arXiv subjects

Weining Wang

Publications and source records attributed to Weining Wang.

53 records · Page 3Linked to original sources

arXiv2024

Conditional nonparametric variable screening by neural factor regression

High-dimensional covariates often admit linear factor structure. To effectively screen correlated covariates in high-dimension, we propose a conditional variable screening test based on non-parametric regression using neural networks due to their representation power. We ask the question whether individual covariates have additional contributions given the latent factors or more generally a set of variables. Our test statistics are based on the estimated partial derivative of the regression function of the candidate variable for screening and a observable proxy for the latent factors. Hence, our test reveals how much predictors contribute additionally to the non-parametric regression after accounting for the latent factors. Our derivative estimator is the convolution of a deep neural network regression estimator and a smoothing kernel. We demonstrate that when the neural network size diverges with the sample size, unlike estimating the regression function itself, it is necessary to smooth the partial derivative of the neural network estimator to recover the desired convergence rate for the derivative. Moreover, our screening test achieves asymptotic normality under the null after finely centering our test statistics that makes the biases negligible, as well as consistency for local alternatives under mild conditions. We demonstrate the performance of our test in a simulation study and two real world applications.

econ.EM↗

arXiv2023

GLOBER: Coherent Non-autoregressive Video Generation via GLOBal Guided Video DecodER

Video generation necessitates both global coherence and local realism. This work presents a novel non-autoregressive method GLOBER, which first generates global features to obtain comprehensive global guidance and then synthesizes video frames based on the global features to generate coherent videos. Specifically, we propose a video auto-encoder, where a video encoder encodes videos into global features, and a video decoder, built on a diffusion model, decodes the global features and synthesizes video frames in a non-autoregressive manner. To achieve maximum flexibility, our video decoder perceives temporal information through normalized frame indexes, which enables it to synthesize arbitrary sub video clips with predetermined starting and ending frame indexes. Moreover, a novel adversarial loss is introduced to improve the global coherence and local realism between the synthesized video frames. Finally, we employ a diffusion-based video generator to fit the global features outputted by the video encoder for video generation. Extensive experimental results demonstrate the effectiveness and efficiency of our proposed method, and new state-of-the-art results have been achieved on multiple benchmarks.

cs.CV↗

arXiv2023

$\ell^2$ Inference for Change Points in High-Dimensional Time Series via a Two-Way MOSUM

We propose an inference method for detecting multiple change points in high-dimensional time series, targeting dense or spatially clustered signals. Our method aggregates moving sum (MOSUM) statistics cross-sectionally by an $\ell^2$-norm and maximizes them over time. We further introduce a novel Two-Way MOSUM, which utilizes spatial-temporal moving regions to search for breaks, with the added advantage of enhancing testing power when breaks occur in only a few groups. The limiting distribution of an $\ell^2$-aggregated statistic is established for testing break existence by extending a high-dimensional Gaussian approximation theorem to spatial-temporal non-stationary processes. Simulation studies exhibit promising performance of our test in detecting non-sparse weak signals. Two applications, analyzing equity returns and COVID-19 cases in the United States, showcase the real-world relevance of our proposed algorithms.

math.ST↗

arXiv2023

Sounding Video Generator: A Unified Framework for Text-guided Sounding Video Generation

As a combination of visual and audio signals, video is inherently multi-modal. However, existing video generation methods are primarily intended for the synthesis of visual frames, whereas audio signals in realistic videos are disregarded. In this work, we concentrate on a rarely investigated problem of text guided sounding video generation and propose the Sounding Video Generator (SVG), a unified framework for generating realistic videos along with audio signals. Specifically, we present the SVG-VQGAN to transform visual frames and audio melspectrograms into discrete tokens. SVG-VQGAN applies a novel hybrid contrastive learning method to model inter-modal and intra-modal consistency and improve the quantized representations. A cross-modal attention module is employed to extract associated features of visual frames and audio signals for contrastive learning. Then, a Transformer-based decoder is used to model associations between texts, visual frames, and audio signals at token level for auto-regressive sounding video generation. AudioSetCap, a human annotated text-video-audio paired dataset, is produced for training SVG. Experimental results demonstrate the superiority of our method when compared with existing textto-video generation methods as well as audio generation methods on Kinetics and VAS datasets.

