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Academic research and the financial industry have recently paid great attention to Machine Learning algorithms due to their power to solve complex learning tasks. In the field of firms default prediction, however, the lack of interpretability has prevented the extensive adoption of the black-box type of models. To overcome this drawback and maintain the high performances of black-boxes, this paper relies on a model-agnostic approach. Accumulated Local Effects and Shapley values are used to shape the predictors impact on the likelihood of default and rank them according to their contribution to the model outcome. Prediction is achieved by two Machine Learning algorithms (eXtreme Gradient Boosting and FeedForward Neural Network) compared with three standard discriminant models. Results show that our analysis of the Italian Small and Medium Enterprises manufacturing industry benefits from the overall highest classification power by the eXtreme Gradient Boosting algorithm without giving up a rich interpretation framework.
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The objective of this work is speaker diarisation of speech recordings in the wild. The ability to determine speech segments is a crucial part of diarisation systems, accounting for a large proportion of errors. In this paper, we present a simple but effective solution for speech activity detection based on the speaker embeddings. In particular, we discover that the norm of the speaker embedding is an extremely effective indicator of speech activity. The method does not require an independent model for speech activity detection, therefore allows speaker diarisation to be performed using a unified representation for both speaker modelling and speech activity detection. We perform a number of experiments on in-house and public datasets, in which our method outperforms popular baselines.
Boosting techniques and neural networks are particularly effective machine learning methods for insurance pricing. Often in practice, there are nevertheless endless debates about the choice of the right loss function to be used to train the machine learning model, as well as about the appropriate metric to assess the performances of competing models. Also, the sum of fitted values can depart from the observed totals to a large extent and this often confuses actuarial analysts. The lack of balance inherent to training models by minimizing deviance outside the familiar GLM with canonical link setting has been empirically documented in Wuthrich (2019, 2020) who attributes it to the early stopping rule in gradient descent methods for model fitting. The present paper aims to further study this phenomenon when learning proceeds by minimizing Tweedie deviance. It is shown that minimizing deviance involves a trade-off between the integral of weighted differences of lower partial moments and the bias measured on a specific scale. Autocalibration is then proposed as a remedy. This new method to correct for bias adds an extra local GLM step to the analysis. Theoretically, it is shown that it implements the autocalibration concept in pure premium calculation and ensures that balance also holds on a local scale, not only at portfolio level as with existing bias-correction techniques. The convex order appears to be the natural tool to compare competing models, putting a new light on the diagnostic graphs and associated metrics proposed by Denuit et al. (2019).
In this work, we present a novel audio-visual dataset for active speaker detection in the wild. A speaker is considered active when his or her face is visible and the voice is audible simultaneously. Although active speaker detection is a crucial pre-processing step for many audio-visual tasks, there is no existing dataset of natural human speech to evaluate the performance of active speaker detection. We therefore curate the Active Speakers in the Wild (ASW) dataset which contains videos and co-occurring speech segments with dense speech activity labels. Videos and timestamps of audible segments are parsed and adopted from VoxConverse, an existing speaker diarisation dataset that consists of videos in the wild. Face tracks are extracted from the videos and active segments are annotated based on the timestamps of VoxConverse in a semi-automatic way. Two reference systems, a self-supervised system and a fully supervised one, are evaluated on the dataset to provide the baseline performances of ASW. Cross-domain evaluation is conducted in order to show the negative effect of dubbed videos in the training data.
The R package DoubleML implements the double/debiased machine learning framework of Chernozhukov et al. (2018). It provides functionalities to estimate parameters in causal models based on machine learning methods. The double machine learning framework consist of three key ingredients: Neyman orthogonality, high-quality machine learning estimation and sample splitting. Estimation of nuisance components can be performed by various state-of-the-art machine learning methods that are available in the mlr3 ecosystem. DoubleML makes it possible to perform inference in a variety of causal models, including partially linear and interactive regression models and their extensions to instrumental variable estimation. The object-oriented implementation of DoubleML enables a high flexibility for the model specification and makes it easily extendable. This paper serves as an introduction to the double machine learning framework and the R package DoubleML. In reproducible code examples with simulated and real data sets, we demonstrate how DoubleML users can perform valid inference based on machine learning methods.
DoubleML is an open-source Python library implementing the double machine learning framework of Chernozhukov et al. (2018) for a variety of causal models. It contains functionalities for valid statistical inference on causal parameters when the estimation of nuisance parameters is based on machine learning methods. The object-oriented implementation of DoubleML provides a high flexibility in terms of model specifications and makes it easily extendable. The package is distributed under the MIT license and relies on core libraries from the scientific Python ecosystem: scikit-learn, numpy, pandas, scipy, statsmodels and joblib. Source code, documentation and an extensive user guide can be found at https://github.com/DoubleML/doubleml-for-py and https://docs.doubleml.org.
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