Method distinguishes genetic correlations from causation in GWAS.
problem Identifying causal relationships among genetically correlated traits.
method Mixed fourth moments to quantify causal relationships.
result Identified 30 putative genetically causal relationships across 52 traits.
We propose a new method of measuring the third and fourth moments of return distribution based on quadratic variation method when the return process is assumed to have zero drift. The realized third and fourth moments variations computed from high frequency return series are good approximations to corresponding actual …
Study on Gaussian ensemble of matrix products with mixed moments computed.
problem Understanding the statistical properties of matrix products of Gaussian matrices.
method Analysis of a multi-Wishart ensemble and enumeration of non-crossing pairings.
result Mixed moments of the product matrix are computed and found to be weighted by Fuss-Catalan numbers at large N. Study fourth order Schrödinger equation on Cartan-Hadamard manifolds, proving existence, scattering, and blow-up results.
problem Fourth order Schrödinger equation with mixed dispersion on Cartan-Hadamard manifolds.
method Fourier transform for hyperbolic space, weighted Strichartz estimates for rotationally symmetric manifolds, localized virial argument.
result Existence, scattering, and blow-up results for the equation.
Uniform deviation bounds limit the difference between a model's expected loss and its loss on an empirical sample uniformly for all models in a learning problem. As such, they are a critical component to empirical risk minimization. In this paper, we provide a novel framework to obtain uniform deviation bounds for loss…
We develop a general multivariate aggregation property which encompasses the distinct versions of the property that were introduced by Neuberger [2012] and Bondarenko [2014] independently. This way, we classify new types of model-free realised characteristics for which risk premia may be estimated without bias. We focu…
The paper examines higher moments in insurance, focusing on coskewness and its impact on actuarial quantities.
problem The impact of higher-order moments on actuarial applications, particularly expected shortfall and life annuity valuation.
method Derives analytical bounds for mixed moments under unspecified dependence structure, applies copula-based mixture model.
result Coskewness and odd-order mixed moments exhibit a monotonic relationship with expected shortfall and annuity premiums.
MOMENT selects and estimates mixed-effects models using moment identities.
problem Selecting and estimating random-effects covariance matrix and fixed-effects coefficients in multiresponse linear mixed-effects models.
method MOMENT is a stage-wise moment-based framework that reduces the random-effects selection problem to a smooth constrained convex optimization problem.
result MOMENT performs competitively and can outperform separate univariate analyses for correlated responses.
We discuss the probabilistic properties of the variation based third and fourth moments of financial returns as estimators of the actual moments of the return distributions. The moment variations are defined under non-parametric assumptions with quadratic variation method but for the computational tractability, we use …
We extend the notion of multi-moment map to geometries defined by closed forms of arbitrary degree. We give fundamental existence and uniqueness results and discuss a number of essential examples, including geometries related to special holonomy. For forms of degree four, multi-moment maps are guaranteed to exist and a…
This paper introduces generalized betas accounting for higher order co-moment effects.
problem Financial returns data often deviate from normal assumptions in terms of higher order moments and contain outliers.
method Introduces CAPI and PP framework to calculate generalized betas optimizing the CAPI objective.
result Generalized betas optimize the CAPI objective, accounting for higher order co-moment effects.
Paper introduces a new fat-tail test using conditional second moments.
problem Measuring and assessing the impact of fat-tails on data dispersion.
method Constructs a goodness-of-fit statistic based on conditional second moments.
result Shows superior performance of the new test compared to existing methods.
Sharp inequalities in unit ball with constraints on moments.
problem Establishing Sobolev trace inequalities with constraints.
method Constructing smooth test functions for higher order moments.
result Almost optimal Sobolev trace inequalities for 2nd and 4th orders.
Study on estimating rank-one tensors in noisy data with heavy tails.
problem Estimating rank-one spiked tensors in the presence of heavy tailed errors.
method Analysis of spectral norm of random tensors with iid entries.
result Signal strength requirements for optimal estimation are similar for heavy tailed and Gaussian noise, but vanish for noise with finite fourth moment.
We find the exact worst-case tail probability for bounded kurtosis.
problem Determining the worst-case tail probability under bounded kurtosis constraints.
method AI-guided search and certificate verification around the certifying pipeline.
result A four-regime map of tail probabilities with explicit formulas and dual certificates.
