Mental State Classification Using Multi-graph Features
利用多图特征进行心理状态分类AI 解读 ↓
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利用多图特征进行心理状态分类AI 解读 ↓
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We consider the problem of extracting features from passive, multi-channel electroencephalogram (EEG) devices for downstream inference tasks related to high-level mental states such as stress and cognitive load. Our proposed method leverages recently developed multi-graph tools and applies them to the time series of graphs implied by the statistical dependence structure (e.g., correlation) amongst the multiple sensors. We compare the effectiveness of the proposed features to traditional band power-based features in the context of three classification experiments and find that the two feature sets offer complementary predictive information. We conclude by showing that the importance of particular channels and pairs of channels for classification when using the proposed features is neuroscientifically valid.
Two frequent approaches for identifying structural VARs are external instruments, which carry economic content but are often weak, and non-Gaussianity of the shocks, which provides statistical identification but carries no economic meaning. We combine the two strategies in a single generalized method of moments framework. This hybrid approach point-identifies the target shocks while also identifying the non-target shocks up to sign and ordering. Under suitable rank…
多层主效应矩阵因子模型
We propose a multilevel main effects matrix factor model (MMEFM) to extract meaningful row and column effects from groups of matrix data. As a generalization of a multilevel matrix factor model, we provide rigorous definitions of MMEFM and identifications, together with iterative algorithms for the estimators of all global and local components in the main effects and common component, including global/local main effects and core ranks, with rates of convergence spelt out. An…
自适应 Lasso 解路径单位根检验的自助法改进
We propose sieve wild bootstrap analogues to the adaptive Lasso solution path unit root tests of Arnold and Reinschlüssel (2024) arXiv:2404.06205 to improve finite sample properties and extend their applicability to a generalised framework, allowing for non-stationary volatility. Numerical evidence shows the bootstrap to improve the tests' precision for error processes that promote spurious rejections of the unit root null, depending on the detrending procedure. The…
We show that the activation knot of a potentially non-stationary regressor on the adaptive Lasso solution path in autoregressions can be leveraged for selection-free inference about a unit root. The resulting test has asymptotic power against local alternatives in $1/T$ neighbourhoods, unlike post-selection inference methods based on consistent model selection. Exploiting the information enrichment principle devised by Reinschlüssel and Arnold (arXiv:2402.16580 [stat.ME]) to…
利用高频波动率检验爆炸性泡沫
Based on a continuous-time stochastic volatility model with a linear drift, we develop a test for explosive behavior in financial asset prices at a low frequency when prices are sampled at a higher frequency. The test exploits the volatility information in the high-frequency data. The method consists of devolatizing log-asset price increments with realized volatility measures and performing a supremum-type recursive Dickey-Fuller test on the devolatized sample. The proposed…
带自回归误差的线性回归在线变点检测:流式变分贝叶斯方法
Large-scale streaming time-series regression requires methods that can detect structural changes while accounting for serially correlated errors and quantifying uncertainty about the current regime. We propose a streaming variational Bayes method for linear regression with autoregressive errors that combines online changepoint detection with sequential posterior inference. The proposed method processes observations in chronological mini-batches and uses a finite-mixture…