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Sayar Karmakar

Publications and source records attributed to Sayar Karmakar.

33 records · Page 2Linked to original sources

Depth-2 Neural Networks Under a Data-Poisoning Attack

In this work, we study the possibility of defending against data-poisoning attacks while training a shallow neural network in a regression setup. We focus on doing supervised learning for a class of depth-2 finite-width neural networks, which includes single-filter convolutional networks. In this class of networks, we attempt to learn the network weights in the presence of a malicious oracle doing stochastic, bounded and additive adversarial distortions on the true output during training. For the non-gradient stochastic algorithm that we construct, we prove worst-case near-optimal trade-offs among the magnitude of the adversarial attack, the weight approximation accuracy, and the confidence achieved by the proposed algorithm. As our algorithm uses mini-batching, we analyze how the mini-batch size affects convergence. We also show how to utilize the scaling of the outer layer weights to counter output-poisoning attacks depending on the probability of attack. Lastly, we give experimental evidence demonstrating how our algorithm outperforms stochastic gradient descent under different input data distributions, including instances of heavy-tailed distributions.

cs.LG↗

An Empirical Study of the Occurrence of Heavy-Tails in Training a ReLU Gate

A particular direction of recent advance about stochastic deep-learning algorithms has been about uncovering a rather mysterious heavy-tailed nature of the stationary distribution of these algorithms, even when the data distribution is not so. Moreover, the heavy-tail index is known to show interesting dependence on the input dimension of the net, the mini-batch size and the step size of the algorithm. In this short note, we undertake an experimental study of this index for S.G.D. while training a $\relu$ gate (in the realizable and in the binary classification setup) and for a variant of S.G.D. that was proven in Karmakar and Mukherjee (2022) for ReLU realizable data. From our experiments we conjecture that these two algorithms have similar heavy-tail behaviour on any data where the latter can be proven to converge. Secondly, we demonstrate that the heavy-tail index of the late time iterates in this model scenario has strikingly different properties than either what has been proven for linear hypothesis classes or what has been previously demonstrated for large nets.

cs.LG↗

Provable Training of a ReLU Gate with an Iterative Non-Gradient Algorithm

In this work, we demonstrate provable guarantees on the training of a single ReLU gate in hitherto unexplored regimes. We give a simple iterative stochastic algorithm that can train a ReLU gate in the realizable setting in linear time while using significantly milder conditions on the data distribution than previous such results. Leveraging certain additional moment assumptions, we also show a first-of-its-kind approximate recovery of the true label generating parameters under an (online) data-poisoning attack on the true labels, while training a ReLU gate by the same algorithm. Our guarantee is shown to be nearly optimal in the worst case and its accuracy of recovering the true weight degrades gracefully with increasing probability of attack and its magnitude. For both the realizable and the non-realizable cases as outlined above, our analysis allows for mini-batching and computes how the convergence time scales with the mini-batch size. We corroborate our theorems with simulation results which also bring to light a striking similarity in trajectories between our algorithm and the popular S.G.D. algorithm - for which similar guarantees as here are still unknown.

cs.LG↗

A New Model-free Prediction Method: GA-NoVaS

Volatility forecasting plays an important role in the financial econometrics. Previous works in this regime are mainly based on applying various GARCH-type models. However, it is hard for people to choose a specific GARCH model which works for general cases and such traditional methods are unstable for dealing with high-volatile period or using small sample size. The newly proposed normalizing and variance stabilizing (NoVaS) method is a more robust and accurate prediction technique. This Model-free method is built by taking advantage of an inverse transformation which is based on the ARCH model. Inspired by the historic development of the ARCH to GARCH model, we propose a novel NoVaS-type method which exploits the GARCH model structure. By performing extensive data analysis, we find our model has better time-aggregated prediction performance than the current state-of-the-art NoVaS method on forecasting short and volatile data. The victory of our new method corroborates that and also opens up avenues where one can explore other NoVaS structures to improve on the existing ones or solve specific prediction problems.

