arXiv subjects

Daniel J. McDonald

Publications and source records attributed to Daniel J. McDonald.

21 records · Page 2Linked to original sources

arXiv2011

Spectral approximations in machine learning

In many areas of machine learning, it becomes necessary to find the eigenvector decompositions of large matrices. We discuss two methods for reducing the computational burden of spectral decompositions: the more venerable Nystom extension and a newly introduced algorithm based on random projections. Previous work has centered on the ability to reconstruct the original matrix. We argue that a more interesting and relevant comparison is their relative performance in clustering and classification tasks using the approximate eigenvectors as features. We demonstrate that performance is task specific and depends on the rank of the approximation.

stat.ML↗

arXiv2011

Generalization error bounds for stationary autoregressive models

We derive generalization error bounds for stationary univariate autoregressive (AR) models. We show that imposing stationarity is enough to control the Gaussian complexity without further regularization. This lets us use structural risk minimization for model selection. We demonstrate our methods by predicting interest rate movements.

stat.ML↗

arXiv2011

Estimating $β$-mixing coefficients

The literature on statistical learning for time series assumes the asymptotic independence or ``mixing' of the data-generating process. These mixing assumptions are never tested, nor are there methods for estimating mixing rates from data. We give an estimator for the $β$-mixing rate based on a single stationary sample path and show it is $L_1$-risk consistent.

stat.ML↗