only bounded low-order moments. We show that the technique can be used for approximate minimization of smooth and strongly convex losses, and specifically for least squares linear regression. For instance, our d-dimensional estimator requires just O(d log(1 )) random samples to obtain a constant factor approximation to the optimal least squares loss with probability 1-, without requiring the covariates or noise to be bounded or subgaussian. We provide further applications to sparse linear regression and low-rank covariance matrix estimation with similar allowances on the noise and covariate distributions. The core technique is a generalization of the median-of-means estimator to arbitrary metric spaces. A citing sentence is one that appears in a scientific article and cites previous work. Citing sentences have been studied and used in many applications. For example, they have been used in scientific paper summarization, automatic survey generation, paraphrase identification, and citation function classification. Citing sentences that cite multiple papers are common in scientific writing. This observation should be taken into consideration when using citing sentences in applications. For instance, when a citing sentence is used in a summary of a scientific paper, only the fragments of the sentence that are relevant to the summarized paper should be included in the summary. In this paper, we present and compare three different approaches for identifying the fragments of a citing sentence that are related to a given target reference. Our methods are: word classification, sequence labeling, and segment classification. Our experiments show that segment classification achieves the best results. In this paper, statistical models for the efficient analysis of interconnect delay and crosstalk noise in the presence of back-end process variations are developed. The proposed models enable closed-form computation of means and variances of interconnect-delay, crosstalk-noise peak, and coupling-induced-delay change for given magnitudes of variation in relevant process parameters, such as linewidth, met al thickness, met al spacing, and interlayer dielectric (ILD) thickness. The proposed approach is based on the observation that if the variations in different physical dimensions are assumed to be independent normal random variables, then the interconnect behavior also tends to have a Gaussian distribution. In the proposed statistical models, delay and noise are expressed directly as functions of changes in physical parameters. This formulation allows us to preserve all correlations and can be very useful in evaluating delay and noise sensitivities due to changes in various physical dimensions. For interconnect-delay computation, the authors express the resistance and capacitance of a line as a linear function of random variables and then use these to compute circuit moments. They show that ignoring higher order terms in the resulting variational moments does not result in a loss of accuracy. Finally, these variability-aware moments are used in known closed-form delay and slew metrics to compute interconnect-delay probability density functions (pdfs). Similarly for coupling noise and dynamic-delay analysis, the authors rely on the linearity (Gaussian) assumption, allowing us to truncate nonlinear terms and express noise and dynamic-delay pdfs as linear functions of variations in relevan Traditional econometric models assume a constant one-period forecast variance. To generalize this implausible assumption, a new class of stochastic processes called autoregressive conditional heteroscedastic (ARCH) processes are introduced in this paper. These are mean zero, serially uncorrelated processes with nonconstant variances conditional on the past, but constant unconditional variances. For such processes, the recent past gives information about the one-period forecast variance. A regression model is then introduced with disturbances following an ARCH process. Maximum likelihood estimators are described and a simple scoring iteration formulated. Ordinary least squares maintains its optimality properties in this set-up, but maximum likelihood is more efficient. The relative efficiency is calculated and can be infinite. To test whether the disturbances follow an ARCH process, the Lagrange multiplier procedure is employed. The test is based simply on the autocorrelation of the squared OLS residuals. This model is used to estimate the means and variances of inflation in the U.K. The ARCH effect is found to be significant and the estimated variances increase substantially during the chaotic seventies.