cs.CV↗

arXiv2023

MOSO: Decomposing MOtion, Scene and Object for Video Prediction

Motion, scene and object are three primary visual components of a video. In particular, objects represent the foreground, scenes represent the background, and motion traces their dynamics. Based on this insight, we propose a two-stage MOtion, Scene and Object decomposition framework (MOSO) for video prediction, consisting of MOSO-VQVAE and MOSO-Transformer. In the first stage, MOSO-VQVAE decomposes a previous video clip into the motion, scene and object components, and represents them as distinct groups of discrete tokens. Then, in the second stage, MOSO-Transformer predicts the object and scene tokens of the subsequent video clip based on the previous tokens and adds dynamic motion at the token level to the generated object and scene tokens. Our framework can be easily extended to unconditional video generation and video frame interpolation tasks. Experimental results demonstrate that our method achieves new state-of-the-art performance on five challenging benchmarks for video prediction and unconditional video generation: BAIR, RoboNet, KTH, KITTI and UCF101. In addition, MOSO can produce realistic videos by combining objects and scenes from different videos.

cs.CV↗

arXiv2021

AutoCaption: Image Captioning with Neural Architecture Search

Image captioning transforms complex visual information into abstract natural language for representation, which can help computers understanding the world quickly. However, due to the complexity of the real environment, it needs to identify key objects and realize their connections, and further generate natural language. The whole process involves a visual understanding module and a language generation module, which brings more challenges to the design of deep neural networks than other tasks. Neural Architecture Search (NAS) has shown its important role in a variety of image recognition tasks. Besides, RNN plays an essential role in the image captioning task. We introduce a AutoCaption method to better design the decoder module of the image captioning where we use the NAS to design the decoder module called AutoRNN automatically. We use the reinforcement learning method based on shared parameters for automatic design the AutoRNN efficiently. The search space of the AutoCaption includes connections between the layers and the operations in layers both, and it can make AutoRNN express more architectures. In particular, RNN is equivalent to a subset of our search space. Experiments on the MSCOCO datasets show that our AutoCaption model can achieve better performance than traditional hand-design methods.

cs.CV↗

arXiv2021

Dynamic Network Quantile Regression Model

We propose a dynamic network quantile regression model to investigate the quantile connectedness using a predetermined network information. We extend the existing network quantile autoregression model of Zhu et al. (2019b) by explicitly allowing the contemporaneous network effects and controlling for the common factors across quantiles. To cope with the endogeneity issue due to simultaneous network spillovers, we adopt the instrumental variable quantile regression (IVQR) estimation and derive the consistency and asymptotic normality of the IVQR estimator using the near epoch dependence property of the network process. Via Monte Carlo simulations, we confirm the satisfactory performance of the IVQR estimator across different quantiles under the different network structures. Finally, we demonstrate the usefulness of our proposed approach with an application to the dataset on the stocks traded in NYSE and NASDAQ in 2016.

econ.EM↗

arXiv2021

Temporal Memory Attention for Video Semantic Segmentation

Video semantic segmentation requires to utilize the complex temporal relations between frames of the video sequence. Previous works usually exploit accurate optical flow to leverage the temporal relations, which suffer much from heavy computational cost. In this paper, we propose a Temporal Memory Attention Network (TMANet) to adaptively integrate the long-range temporal relations over the video sequence based on the self-attention mechanism without exhaustive optical flow prediction. Specially, we construct a memory using several past frames to store the temporal information of the current frame. We then propose a temporal memory attention module to capture the relation between the current frame and the memory to enhance the representation of the current frame. Our method achieves new state-of-the-art performances on two challenging video semantic segmentation datasets, particularly 80.3% mIoU on Cityscapes and 76.5% mIoU on CamVid with ResNet-50.

