A novel information theory method for filter feature selection

In this paper, we propose a novel filter for feature selection. Such filter relies on the estimation of the mutual information between features and classes. We bypass the estimation of the probability density function with the aid of the entropic-graphs approximation of Rényi entropy, and the subsequent approximation of the Shannon one. The complexity of such bypassing process does not depend on the number of dimensions but on the number of patterns/samples, and thus the curse of dimensionality is circumvented. We show that it is then possible to outperform a greedy algorithm based on the maximal relevance and minimal redundancy criterion. We successfully test our method both in the contexts of image classification and microarray data classification.

Improving kNN multi-label classification in Prototype Selection scenarios using class proposals

Prototype Selection (PS) algorithms allow a faster Nearest Neighbor classification by keeping only the most profitable prototypes of the training set. In turn, these schemes typically lower the performance accuracy. In this work a new strategy for multi-label classifications tasks is proposed to solve this accuracy drop without the need of using all the training set. For that, given a new instance, the PS algorithm is used as a fast recommender system which retrieves the most likely classes. Then, the actual classification is performed only considering the prototypes from the initial training set belonging to the suggested classes. Results show that this strategy provides a large set of trade-off solutions which fills the gap between PS-based classification efficiency and conventional kNN accuracy. Furthermore, this scheme is not only able to, at best, reach the performance of conventional kNN with barely a third of distances computed, but it does also outperform the latter in noisy scenarios, proving to be a much more robust approach.

Feature selection by multi-objective optimisation: Application to network anomaly detection by hierarchical self-organising maps

Feature selection is an important and active issue in clustering and classification problems. By choosing an adequate feature subset, a dataset dimensionality reduction is allowed, thus contributing to decreasing the classification computational complexity, and to improving the classifier performance by avoiding redundant or irrelevant features. Although feature selection can be formally defined as an optimisation problem with only one objective, that is, the classification accuracy obtained by using the selected feature subset, in recent years, some multi-objective approaches to this problem have been proposed. These either select features that not only improve the classification accuracy, but also the generalisation capability in case of supervised classifiers, or counterbalance the bias toward lower or higher numbers of features that present some methods used to validate the clustering/classification in case of unsupervised classifiers. The main contribution of this paper is a multi-objective approach for feature selection and its application to an unsupervised clustering procedure based on Growing Hierarchical Self-Organising Maps (GHSOMs) that includes a new method for unit labelling and efficient determination of the winning unit. In the network anomaly detection problem here considered, this multi-objective approach makes it possible not only to differentiate between normal and anomalous traffic but also among different anomalies. The efficiency of our proposals has been evaluated by using the well-known DARPA/NSL-KDD datasets that contain extracted features and labelled attacks from around 2 million connections. The selected feature sets computed in our experiments provide detection rates up to 99.8% with normal traffic and up to 99.6% with anomalous traffic, as well as accuracy values up to 99.12%.

On the suitability of Prototype Selection methods for kNN classification with distributed data

In the current Information Age, data production and processing demands are ever increasing. This has motivated the appearance of large-scale distributed information. This phenomenon also applies to Pattern Recognition so that classic and common algorithms, such as the k-Nearest Neighbour, are unable to be used. To improve the efficiency of this classifier, Prototype Selection (PS) strategies can be used. Nevertheless, current PS algorithms were not designed to deal with distributed data, and their performance is therefore unknown under these conditions. This work is devoted to carrying out an experimental study on a simulated framework in which PS strategies can be compared under classical conditions as well as those expected in distributed scenarios. Our results report a general behaviour that is degraded as conditions approach to more realistic scenarios. However, our experiments also show that some methods are able to achieve a fairly similar performance to that of the non-distributed scenario. Thus, although there is a clear need for developing specific PS methodologies and algorithms for tackling these situations, those that reported a higher robustness against such conditions may be good candidates from which to start.

Life-cycle portfolio choice with liquid and illiquid financial assets

Traditionally, quantitative models that have studied households׳ portfolio choices have focused exclusively on the different risk properties of alternative financial assets. We introduce differences in liquidity across assets in the standard life-cycle model of portfolio choice. More precisely, in our model, stocks are subject to transaction costs, as considered in recent macroliterature. We show that when these costs are calibrated to match the observed infrequency of households׳ trading, the model is able to generate patterns of portfolio stock allocation over age and wealth that are constant or moderately increasing, thus more in line with the existing empirical evidence.