stat.AP↗

Model-free time-aggregated predictions for econometric datasets

This article explores the existing normalizing and variance-stabilizing (NoVaS) method on predicting squared log-returns of financial data. First, we explore the robustness of the existing NoVaS method for long-term time-aggregated predictions. Then we develop a more parsimonious variant of the existing method. With systematic justification and extensive data analysis, our new method shows better performance than current NoVaS and standard GARCH(1,1) methods on both short- and long-term time-aggregated predictions.

stat.ME↗

Long-term prediction intervals with many covariates

Accurate forecasting is one of the fundamental focus in the literature of econometric time-series. Often practitioners and policy makers want to predict outcomes of an entire time horizon in the future instead of just a single $k$-step ahead prediction. These series, apart from their own possible non-linear dependence, are often also influenced by many external predictors. In this paper, we construct prediction intervals of time-aggregated forecasts in a high-dimensional regression setting. Our approach is based on quantiles of residuals obtained by the popular LASSO routine. We allow for general heavy-tailed, long-memory, and nonlinear stationary error process and stochastic predictors. Through a series of systematically arranged consistency results we provide theoretical guarantees of our proposed quantile-based method in all of these scenarios. After validating our approach using simulations we also propose a novel bootstrap based method that can boost the coverage of the theoretical intervals. Finally analyzing the EPEX Spot data, we construct prediction intervals for hourly electricity prices over horizons spanning 17 weeks and contrast them to selected Bayesian and bootstrap interval forecasts.

stat.ME↗

Time-varying auto-regressive models for count time-series

Count-valued time series data are routinely collected in many application areas. We are particularly motivated to study the count time series of daily new cases, arising from COVID-19 spread. We propose two Bayesian models, a time-varying semiparametric AR(p) model for count and then a time-varying INGARCH model considering the rapid changes in the spread. We calculate posterior contraction rates of the proposed Bayesian methods with respect to average Hellinger metric. Our proposed structures of the models are amenable to Hamiltonian Monte Carlo (HMC) sampling for efficient computation. We substantiate our methods by simulations that show superiority compared to some of the close existing methods. Finally we analyze the daily time series data of newly confirmed cases to study its spread through different government interventions.

stat.ME↗

Bayesian modelling of time-varying conditional heteroscedasticity

Conditional heteroscedastic (CH) models are routinely used to analyze financial datasets. The classical models such as ARCH-GARCH with time-invariant coefficients are often inadequate to describe frequent changes over time due to market variability. However we can achieve significantly better insight by considering the time-varying analogues of these models. In this paper, we propose a Bayesian approach to the estimation of such models and develop computationally efficient MCMC algorithm based on Hamiltonian Monte Carlo (HMC) sampling. We also established posterior contraction rates with increasing sample size in terms of the average Hellinger metric. The performance of our method is compared with frequentist estimates and estimates from the time constant analogues. To conclude the paper we obtain time-varying parameter estimates for some popular Forex (currency conversion rate) and stock market datasets.

math.ST↗

Simultaneous inference for time-varying models

A general class of time-varying regression models is considered in this paper. We estimate the regression coefficients by using local linear M-estimation. For these estimators, weak Bahadur representations are obtained and are used to construct simultaneous confidence bands. For practical implementation, we propose a bootstrap based method to circumvent the slow logarithmic convergence of the theoretical simultaneous bands. Our results substantially generalize and unify the treatments for several time-varying regression and auto-regression models. The performance for ARCH and GARCH models is studied in simulations and a few real-life applications of our study are presented through analysis of some popular financial datasets.

math.ST↗

Uniqueness of communities in regular stochastic block models

This paper studies the regular stochastic block model comprising \emph{several} communities: each of the $k$ non-overlapping communities, for $k \geqslant 3$, possesses $n$ vertices, each of which has total degree $d$. The values of the intra-cluster degrees (i.e.\ the number of neighbours of a vertex inside the cluster it belongs to) and the inter-cluster degrees (i.e.\ the number of neighbours of a vertex inside a cluster different from its own) are allowed to vary across clusters. We discuss two main results: the first compares the probability measure induced by our model with the uniform measure on the space of $d$-regular graphs on $kn$ vertices, and the second establishes that the clusters, under rather weak assumptions, are unique asymptotically almost surely as $n \rightarrow \infty$.

