Transferring Improved Local Kernel Design in Multi-Source Bayesian Transfer Learning, with an application in Air Pollution Monitoring in India
Nugent, Sh.; Quinn, Anthony
2021 - anglický
Existing frameworks for multi-task learning [1],[2] often rely on completely modelled relationships between tasks, which may not be available. Recent work [3], [4] has been undertaken on approaches to fully probabilistic methods for transfer learning between two Gaussian Process (GP) tasks. There, the target algorithm accepts source knowledge in the form of a probabilistic prior from a source algorithm, without requiring the target to model their interaction with the source. These strategies have offered robust improvements on current state of the art algorithms, such as the Intrinsic Coregionalization Model. The Bayesian Transfer Learning algorithm proposed in [4], was found to provide robust, positive\ntransfer. This algorithm was then extended to accommodate knowledge transfer from multiple source modellers [5]. Improved predictive performance was observed from increases in the number of sources. This report reviews the multi-source transfer findings in [5] and applies it to a real world problem of pollution modelling in India, using public-domain data.
Klíčová slova:
fully probabilistic methods; Bayesian Transfer Learning algorithm; Gaussian Process; Intrinsic Coregionalization Model; pollution modelling
Dokument je dostupný na externích webových stránkách.
Transferring Improved Local Kernel Design in Multi-Source Bayesian Transfer Learning, with an application in Air Pollution Monitoring in India
Existing frameworks for multi-task learning [1],[2] often rely on completely modelled relationships between tasks, which may not be available. Recent work [3], [4] has been undertaken on approaches to ...
Nearly All Reals Can Be Sorted with Linear Time Complexity
Jiřina, Marcel
2021 - anglický
We propose a variant of the counting sort modified for sorting reals in a linear time. It is assumed that the sorting key and pointers to the items being sorted are moved and individual items remain at the same place in the memory (in place sorting). In this case, the space complexity of the new variant of the algorithm is the same as the complexity of the quicksort. We also quantify the practical limits for possible sorting reals in a linear time. This possibility is assured under additional assumptions on the distribution of the sorting key, mainly the independence and identity of the distribution. Here we give a more general criteria easily applicable in practice. We also show that the algorithm is applicable for data that do not fulfill criteria for linear time complexity but even that the computation is faster than the system quicksort. A new, faster version of the algorithm is attached.
Klíčová slova:
sorting; algorithm; real sorting key; time complexity; linear complexity
Plné texty jsou dostupné v digitálním repozitáři Akademie Věd.
Nearly All Reals Can Be Sorted with Linear Time Complexity
We propose a variant of the counting sort modified for sorting reals in a linear time. It is assumed that the sorting key and pointers to the items being sorted are moved and individual items remain ...
Unsupervised Verification of Fake News by Public Opinion
Grim, Jiří
2021 - anglický
In this paper we discuss a simple way to evaluate the messages in social networks automatically, without any special content analysis or external intervention. We presume, that a large number of social network participants is capable of a relatively reliable evaluation of materials presented in the network. Considering a simple binary evaluation scheme (like/dislike), we propose a transparent algorithm with the aim to increase the voting power of reliable network members by means of weights. The algorithm supports the votes which correlate with the more reliable weighted majority and, in turn, the modified weights improve the quality of the weighted majority voting. In this sense the weighting is controlled only by a general coincidence of voting members while the specific content of messages is unimportant. The iterative optimization procedure is unsupervised and does not require any external intervention with only one exception, as discussed in Sec. 5.2 .\n\nIn simulation experiments the algorithm nearly exactly identifies the reliable members by means of weights. Using the reinforced weights we can compute for a new message the weighted sum of votes as a quantitative measure of its positive or negative nature. In this way any fake news can be recognized as negative and indicated as controversial. The accuracy of the resulting weighted decision making was essentially higher than a simple majority voting and has been considerably robust with respect to possible external manipulations.\n\nThe main motivation of the proposed algorithm is its application in a large social network. The content of evaluated messages is unimportant, only the related decision making of participants is registered and compared with the weighted vote with the aim to identify the most reliable voters. A large number of participants and communicated messages should enable to design a reliable and robust weighted voting scheme. Ideally the resulting weighted vote should provide a generally acceptable emotional feedback for network participants and could be used to indicate positive or controversial news in a suitably chosen quantitative way. The optimization algorithm has to be simple, transparent and intuitive to make the weighted vote well acceptable as a general evaluation tool.\n
Klíčová slova:
weighted voting; unsupervised optimization
Dokument je dostupný na externích webových stránkách.
