arXiv subjects

Gaetan Bakalli

Publications and source records attributed to Gaetan Bakalli.

4 recordsLinked to original sources

arXiv2022

A penalized two-pass regression to predict stock returns with time-varying risk premia

We develop a penalized two-pass regression with time-varying factor loadings. The penalization in the first pass enforces sparsity for the time-variation drivers while also maintaining compatibility with the no-arbitrage restrictions by regularizing appropriate groups of coefficients. The second pass delivers risk premia estimates to predict equity excess returns. Our Monte Carlo results and our empirical results on a large cross-sectional data set of US individual stocks show that penalization without grouping can yield to nearly all estimated time-varying models violating the no-arbitrage restrictions. Moreover, our results demonstrate that the proposed method reduces the prediction errors compared to a penalized approach without appropriate grouping or a time-invariant factor model.

econ.EM↗

arXiv2021

SWAG: A Wrapper Method for Sparse Learning

The majority of machine learning methods and algorithms give high priority to prediction performance which may not always correspond to the priority of the users. In many cases, practitioners and researchers in different fields, going from engineering to genetics, require interpretability and replicability of the results especially in settings where, for example, not all attributes may be available to them. As a consequence, there is the need to make the outputs of machine learning algorithms more interpretable and to deliver a library of "equivalent" learners (in terms of prediction performance) that users can select based on attribute availability in order to test and/or make use of these learners for predictive/diagnostic purposes. To address these needs, we propose to study a procedure that combines screening and wrapper approaches which, based on a user-specified learning method, greedily explores the attribute space to find a library of sparse learners with consequent low data collection and storage costs. This new method (i) delivers a low-dimensional network of attributes that can be easily interpreted and (ii) increases the potential replicability of results based on the diversity of attribute combinations defining strong learners with equivalent predictive power. We call this algorithm "Sparse Wrapper AlGorithm" (SWAG).

stat.ML↗

arXiv2021

Multi-Signal Approaches for Repeated Sampling Schemes in Inertial Sensor Calibration

Inertial sensor calibration plays a progressively important role in many areas of research among which navigation engineering. By performing this task accurately, it is possible to significantly increase general navigation performance by correctly filtering out the deterministic and stochastic measurement errors that characterize such devices. While different techniques are available to model and remove the deterministic errors, there has been considerable research over the past years with respect to modelling the stochastic errors which have complex structures. In order to do the latter, different replicates of these error signals are collected and a model is identified and estimated based on one of these replicates. While this procedure has allowed to improve navigation performance, it has not yet taken advantage of the information coming from all the other replicates collected on the same sensor. However, it has been observed that there is often a change of error behaviour between replicates which can also be explained by different (constant) external conditions under which each replicate was taken. Whatever the reason for the difference between replicates, it appears that the model structure remains the same between replicates but the parameter values vary. In this work we therefore consider and study the properties of different approaches that allow to combine the information from all replicates considering this phenomenon, confirming their validity both in simulation settings and also when applied to real inertial sensor error signals. By taking into account parameter variation between replicates, this work highlights how these approaches can improve the average navigation precision as well as obtain reliable estimates of the uncertainty of the navigation solution.

eess.SP↗

arXiv2019

Wavelet-Based Moment-Matching Techniques for Inertial Sensor Calibration

The task of inertial sensor calibration has required the development of various techniques to take into account the sources of measurement error coming from such devices. The calibration of the stochastic errors of these sensors has been the focus of increasing amount of research in which the method of reference has been the so-called "Allan variance slope method" which, in addition to not having appropriate statistical properties, requires a subjective input which makes it prone to mistakes. To overcome this, recent research has started proposing "automatic" approaches where the parameters of the probabilistic models underlying the error signals are estimated by matching functions of the Allan variance or Wavelet Variance with their model-implied counterparts. However, given the increased use of such techniques, there has been no study or clear direction for practitioners on which approach is optimal for the purpose of sensor calibration. This paper formally defines the class of estimators based on this technique and puts forward theoretical and applied results that, comparing with estimators in this class, suggest the use of the Generalized Method of Wavelet Moments as an optimal choice.

stat.ME↗