math.PR↗

Evaluating the Impact of COVID-19 on Cyberbullying through Bayesian Trend Analysis

COVID-19's impact has surpassed from personal and global health to our social life. In terms of digital presence, it is speculated that during pandemic, there has been a significant rise in cyberbullying. In this paper, we have examined the hypothesis of whether cyberbullying and reporting of such incidents have increased in recent times. To evaluate the speculations, we collected cyberbullying related public tweets (N=454,046) posted between January 1st, 2020 -- June 7th, 2020. A simple visual frequentist analysis ignores serial correlation and does not depict changepoints as such. To address correlation and a relatively small number of time points, Bayesian estimation of the trends is proposed for the collected data via an autoregressive Poisson model. We show that this new Bayesian method detailed in this paper can clearly show the upward trend on cyberbullying-related tweets since mid-March 2020. However, this evidence itself does not signify a rise in cyberbullying but shows a correlation of the crisis with the discussion of such incidents by individuals. Our work emphasizes a critical issue of cyberbullying and how a global crisis impacts social media abuse and provides a trend analysis model that can be utilized for social media data analysis in general.

cs.SI↗

Change-Point Analysis of Cyberbullying-Related Twitter Discussions During COVID-19

Due to the outbreak of COVID-19, users are increasingly turning to online services. An increase in social media usage has also been observed, leading to the suspicion that this has also raised cyberbullying. In this initial work, we explore the possibility of an increase in cyberbullying incidents due to the pandemic and high social media usage. To evaluate this trend, we collected 454,046 cyberbullying-related public tweets posted between January 1st, 2020 -- June 7th, 2020. We summarize the tweets containing multiple keywords into their daily counts. Our analysis showed the existence of at most one statistically significant changepoint for most of these keywords, which were primarily located around the end of March. Almost all these changepoint time-locations can be attributed to COVID-19, which substantiates our initial hypothesis of an increase in cyberbullying through analysis of discussions over Twitter.

cs.SI↗

Analyzing initial stage of COVID-19 transmission through Bayesian time-varying model

Recent outbreak of the novel coronavirus COVID-19 has affected all of our lives in one way or the other. While medical researchers are working hard to find a cure and doctors/nurses to attend the affected individuals, measures such as `lockdown', `stay-at-home', `social distancing' are being implemented in different parts of the world to curb its further spread. To model the non-stationary spread, we propose a novel time-varying semiparametric AR$(p)$ model for the count valued time-series of newly affected cases, collected every day and also extend it to propose a novel time-varying INGARCH model. Our proposed structures of the models are amenable to Hamiltonian Monte Carlo (HMC) sampling for efficient computation. We substantiate our methods by simulations that show superiority compared to some of the close existing methods. Finally we analyze the daily time series data of newly confirmed cases to study its spread through different government interventions.

stat.ME↗

Long-term prediction intervals of economic time series

We construct long-term prediction intervals for time-aggregated future values of univariate economic time series. We propose computational adjustments of the existing methods to improve coverage probability under a small sample constraint. A pseudo-out-of-sample evaluation shows that our methods perform at least as well as selected alternative methods based on model-implied Bayesian approaches and bootstrapping. Our most successful method yields prediction intervals for eight macroeconomic indicators over a horizon spanning several decades.

econ.EM↗

Optimal Gaussian Approximation for Multiple Time Series

We obtain an optimal bound for a Gaussian approximation of a large class of vector-valued random processes. Our results provide a substantial generalization of earlier results that assume independence and/or stationarity. Based on the decay rate of the functional dependence measure, we quantify the error bound of the Gaussian approximation using the sample size $n$ and the moment condition. Under the assumption of $p$th finite moment, with $p>2$, this can range from a worst case rate of $n^{1/2}$ to the best case rate of $n^{1/p}$.

math.ST↗