Financial returns exhibit stylized facts such as leptokurtosis, skewness and heavy-tailness. Regarding this behavior, in this paper, we apply multivariate generalized hyperbolic (mGH) distribution for portfolio modeling and performance evaluation, using conditional value at risk (CVaR) as a risk measure and allocating best weights for portfolio selection. Moreover, a robust portfolio optimizati...

In this paper we propose a novel and robust system for the automated identification of major sulci on cortical surfaces. Using multiscale representation and intrinsic surface mapping, our system encodes anatomical priors in manually traced sulcal lines with an intrinsic atlas of major sulci. This allows the computation of both individual and joint likelihood of sulcal lines for their automatic ...

Effective feature extraction for robust speech recognition is a widely addressed topic and currently there is much effort to invoke non-stationary signal models instead of quasi-stationary signal models leading to standard features such as LPC or MFCC. Joint amplitude modulation and frequency modulation (AM-FM) is a classical non-parametric approach to nonstationary signal modeling and recently...

The revenue management concept and techniques are applied to model the coordination of supply chain elements. The fundamental premise of this approach is synchronization of a group of business entities consist-ing of a manufacturer and multiple suppliers to achieve an optimal supply chain capacity plans. The output of the supply chain can be various products and thus it is measured in terms of ...

We have developed a robust control policy design method for high-dimensional state spaces by using differential dynamic programming with a minimax criterion. As an example, we applied our method to a simulated five link biped robot. The results show lower joint torques using the optimal control policy compared to torques generated by a hand-tuned PD servo controller. Results also show that the ...

We compare the effect of joint modeling of phonological features to independent feature detectors in a Conditional Random Fields framework. Joint modeling of features is achieved by deriving phonological feature posteriors from the posterior probabilities of the phonemes. We find that joint modeling provides superior performance to the independent models on the TIMIT phone recognition task. We ...

Abstract Acyclic phase-type (PH) distributions have been a popular tool in survival analysis, thanks to their natural interpretation terms of aging toward its inevitable absorption. In this article, we consider an extension the bivariate setting for modeling joint lifetimes. contrast previous models literature that were based on separate estimation marginal behavior and dependence structure thr...

We address the task of simultaneous feature fusion and modeling of discrete ordinal outputs. We propose a novel Gaussian process (GP) auto-encoder modeling approach. In particular, we introduce GP encoders to project multiple observed features onto a latent space, while GP decoders are responsible for reconstructing the original features. Inference is performed in a novel variational framework,...