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Add to EdgeAdvanced Multi-Variate Analysis Methods for New Physics Searches at the Large Hadron Collider
May 16, 2021
Between the years 2015 and 2019, members of the Horizon 2020-funded Innovative Training Network named "AMVA4NewPhysics" studied the customization and application of advanced multivariate analysis methods and statistical learning tools to high-energy physics problems, as well as developed entirely new ones. Many of those methods were successfully used to improve the sensitivity of data analyses performed by the ATLAS and CMS experiments at the CERN Large Hadron Collider; several others, still in the testing phase, promise to further improve the precision of measurements of fundamental physics parameters and the reach of searches for new phenomena. In this paper, the most relevant new tools, among those studied and developed, are presented along with the evaluation of their performances.
Locally adaptive factor processes for multivariate time series
Jun 21, 2013
In modeling multivariate time series, it is important to allow time-varying smoothness in the mean and covariance process. In particular, there may be certain time intervals exhibiting rapid changes and others in which changes are slow. If such time-varying smoothness is not accounted for, one can obtain misleading inferences and predictions, with over-smoothing across erratic time intervals and under-smoothing across times exhibiting slow variation. This can lead to mis-calibration of predictive intervals, which can be substantially too narrow or wide depending on the time. We propose a locally adaptive factor process for characterizing multivariate mean-covariance changes in continuous time, allowing locally varying smoothness in both the mean and covariance matrix. This process is constructed utilizing latent dictionary functions evolving in time through nested Gaussian processes and linearly related to the observed data with a sparse mapping. Using a differential equation representation, we bypass usual computational bottlenecks in obtaining MCMC and online algorithms for approximate Bayesian inference. The performance is assessed in simulations and illustrated in a financial application.