Unsupervised Verification of Fake News by Public Opinion
In this paper we discuss a simple way to evaluate the messages in social networks automatically, without any special content analysis or external intervention. We presume, that a large number of ...
Research Report Influence of Vehicle Assistant System on Track keeping
Nedoma, P.; Herda, Z.; Plíhal, Jiří
2021 - anglický
Presented results describe different methods for the evaluation of car stability in lateral direction. Due to the significant differences between the tests, uniform methodology for recognizing the drives with ESC and without it was not determined. Two different methods for the drive on the circle and VDA were proposed instead. For evaluation criteria of vehicle stability with respect to base measured quantities, was used model with weight functions.
Klíčová slova:
Electronic stability control; Vehicle Assistant System; Vehicle stability
Dokument je dostupný na externích webových stránkách.
Research Report Influence of Vehicle Assistant System on Track keeping
Presented results describe different methods for the evaluation of car stability in lateral direction. Due to the significant differences between the tests, uniform methodology for recognizing the ...
Ockham's Razor from a Fully Probabilistic Design Perspective
Hoffmann, A.; Quinn, Anthony
2021 - anglický
This research report investigates an approach to the design of an Ockham prior penalising parametric complexity in the Hierarchical Fully Probabilistic Design (HFPD) [1] setting. We identify a term which penalises the introduction of an additional parameter in the Wold decomposition. We also derive the objective Ockham Parameter Prior (OPI) in this context, based on earlier work [2], and we show that the two are, in fact, closely related. This confers validity on the HFPD Ockham term.
Klíčová slova:
Ockham’s Razor; Hierarchical Fully Probabilistic Design; Parametric Inference; Fully Probabilistic Design
Dokument je dostupný na externích webových stránkách.
Ockham's Razor from a Fully Probabilistic Design Perspective
This research report investigates an approach to the design of an Ockham prior penalising parametric complexity in the Hierarchical Fully Probabilistic Design (HFPD) [1] setting. We identify a term ...
Institutions, Financial Development, and Small Business Survival: Evidence from European Emerging Economies
Iwasaki, I.; Kočenda, Evžen; Shida, Y.
2020 - anglický
In this paper, we traced the survival status of 94,401 small businesses in 17 European emerging markets from 2007–2017 and empirically examined the determinants of their survival, focusing on institutional quality and financial development. We found that institutional quality and level of financial development exhibit statistically significant and economically meaningful impacts on the survival probability of the SMEs being researched. The evidence holds even when we control for a set of firm-level characteristics such as ownership structure, financial performance, firm size, and age. The findings are also uniform across industries and country groups and robust beyond the difference in assumption of hazard distribution.
Klíčová slova:
small business; survival analysis; European emerging markets
Dokument je dostupný na externích webových stránkách.
Institutions, Financial Development, and Small Business Survival: Evidence from European Emerging Economies
In this paper, we traced the survival status of 94,401 small businesses in 17 European emerging markets from 2007–2017 and empirically examined the determinants of their survival, focusing on ...
Financial Crime and Punishment: A Meta-Analysis
de Batz, L.; Kočenda, Evžen
2020 - anglický
We examine how the publication of intentional financial crimes committed by listed firms is interpreted by financial markets, using a systematic and quantitative review of existing empirical studies. Specifically, we conduct a meta-regression analysis and investigate the extent and nature of the impact that the publication of financial misconducts exerts on stock returns. We survey 111 studies, published between 1978 and 2020, with a total of 439 estimates from event studies. Our key finding is that the average abnormal returns calculated from this empirical literature are affected by a negative publication selection bias. Still, after controlling for this bias, our meta-analysis indicates that publications of financial crimes are followed by statistically significant negative abnormal returns, which suggests the existence of an informational effect. Finally, the MRA results demonstrate that crimes committed in common law countries, alleged crimes, and accounting crimes carry particularly weighty information for market participants. The results call for more transparency on side of enforcers along enforcement procedures, to foster timely and proportionate market reactions and support efficient markets.
Klíčová slova:
Meta-Analysis; Event study; Financial Misconduct; Fraud; Financial Markets; Returns; Listed Companies; Information and Market Efficiency
Dokument je dostupný na externích webových stránkách.
