New method for constructing truncated vine copulas.
problem High-dimensional parameter space in vine copulas.
method Propose a new score and algorithm for constructing truncated vines.
result New algorithms exploit conditional independences.
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48 results for “Model truncation”
Efficiently estimate Boolean product distribution parameters from truncated samples.
problem Estimating parameters of Boolean product distributions from truncated samples.
method Introducing fatness of truncation set, using membership queries, and adapting Stochastic Gradient Descent.
result Efficiently learn Boolean product distributions from truncated samples with small sample complexity.
Paper proposes approximate Stein classes for efficient truncated density estimation.
problem Difficulties in estimating truncated density models due to intractable normalising constants and boundary conditions.
method Adapts score matching to solve the problem, introduces approximate Stein classes and a novel discrepancy measure, TKSD.
result TKSD does not require a fixed weighting function and can be evaluated using only boundary samples, leading to improved accuracy.
Non-negative matrix factorization (NMF) minimizes the Euclidean distance between the data matrix and its low rank approximation, and it fails when applied to corrupted data because the loss function is sensitive to outliers. In this paper, we propose a Truncated CauchyNMF loss that handle outliers by truncating large e…
The method approximates stationary distributions of Markov models by truncating irrelevant states.
problem Computing the stationary distribution of complex Markov models is computationally challenging.
method A state-space lumping scheme that aggregates states in a grid structure, iteratively refining the state-space.
result The method provides a well-justified finite-state projection tailored to the stationary behavior of Markov models.
Truncated densities are probability density functions defined on truncated domains. They share the same parametric form with their non-truncated counterparts up to a normalizing constant. Since the computation of their normalizing constants is usually infeasible, Maximum Likelihood Estimation cannot be easily applied t…
Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimatesq-fin.RM
Typically, operational risk losses are reported above some threshold. This paper studies the impact of ignoring data truncation on the 0.999 quantile of the annual loss distribution for operational risk for a broad range of distribution parameters and truncation levels. Loss frequency and severity are modelled by the P…
The problem of an arbitrary truncated Levy flight description using the method of cumulant approach has been solved. The set of cumulants of the truncated Levy distribution given the assumption of arbitrary truncation has been found. The influence of truncation shape on the truncated Levy flight properties in the Gauss…
Estimates inverse temperature of Ising models with a single sample.
problem Estimating inverse temperature in truncated Ising models with hard constraints.
method Maximizing pseudolikelihood to estimate the inverse temperature.
result An estimator that is nearly time and -consistent.
Choppy optimizes ranked list truncation using Transformer architecture.
problem Optimal truncation of ranked search results to balance relevance and user cost.
method Assumption-free Transformer model optimizing user-defined IR metrics.
result Choppy improves upon recent state-of-the-art methods.
In the paper "On Truncated Variation of Brownian Motion with Drift" (Bull. Pol. Acad. Sci. Math. 56 (2008), no.4, 267 - 281) we defined truncated variation of Brownian motion with drift, where is a standard Brownian motion. Truncated variation differs from regular variation by neglect…
Soft Truncation improves diffusion model performance by balancing loss scales across diffusion times.
problem Inverse correlation between density estimation and sample generation in diffusion models.
method Introduces Soft Truncation, a training technique that softens the truncation hyperparameter.
result Soft Truncation achieves state-of-the-art performance on various datasets.
Fast algorithms for learning a Gaussian under halfspace truncation with optimal sample complexitycs.DS
Optimal algorithm learns Gaussian under halfspace truncation with minimal samples.
problem Learning a Gaussian distribution truncated to an unknown halfspace.
method Efficient algorithm using samples and runtime dominated by empirical covariance matrix computation.
result Optimal sample and time complexity bounds for learning a Gaussian under halfspace truncation.
