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09/04/2023
ATMS: Algorithmic Trading-Guided Market Simulation
The effective construction of an Algorithmic Trading (AT) strategy often...
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05/16/2023
Transfer Causal Learning: Causal Effect Estimation with Knowledge Transfer
A novel problem of improving causal effect estimation accuracy with the ...
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01/26/2023
Causal Structural Learning from Time Series: A Convex Optimization Approach
Structural learning, which aims to learn directed acyclic graphs (DAGs) ...
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01/26/2023
Causal Graph Discovery from Self and Mutually Exciting Time Series
We present a generalized linear structural causal model, coupled with a ...
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11/28/2022
Online Kernel CUSUM for Change-Point Detection
We develop an online kernel Cumulative Sum (CUSUM) procedure, which cons...
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10/26/2022
Optimal Sub-sampling to Boost Power of Kernel Sequential Change-point Detection
We present a novel scheme to boost detection power for kernel maximum me...
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09/09/2022
Granger Causal Chain Discovery for Sepsis-Associated Derangements via Multivariate Hawkes Processes
Modern health care systems are conducting continuous, automated surveill...
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06/04/2021
Inferring Granger Causality from Irregularly Sampled Time Series
Continuous, automated surveillance systems that incorporate machine lear...
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02/24/2021
Noisy Gradient Descent Converges to Flat Minima for Nonconvex Matrix Factorization
Numerous empirical evidences have corroborated the importance of noise i...
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01/26/2021
Inferring serial correlation with dynamic backgrounds
Sequential data with serial correlation and an unknown, unstructured, an...
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06/16/2020