Independent component analysis (ICA) is the problem of efficiently recovering a matrix A∈Rn×n from i.i.d. observations of X=AS where S∈Rn is a random vector with mutually independent coordinates. This problem has been intensively studied, but all existing efficient algorithms w…
New neural networks learn distribution functions using quantiles and moments.
problem Approximating functions of distributions in probability spaces.
method Quantile and moment neural networks, mixing quantile and moment features.
result Moment neural network outperforms others for bivariate distributions.
We present high-order compact schemes for a linear second-order parabolic partial differential equation (PDE) with mixed second-order derivative terms in two spatial dimensions. The schemes are applied to option pricing PDE for a family of stochastic volatility models. We use a non-uniform grid with more grid-points ar…
Paper proposes an efficient algorithm to handle high-order portfolio moments.
problem Designing portfolios with high-order moments (skewness and kurtosis) is computationally challenging.
method Proposes a SCA algorithm framework for solving high-order portfolios efficiently.
result Demonstrates the efficiency of the proposed algorithm through numerical experiments.
A new method for density estimation using mixture discrepancy and moments.
problem Generalizing histogram statistics to higher dimensions.
method Density estimation via mixture discrepancy and moments (DSP-mix and MSP).
result DSP-mix and MSP are computationally tractable and maintain accuracy with increased speed.
Study shows TAR model captures leverage effect in financial series.
problem Capturing leverage effect in financial series.
method Threshold autoregressive (TAR) model with Bayesian approach.
result Analytical expressions for TAR model moments derived.
Study nearest-neighbor radii under dependent sampling, finding they remain informative.
problem Analyzing nearest-neighbor radii under dependent sampling.
method Consider strong mixing dependent observations, establish distribution-free almost sure convergence and sharp non-asymptotic moment bounds.
result Nearest-neighbor geometry remains informative under dependence sampling.
Study finds the minimum number of finite Gaussian mixtures for best approximation.
problem Finding the minimum number of finite Gaussian mixtures for best approximation.
method Local moment matching for upper bound and spectral analysis for lower bound.
result Corrects a previous lower bound in the case of Gaussian mixing distributions.
Abstract: A possibilistic portfolio choice problem using expected utility operators.
problem A possibilistic portfolio choice problem in the framework of expected utility operators.
method Using expected utility operators, the paper formulates a possibilistic choice problem and derives two approximate calculation formulas for optimization.
result Two approximate calculation formulas for optimization of possibilistic portfolio choice problem.
Many scientific and engineering challenges -- ranging from pharmacokinetic drug dosage allocation and personalized medicine to marketing mix (4Ps) recommendations -- require an understanding of the unobserved heterogeneity in order to develop the best decision making-processes. In this paper, we develop a hypothesis te…
Independent Component Analysis (ICA) - one of the basic tools in data analysis - aims to find a coordinate system in which the components of the data are independent. Most popular ICA methods use kurtosis as a metric of non-Gaussianity to maximize, such as FastICA and JADE. However, their assumption of fourth-order mom…
Classical scaling is shown to be optimal under various noisy conditions.
problem Consistency of classical scaling under general noise conditions.
method Established using finite fourth moments of noise, derived convergence rates, and matching minimax lower bounds.
result Classical scaling achieves minimax optimality in recovering true configuration from noisy dissimilarities.
The paper uses moment matching method for pricing spread options under Lévy models.
problem Pricing spread options under Lévy models with mean-variance mixture.
method Moment matching method applied to Lévy models with mean-variance mixture.
result Obtains semi-closed form formulas for spread option prices.
The paper explores tail diversification in financial markets using entropy and mutual information.
problem Tail diversification in financial time series.
method Statistical independence through differential entropy and mutual information, using moments as contrast functions.
result Tail covariance matrix is a key driver of tail diversification.
We study monodromies of plane curve singularities and pseudo-periodic homeomorphisms of oriented surfaces with boundary, following an original idea of the first author: tête-à-tête graphs and twists. We completely characterize mapping classes that can be represented by tête-à-tête twists, and generalize the notion to b…
New algorithm for overcomplete ICA with reduced complexity.
problem Overcoming high computational complexity in overcomplete ICA.
method Estimates Hessians of cumulant generating function and uses SDP relaxation.
result Recovery of a mixing component at the rate k < p^2/4 with high probability.
