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Modelling time and vintage variability in retail credit portfolios: the decomposition approach
Age-period-cohort default Exogeneous EMV model Forecasting Macroeco-nomic Statistical model Vintage
2013/6/14
In this paper, we consider the problem of modelling historical data on retail credit portfolio performance, with a view to forecasting future performance, and facilitating strategic decision making. W...
A Gaussian Process Emulator Approach for Rapid Contaminant Characterization with an Integrated Multizone-CFD Model
xBayesian Framework Gaussian Process Emulator Multizone Models Integrated Multizone-CFD CONTAM Rapid Source Localization and Characterization
2013/6/14
This paper explores a Gaussian process emulator based approach for rapid Bayesian inference of contaminant source location and characteristics in an indoor environment. In the pre-event detection stag...
Inferring ground truth from multi-annotator ordinal data: a probabilistic approach
ground truth multi-annotator ordinal data a probabilistic approach
2013/6/13
A popular approach for large scale data annotation tasks is crowdsourcing, wherein each data point is labeled by multiple noisy annotators. We consider the problem of inferring ground truth from noisy...
An Approximate Approach to E-optimal Designs for Weighted Polynomial Regression by Using Tchebycheff Systems and Orthogonal Polynomials
An Approximate Approach E-optimal Designs Weighted Polynomial Regression Using Tchebycheff Systems Orthogonal Polynomials
2013/4/28
In statistics, experimental designs are methods for making efficient experiments. E-optimal designs are the multisets of experimental conditions which minimize the maximum axis of the confidence ellip...
Towards Automatic Model Comparison: An Adaptive Sequential Monte Carlo Approach
Adaptive Monte Carlo algorithms Bayesian model comparison Normalising constants Path sampling Thermodynamic integration
2013/4/27
Model comparison for the purposes of selection, averaging and validation is a problem found throughout statistics and related disciplines. Within the Bayesian paradigm, these problems all require the ...
A Novel Exact Representation of Stationary Colored Gaussian Processes (Fractional Differential Approach)
Digital Filtering Filtered White Noises Power Spectral Density Fractional Brownian Motion Fractional Stochastic Differential Equation Fractional Spectral Moments
2013/4/28
A novel representation of functions, called generalized Taylor form, is applied to the filtering of white noise processes. It is shown that every Gaussian colored noise can be expressed as the output ...
Bio-Signals-based Situation Comparison Approach to Predict Pain
Time-series classification signal analysis situation classification
2013/4/27
his paper describes a time-series-based classification approach to identify similarities between bio-medical-based situations. The proposed approach allows classifying collections of time-series repre...
NetSimile: A Scalable Approach to Size-Independent Network Similarity
NetSimile Scalable Approach Size-Independent Network Similarity
2012/11/23
Given a set of k networks, possibly with different sizes and no overlaps in nodes or edges, how can we quickly assess similarity between them, without solving the node-correspondence problem? Analogou...
Dependence Structure of Spatial Extremes Using Threshold Approach
Dependence Structure Spatial Extremes Threshold Approach
2012/11/23
The analysis of spatial extremes requires the joint modeling of a spatial process at a large number of stations and max-stable processes have been developed as a class of stochastic processes suitable...
TIGER: A Tuning-Insensitive Approach for Optimally Estimating Gaussian Graphical Models
TIGER Tuning-Insensitive Approach Optimally Estimating Gaussian Graphical Models
2012/11/22
We propose a new procedure for estimating high dimensional Gaussian graphical models. Our approach is asymptotically tuning-free and non-asymptotically tuning-insensitive: it requires very few efforts...
Interest Rate Manipulation Detection using Time Series Clustering Approach
Interest Rate Manipulation Detection Time Series Clustering Approach
2012/9/18
The Interbank Offered Rate is a vital benchmark interest rate in the financial markets of every country to which financial contracts are tied. In the light of the recent LIBOR manipulation incident, t...
Interest Rate Manipulation Detection using Time Series Clustering Approach
Interest Rate Manipulation Detection Time Series Clustering Approach
2012/9/18
The Interbank Offered Rate is a vital benchmark interest rate in the financial markets of every country to which financial contracts are tied. In the light of the recent LIBOR manipulation incident, t...
Bayesian Analysis of Multiway Tables in Association Studies: A Model Comparison Approach
Bayesian Analysis Multiway Tables Association Studies Model Comparison Approach
2012/9/17
We consider the problem of statistical inference on unknown quantities structured as a multiway table. We show that such multiway tables are naturally formed by arranging regression coecients in comp...
A Unified Approach for Modeling and Recognition of Individual Actions and Group Activities
A Unified Approach for Modeling Recognition of Individual Actions Group Activities
2012/9/18
Recognizing group activities is challenging due to the di-culties in isolating individual entities, nding the respective roles played by the individuals and representing the complex interactions amo...
Inter-Coder Agreement for Nominal Scales: A Model-based Approach
Inter-Coder Agreement Nominal Scales Model-based Approach
2012/9/17
Inter-coder agreement measures, like Cohen’sκ, correct the relative frequency of agreement between coders to account for agreement which simply occurs by
chance. However, in some situations these mea...