cs.CV↗

arXiv2021

Exploiting Spatial-Temporal Semantic Consistency for Video Scene Parsing

Compared with image scene parsing, video scene parsing introduces temporal information, which can effectively improve the consistency and accuracy of prediction. In this paper, we propose a Spatial-Temporal Semantic Consistency method to capture class-exclusive context information. Specifically, we design a spatial-temporal consistency loss to constrain the semantic consistency in spatial and temporal dimensions. In addition, we adopt an pseudo-labeling strategy to enrich the training dataset. We obtain the scores of 59.84% and 58.85% mIoU on development (test part 1) and testing set of VSPW, respectively. And our method wins the 1st place on VSPW challenge at ICCV2021.

cs.CV↗

arXiv2021

OPT: Omni-Perception Pre-Trainer for Cross-Modal Understanding and Generation

In this paper, we propose an Omni-perception Pre-Trainer (OPT) for cross-modal understanding and generation, by jointly modeling visual, text and audio resources. OPT is constructed in an encoder-decoder framework, including three single-modal encoders to generate token-based embeddings for each modality, a cross-modal encoder to encode the correlations among the three modalities, and two cross-modal decoders to generate text and image respectively. For the OPT's pre-training, we design a multi-task pretext learning scheme to model multi-modal resources from three different data granularities, \ie, token-, modality-, and sample-level modeling, through which OPT learns to align and translate among different modalities. The pre-training task is carried out on a large amount of image-text-audio triplets from Open Images. Experimental results show that OPT can learn strong image-text-audio multi-modal representations and achieve promising results on a variety of cross-modal understanding and generation tasks.

cs.CV↗

arXiv2021

Face Sketch Synthesis via Semantic-Driven Generative Adversarial Network

Face sketch synthesis has made significant progress with the development of deep neural networks in these years. The delicate depiction of sketch portraits facilitates a wide range of applications like digital entertainment and law enforcement. However, accurate and realistic face sketch generation is still a challenging task due to the illumination variations and complex backgrounds in the real scenes. To tackle these challenges, we propose a novel Semantic-Driven Generative Adversarial Network (SDGAN) which embeds global structure-level style injection and local class-level knowledge re-weighting. Specifically, we conduct facial saliency detection on the input face photos to provide overall facial texture structure, which could be used as a global type of prior information. In addition, we exploit face parsing layouts as the semantic-level spatial prior to enforce globally structural style injection in the generator of SDGAN. Furthermore, to enhance the realistic effect of the details, we propose a novel Adaptive Re-weighting Loss (ARLoss) which dedicates to balance the contributions of different semantic classes. Experimentally, our extensive experiments on CUFS and CUFSF datasets show that our proposed algorithm achieves state-of-the-art performance.

cs.CV↗

arXiv2020

Pricing Cryptocurrency Options

Cryptocurrencies, especially Bitcoin (BTC), which comprise a new digital asset class, have drawn extraordinary worldwide attention. The characteristics of the cryptocurrency/BTC include a high level of speculation, extreme volatility and price discontinuity. We propose a pricing mechanism based on a stochastic volatility with a correlated jump (SVCJ) model and compare it to a flexible co-jump model by Bandi and Renò (2016). The estimation results of both models confirm the impact of jumps and co-jumps on options obtained via simulation and an analysis of the implied volatility curve. We show that a sizeable proportion of price jumps are significantly and contemporaneously anti-correlated with jumps in volatility. Our study comprises pioneering research on pricing BTC options. We show how the proposed pricing mechanism underlines the importance of jumps in cryptocurrency markets.

q-fin.ST↗

arXiv2020

LASSO-Driven Inference in Time and Space

We consider the estimation and inference in a system of high-dimensional regression equations allowing for temporal and cross-sectional dependency in covariates and error processes, covering rather general forms of weak temporal dependence. A sequence of regressions with many regressors using LASSO (Least Absolute Shrinkage and Selection Operator) is applied for variable selection purpose, and an overall penalty level is carefully chosen by a block multiplier bootstrap procedure to account for multiplicity of the equations and dependencies in the data. Correspondingly, oracle properties with a jointly selected tuning parameter are derived. We further provide high-quality de-biased simultaneous inference on the many target parameters of the system. We provide bootstrap consistency results of the test procedure, which are based on a general Bahadur representation for the $Z$-estimators with dependent data. Simulations demonstrate good performance of the proposed inference procedure. Finally, we apply the method to quantify spillover effects of textual sentiment indices in a financial market and to test the connectedness among sectors.

