Limits of Kalman Filter application in heavy tailed problems
The Shape Boltzmann Machine (SBM) and its multilabel version MSBM have been recently introduced as deep generative models that capture the variations of an object shape. While being more flexible MSBM requires datasets with labeled parts of the objects for training. In the paper we present an algorithm for training MSBM using binary masks of objects and the seeds which approximately correspond to the locations of objects parts. The latter can be obtained from part-based detectors in an unsupervised manner. We derive a latent variable model and an EM-like training procedure for adjusting the weights of MSBM using a deep learning framework. We show that the model trained by our method outperforms SBM in the tasks related to binary shapes and is very close to the original MSBM in terms of quality of multilabel shapes.
The paper deals with a linear regression model. The EM algorithm is popular tool for maximum likelihood estimation of the parameters of regression model. It provides a method of robust regression under the assumption that the disturbances are independent and have identical multivariate t distribution. Previous work focused on the method of maximum likelihood estimation via the EM algorithm under the assumption that the degrees of freedom parameter of the t distribution is a scalar. In this paper, a broader assumption is employed, namely, that the disturbances have a multivariate t distribution with a vector of degrees of freedom. Missing values from the EM algorithm are random matrices. The theoretical results are illustrated in a simulation experiment using several distributions for the error process. Robust procedures are shown to be superior to the method of least squares.
This paper examines the dynamic beta of Russian companies within the framework of the market model. The closing weekly prices of 29 Russian stocks, six Russian sector indices and the MICEX Index as a market index during the period from January 2009 to June 2015 are used to estimate time-varying beta using various econometric techniques. According to the results for the analyzed period, semiparametric regressions are confirmed to be the most effective model. As regards the forecast period, multivariate GARCH models surprisingly outperform all the other methods. An analysis of beta dynamics shows that most of time-varying betas are non-stationary.
In this paper we consider the behavior of Kalman Filter state estimates in the case of distribution with heavy tails .The simulated linear state space models with Gaussian measurement noises were used. Gaussian noises in state equation are replaced by components with alpha-stable distribution with different parameters alpha and beta. We consider the case when "all parameters are known" and two methods of parameters estimation are compared: the maximum likelihood estimator (MLE) and the expectation- maximization algorithm (EM). It was shown that in cases of large deviation from Gaussian distribution the total error of states estimation rises dramatically. We conjecture that it can be explained by underestimation of the state equation noises covariance matrix that can be taken into account through the EM parameters estimation and ignored in the case of ML estimation.
Let k be a field of characteristic zero, let G be a connected reductive algebraic group over k and let g be its Lie algebra. Let k(G), respectively, k(g), be the field of k- rational functions on G, respectively, g. The conjugation action of G on itself induces the adjoint action of G on g. We investigate the question whether or not the field extensions k(G)/k(G)^G and k(g)/k(g)^G are purely transcendental. We show that the answer is the same for k(G)/k(G)^G and k(g)/k(g)^G, and reduce the problem to the case where G is simple. For simple groups we show that the answer is positive if G is split of type A_n or C_n, and negative for groups of other types, except possibly G_2. A key ingredient in the proof of the negative result is a recent formula for the unramified Brauer group of a homogeneous space with connected stabilizers. As a byproduct of our investigation we give an affirmative answer to a question of Grothendieck about the existence of a rational section of the categorical quotient morphism for the conjugating action of G on itself.
This proceedings publication is a compilation of selected contributions from the “Third International Conference on the Dynamics of Information Systems” which took place at the University of Florida, Gainesville, February 16–18, 2011. The purpose of this conference was to bring together scientists and engineers from industry, government, and academia in order to exchange new discoveries and results in a broad range of topics relevant to the theory and practice of dynamics of information systems. Dynamics of Information Systems: Mathematical Foundation presents state-of-the art research and is intended for graduate students and researchers interested in some of the most recent discoveries in information theory and dynamical systems. Scientists in other disciplines may also benefit from the applications of new developments to their own area of study.
Let G be a connected semisimple algebraic group over an algebraically closed field k. In 1965 Steinberg proved that if G is simply connected, then in G there exists a closed irreducible cross-section of the set of closures of regular conjugacy classes. We prove that in arbitrary G such a cross-section exists if and only if the universal covering isogeny Ĝ → G is bijective; this answers Grothendieck's question cited in the epigraph. In particular, for char k = 0, the converse to Steinberg's theorem holds. The existence of a cross-section in G implies, at least for char k = 0, that the algebra k[G]G of class functions on G is generated by rk G elements. We describe, for arbitrary G, a minimal generating set of k[G]G and that of the representation ring of G and answer two Grothendieck's questions on constructing generating sets of k[G]G. We prove the existence of a rational (i.e., local) section of the quotient morphism for arbitrary G and the existence of a rational cross-section in G (for char k = 0, this has been proved earlier); this answers the other question cited in the epigraph. We also prove that the existence of a rational section is equivalent to the existence of a rational W-equivariant map T- - - >G/T where T is a maximal torus of G and W the Weyl group.