A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Double Q-learning has the same mean-squared error as Q-learning under certain conditions.
The paper provides mean-square error bounds for stochastic approximation algorithms.
This study calculates the maximum error of a famous estimation method.
New method optimizes tail dependence coefficient estimation.
The most important aspect of any classifier is its error rate, because this quantifies its predictive capacity. Thus, the accuracy of error estimation is critical. Error estimation is problematic in small-sample classifier design because the error must be estimated using the same data from which the classifier has been…
Nonparametric modeling approaches show very promising results in the area of system identification and control. A naturally provided model confidence is highly relevant for system-theoretical considerations to provide guarantees for application scenarios. Gaussian process regression represents one approach which provid…
Cryptocurrency prices predicted using LSTM, SVM, and polynomial regression.
Study on LMMSE estimation with model mismatch, quantifying MSE trade-offs.
A fast method for LOOCV in k-NN regression reduces computation time.
This letter presents an improved version of diffusion least mean ppower (LMP) algorithm for distributed estimation. Instead of sum of mean square errors, a weighted sum of mean square error is defined as the cost function for global and local cost functions of a network of sensors. The weight coefficients are updated b…
Enhances RL for jump processes using MSBVE algorithm.
This paper presents a stochastic behavior analysis of a kernel-based stochastic restricted-gradient descent method. The restricted gradient gives a steepest ascent direction within the so-called dictionary subspace. The analysis provides the transient and steady state performance in the mean squared error criterion. It…
The paper analyzes how data augmentation affects the test error in regression models.
Paper optimizes diffusion models for denoising tasks with theoretical guarantees.
We consider adaptive system identification problems with convex constraints and propose a family of regularized Least-Mean-Square (LMS) algorithms. We show that with a properly selected regularization parameter the regularized LMS provably dominates its conventional counterpart in terms of mean square deviations. We es…
Improved multi-task averaging reduces mean squared error in high-dimensional data.
ABae efficiently computes subset means with expensive predicates using stratified sampling.
The stochastic gradient descent (SGD) optimization algorithm plays a central role in a series of machine learning applications. The scientific literature provides a vast amount of upper error bounds for the SGD method. Much less attention as been paid to proving lower error bounds for the SGD method. It is the key cont…
Network agents solve adaptive regression problems with compressed signals.
Artificial neural network training with stochastic gradient descent can be destabilized by "bad batches" with high losses. This is often problematic for training with small batch sizes, high order loss functions or unstably high learning rates. To stabilize learning, we have developed adaptive learning rate clipping (A…
Unified framework for robust A/B testing under model misspecification.
Improved stock volume prediction using Kalman Filters with various hidden states.
Robust diffusion adaptive estimation algorithms based on the maximum correntropy criterion (MCC), including adaptation to combination MCC and combination to adaptation MCC, are developed to deal with the distributed estimation over network in impulsive (long-tailed) noise environments. The cost functions used in distri…
Asymptotic error distribution for approximation of a stochastic integral with respect to continuous semimartingale by Riemann sum with general stochastic partition is studied. Effective discretization schemes of which asymptotic conditional mean-squared error attains a lower bound are constructed. Two applications are …
Transformer model with mixed-frequency data improves stock volatility prediction.
Paper predicts EEG features from acoustic features using RNN and GAN.
Paper provides statistical guarantees for GNNs in link prediction.
This paper describes a recursive estimation procedure for multivariate binary densities (probability distributions of vectors of Bernoulli random variables) using orthogonal expansions. For covariates, there are basis coefficients to estimate, which renders conventional approaches computationally prohibitive …
We consider a univariate semimartingale model for (the logarithm of) an asset price, containing jumps having possibly infinite activity (IA). The nonparametric threshold estimator of the integrated variance IV proposed in Mancini 2009 is constructed using observations on a discrete time grid, and precisely it sums up t…
Unified framework for finite-sample RL algorithms using Lyapunov theory.
A new method for approximating softmax and Gaussian kernels with reduced error.
Constrained adaptive filtering algorithms inculding constrained least mean square (CLMS), constrained affine projection (CAP) and constrained recursive least squares (CRLS) have been extensively studied in many applications. Most existing constrained adaptive filtering algorithms are developed under mean square error (…
The paper proposes a method to improve forecast combination accuracy using portfolio theory.
Combines experimental and historical data for robust policy evaluation.
Study large deviations rates for SGD with strongly convex functions.
In this paper, we consider a statistical problem of learning a linear model from noisy samples. Existing work has focused on approximating the least squares solution by using leverage-based scores as an importance sampling distribution. However, no finite sample statistical guarantees and no computationally efficient o…
Efficiently recovers piecewise linear functions from noisy samples.
The article derives a formula for predicting claims uncertainty using the GCC method.
Estimates multiple linear systems on a graph with smoothness constraints.
Paper analyzes convergence of two time-scale stochastic approximation using martingale approach.
In recent years, kernel density estimation has been exploited by computer scientists to model machine learning problems. The kernel density estimation based approaches are of interest due to the low time complexity of either O(n) or O(n*log(n)) for constructing a classifier, where n is the number of sampling instances.…
We present the first estimation of the mass and spin magnitude of Kerr black holes resulting from the coalescence of binary black holes using a deep neural network. The network is trained on a dataset containing 80\% of the full publicly available catalog of numerical simulations of gravitational waves emission by bina…
In this work, we utilize T1-weighted MR images and StackNet to predict fluid intelligence in adolescents. Our framework includes feature extraction, feature normalization, feature denoising, feature selection, training a StackNet, and predicting fluid intelligence. The extracted feature is the distribution of different…
Optimizes embedding accuracy for data variance and error.
This paper introduces a class of k-nearest neighbor (-NN) estimators called bipartite plug-in (BPI) estimators for estimating integrals of non-linear functions of a probability density, such as Shannon entropy and Rényi entropy. The density is assumed to be smooth, have bounded support, and be uniformly bounded from…
Simple methods improve regression transferability estimation.
Improved speech enhancement using diffusion models with MSE loss.
Paper improves Gumbel-Softmax estimator variance reduction.