econ.EM↗

arXiv2019

Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data

Estimating spot covariance is an important issue to study, especially with the increasing availability of high-frequency financial data. We study the estimation of spot covariance using a kernel method for high-frequency data. In particular, we consider first the kernel weighted version of realized covariance estimator for the price process governed by a continuous multivariate semimartingale. Next, we extend it to the threshold kernel estimator of the spot covariances when the underlying price process is a discontinuous multivariate semimartingale with finite activity jumps. We derive the asymptotic distribution of the estimators for both fixed and shrinking bandwidth. The estimator in a setting with jumps has the same rate of convergence as the estimator for diffusion processes without jumps. A simulation study examines the finite sample properties of the estimators. In addition, we study an application of the estimator in the context of covariance forecasting. We discover that the forecasting model with our estimator outperforms a benchmark model in the literature.

stat.ME↗

arXiv2018

A supreme test for periodic explosive GARCH

We develop a uniform test for detecting and dating explosive behavior of a strictly stationary GARCH$(r,s)$ (generalized autoregressive conditional heteroskedasticity) process. Namely, we test the null hypothesis of a globally stable GARCH process with constant parameters against an alternative where there is an 'abnormal' period with changed parameter values. During this period, the change may lead to an explosive behavior of the volatility process. It is assumed that both the magnitude and the timing of the breaks are unknown. We develop a double supreme test for the existence of a break, and then provide an algorithm to identify the period of change. Our theoretical results hold under mild moment assumptions on the innovations of the GARCH process. Technically, the existing properties for the QMLE in the GARCH model need to be reinvestigated to hold uniformly over all possible periods of change. The key results involve a uniform weak Bahadur representation for the estimated parameters, which leads to weak convergence of the test statistic to the supreme of a Gaussian Process. In simulations we show that the test has good size and power for reasonably large time series lengths. We apply the test to Apple asset returns and Bitcoin returns.

econ.EM↗

arXiv2018

Using generalized estimating equations to estimate nonlinear models with spatial data

In this paper, we study estimation of nonlinear models with cross sectional data using two-step generalized estimating equations (GEE) in the quasi-maximum likelihood estimation (QMLE) framework. In the interest of improving efficiency, we propose a grouping estimator to account for the potential spatial correlation in the underlying innovations. We use a Poisson model and a Negative Binomial II model for count data and a Probit model for binary response data to demonstrate the GEE procedure. Under mild weak dependency assumptions, results on estimation consistency and asymptotic normality are provided. Monte Carlo simulations show efficiency gain of our approach in comparison of different estimation methods for count data and binary response data. Finally we apply the GEE approach to study the determinants of the inflow foreign direct investment (FDI) to China.

econ.EM↗

arXiv2012

Local Quantile Regression

Quantile regression is a technique to estimate conditional quantile curves. It provides a comprehensive picture of a response contingent on explanatory variables. In a flexible modeling framework, a specific form of the conditional quantile curve is not a priori fixed. % Indeed, the majority of applications do not per se require specific functional forms. This motivates a local parametric rather than a global fixed model fitting approach. A nonparametric smoothing estimator of the conditional quantile curve requires to balance between local curvature and stochastic variability. In this paper, we suggest a local model selection technique that provides an adaptive estimator of the conditional quantile regression curve at each design point. Theoretical results claim that the proposed adaptive procedure performs as good as an oracle which would minimize the local estimation risk for the problem at hand. We illustrate the performance of the procedure by an extensive simulation study and consider a couple of applications: to tail dependence analysis for the Hong Kong stock market and to analysis of the distributions of the risk factors of temperature dynamics.

math.ST↗