Financial Crime and Punishment: A Meta-Analysis
We examine how the publication of intentional financial crimes committed by listed firms is interpreted by financial markets, using a systematic and quantitative review of existing empirical studies. ...
Selective Attention in Exchange Rate Forecasting
Kapounek, S.; Kučerová, Z.; Kočenda, Evžen
2020 - anglický
We analyze the exchange rate forecasting performance under the assumption of selective attention. Although currency markets react to a variety of different information, we hypothesize that market participants process only a limited amount of information. Our analysis includes more than 100,000 news articles relevant to the six most-traded foreign exchange currency pairs for the period of 1979–2016. We employ a dynamic model averaging approach to reduce model selection uncertainty and to identify time-varying probability to include regressors in our models. Our results show that smaller sizes models accounting for the presence of selective attention offer improved fitting and forecasting results. Specifically, we document a growing impact of foreign trade and monetary policy news on the euro/dollar exchange rate following the global financial crisis. Overall, our results point to the existence of selective attention in the case of most currency pairs.
Klíčová slova:
exchange rate; selective attention; news; forecasting; dynamic model averaging
Dokument je dostupný na externích webových stránkách.
Selective Attention in Exchange Rate Forecasting
We analyze the exchange rate forecasting performance under the assumption of selective attention. Although currency markets react to a variety of different information, we hypothesize that market ...
Subjective well-being and the individual material situation in Central Europe: A Bayesian network approach
Švorc, Jan; Vomlel, Jiří
2020 - anglický
The objective of this paper is to explore the associations between the subjective well-being (SWB) and the subjective and objective measures of the individual material situation in the four post-communist countries of Central Europe (the Czech Republic, Hungary, Poland, and Slovakia). The material situation is measured by income, relative income compared to others, relative income compared to one’s own past, perceived economic strain, financial problems, material deprivation, and housing problems. Our analysis is based on empirical data from the third wave of European Quality of Life Study conducted in 2011. Bayesian networks as a graphical representation of the relations between SWB and the material situation have been constructed in five versions. The models have been assessed using the Bayesian Information Criterion (BIC) and SWB prediction accuracy, and compared\nwith Ordinal Logistic Regression (OLR). Expert knowledge, as well as three different algorithms (greedy, Gobnilp, and Tree-augmented Naive Bayes) were used for learning the network structures. Network parameters were learned using the EM algorithm. Parameters based on OLR were learned for a version of the expert model. The Gobnilp model, the Markov equivalent to the greedy model, is BIC optimal. The OLR predicts SWB slightly better than the other models. We conclude that the objective material conditions' influence on SWB is rather indirect, through the subjective situational assessment of various aspects related to the individual material conditions.
Klíčová slova:
Subjective Well-Being; Income; Economic Strain; Material Deprivation; Bayesian Networks; Central Europe
Dokument je dostupný na externích webových stránkách.
Subjective well-being and the individual material situation in Central Europe: A Bayesian network approach
The objective of this paper is to explore the associations between the subjective well-being (SWB) and the subjective and objective measures of the individual material situation in the four ...
ECB monetary policy and commodity prices
Aliyev, S.; Kočenda, Evžen
2020 - anglický
We analyze the impact of the ECB monetary policies on global aggregate and sectoral commodity prices using monthly data from January 2001 till August 2019. We employ a SVAR model and assess separately period of conventional monetary policy before global financial crisis (GFC) and unconventional monetary policy during post-crisis period. Our key results indicate that contractionary monetary policy shocks have positive effects on the aggregate and sectoral commodity prices during both conventional and unconvetional monetary policy periods. The effect is statistically significant for aggregate commodity prices during post-crisis period. In terms of sectoral impact, the effect is statistically significant for food prices in both periods and for fuel prices during post-crisis period; other commodities display positive but statistically insignificant responses. Further, we demonstrate that the impact of the ECB monetary policy on commodity prices increased remarkably after the GFC. Our results also suggest that the effect of the ECB monetary policy on commodity prices does not transmit directly through market demand and supply expectations channel, but rather through the exchange rate channel that influences the European market demand directly.
Klíčová slova:
European Central Bank; commodity prices; monetary policy
Dokument je dostupný na externích webových stránkách.
ECB monetary policy and commodity prices
We analyze the impact of the ECB monetary policies on global aggregate and sectoral commodity prices using monthly data from January 2001 till August 2019. We employ a SVAR model and assess separately ...
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