Signals coming from multivariate higher order conditional moments as well as the information contained in exogenous covariates, can be effectively exploited by rational investors to allocate their wealth among different risky investment opportunities. This paper proposes a new flexible dynamic copula model being able t…
Proposes Moment Exchange to use moments in image recognition models, improving generalization.
problem Discarding moments in image recognition models reduces stability and training time.
method Moment Exchange: replaces moments of learned features with another image's moments and interpolates labels.
result Improves generalization of recognition models across multiple datasets.
Curve diffusion flow straightens curves with endpoints on intersecting lines.
problem Straightening open curves with endpoints on intersecting lines.
method Curve diffusion flow with mixed boundary conditions.
result The curve converges to a circular arc of the same length.
In this paper two portfolio choice models are studied: a purely possibilistic model, in which the return of a risky asset is a fuzzy number, and a mixed model in which a probabilistic background risk is added. For the two models an approximate formula of the optimal allocation is computed, with respect to the possibili…
The asymptotic distribution of the Markowitz portfolio is derived, for the general case (assuming fourth moments of returns exist), and for the case of multivariate normal returns. The derivation allows for inference which is robust to heteroskedasticity and autocorrelation of moments up to order four. As a side effect…
The paper optimizes estimating high-dimensional Gaussian mixtures without separation conditions.
problem Estimating the mixing distribution in high-dimensional Gaussian mixtures without separation conditions.
method The method of moments and careful application of moment tensors.
result The minimax rate of estimating the mixing distribution in Wasserstein distance is Θ((d/n)1/4+n−1/(4k−2)). Study free energy in spherical spin glasses, proving universality dichotomy.
problem Analyzing free energy in spherical spin glass models with different tail exponents.
method Introduced a tail-adapted normalization and used universality dichotomy.
result Sharp universality dichotomy for free energy across different tail exponents.
Optimizes mixture models without parametrizing distributions using tensor decomposition.
problem Estimating conditionally-independent mixture models in high dimensions.
method Alternating least squares optimization scheme for tensor decomposition.
result Competitive performance and applicability to various models and applications.
This paper demonstrates the efficiency of using Edgeworth and Gram-Charlier expansions in the calibration of the Libor Market Model with Stochastic Volatility and Displaced Diffusion (DD-SV-LMM). Our approach brings together two research areas; first, the results regarding the SV-LMM since the work of Wu and Zhang (200…
This paper uses HCR to predict bid-ask spreads from accessible data.
problem Predicting bid-ask spreads from incomplete data.
method Hierarchical correlation reconstruction (HCR) to model conditional distributions.
result Accurate predictions of bid-ask spreads with interpretable coefficients.
Study non-semisimple TQFT for Burau representation density and unitarity.
problem Density and unitarity of the Burau representation from a non-semisimple TQFT perspective.
method TQFT construction of Squier's Hermitian form on the Burau representation.
result Density of the image of braid group in unitary representations.
Study of asymmetric rank-one tensor models with non-Gaussian noise.
problem Analyzing maximum-likelihood estimators for asymmetric rank-one tensor models.
method Spectrally separated branch analysis, resolvent methods, cumulant expansions, Efron-Stein-type variance bounds.
result Asymptotic singular value and mode-wise alignments are robust to non-Gaussian noise.
Exact tail probability bounds for bounded kurtosis.
problem Determining worst-case tail probabilities under kurtosis constraints.
method AI-guided search and certifying pipeline to compute bounds.
result A four-regime map of tail probabilities with explicit formulas.
We propose a new high-order alternating direction implicit (ADI) finite difference scheme for the solution of initial-boundary value problems of convection-diffusion type with mixed derivatives and non-constant coefficients, as they arise from stochastic volatility models in option pricing. Our approach combines differ…
Develops a contraction framework for MCMC mixing rates.
problem Proving mixing-time bounds for MCMC algorithms.
method Global and local contraction coefficients under Eγ-divergence. result Explicit global contraction coefficients for Gaussian smoothing.
Independent Component Analysis (ICA) is the problem of learning a square matrix A, given samples of X=AS, where S is a random vector with independent coordinates. Most existing algorithms are provably efficient only when each Si has finite and moderately valued fourth moment. However, there are practical appli…
Geodesic rays constructed in Kähler metrics with torus symmetry.
problem Constructing geodesic paths in Kähler metrics with symmetry.
method Mixed polarization, complex structures, geodesic rays.
result Geodesic rays in the space of Kähler metrics.