Truncated backpropagation through time (TBPTT) is a popular method for learning in recurrent neural networks (RNNs) that saves computation and memory at the cost of bias by truncating backpropagation after a fixed number of lags. In practice, choosing the optimal truncation length is difficult: TBPTT will not converge …
Adaptive Nucleus Truncation Improves Long-Form Reasoning
problem Improving long-form reasoning in language models
method Adaptive Nucleus Truncation Sampling (ANTS)
result Significant performance gains across various benchmarks
We introduce the truncated Gaussian graphical model (TGGM) as a novel framework for designing statistical models for nonlinear learning. A TGGM is a Gaussian graphical model (GGM) with a subset of variables truncated to be nonnegative. The truncated variables are assumed latent and integrated out to induce a marginal m…
Estimates domain truncation error for option pricing PDEs.
problem Estimating error in option pricing models with domain truncation.
method Derives an estimate of domain truncation error for a multidimensional PDE system.
result Proposes a sharper error estimate for option pricing models.
We derive a novel variational expectation maximization approach based on truncated posterior distributions. Truncated distributions are proportional to exact posteriors within subsets of a discrete state space and equal zero otherwise. The treatment of the distributions' subsets as variational parameters distinguishes …
We study inference and learning based on a sparse coding model with `spike-and-slab' prior. As in standard sparse coding, the model used assumes independent latent sources that linearly combine to generate data points. However, instead of using a standard sparse prior such as a Laplace distribution, we study the applic…
The paper analyzes and mitigates biases in scalable Gaussian Process methods.
problem Modeling biases in scalable Gaussian Process methods.
method Randomized truncation estimators to eliminate bias in exchange for increased variance.
result Randomized truncation estimators meaningfully outperform biased counterparts with minimal additional computation.
In this paper, an issue of building the RRC model using probability distributions other than beta distribution is addressed. More precisely, in this paper, we propose to build the RRR model using the truncated normal distribution. Heuristic procedures for expected value and the variance of the truncated-normal distribu…
Paper defines new risk measures for elliptical distributions.
problem Risk measurement for elliptical distributions.
method DTM, DTS, DTK definitions and formula derivation for specific distributions.
result Explicit formulas for DTE, DTV, DTS, and DTK for various distributions.
In the context of the Dragulescu-Yakovenko (2000) model, we show that empirical income distribution with truncated datasets, cannot be properly modeled by the one-parameter exponential distribution. However, a truncated version characterized by an exponential distribution with two parameters gives an accurate fit.
Bayesian Inference for Left-Truncated Log-Logistic Distributions for Time-to-event Data Analysisstat.ME
Bayesian method estimates LTLL distribution parameters for time-to-event data.
problem Parameter estimation for time-to-event data with left truncation.
method Bayesian inference using Metropolis-Hastings algorithm.
result Bayesian estimation provides more stable and reliable parameter estimates.
The paper efficiently estimates parameters from truncated Gaussian and linear models.
problem Estimating parameters from truncated Gaussian and linear models.
method Minimizes finite population negative log-likelihood function with an l1-regularization term.
result Efficient estimation of parameters from truncated samples.
Paper proposes robust estimators for heavy-tailed data with infinite variance.
problem Developing robust estimators for heavy-tailed data with infinite variance.
method Proposes two robust estimators: ridge log-truncated M-estimator and elastic net log-truncated M-estimator.
result Demonstrates robustness of log-truncated estimations over standard estimations through simulations and real data analysis.
Proposes a method to handle sparse multiway count data with false zeros using zero-truncated Poisson regression.
problem Handling sparse multiway count data corrupted by false zeros.
method Zero-truncated Poisson regression with tensor completion.
result Accurate estimation of multiway count data from approximately non-zero counts.
New DP framework using data truncation for efficient estimation.
problem Differential privacy in unbounded data support.
method Data truncation, exponential family distributions, maximum likelihood estimation, DP stochastic gradient descent.
result Near-optimal sample complexity for Gaussian mean and covariance estimation.
Financial Modeling and Option Theory with the Truncated Levy Processcond-mat.stat-mech
In recent studies the truncated Levy process (TLP) has been shown to be very promising for the modeling of financial dynamics. In contrast to the Levy process, the TLP has finite moments and can account for both the previously observed excess kurtosis at short timescales, along with the slow convergence to Gaussian at …
Unified framework for mean testing under truncation bias.
problem High-dimensional mean testing under arbitrary truncation.
method Characterizes fundamental limits and develops a simple second-order test.
result Unified framework connects finite-moment, sub-Gaussian, and median-regular structural regimes.
Dirichlet process mixture models (DPMM) are a cornerstone of Bayesian non-parametrics. While these models free from choosing the number of components a-priori, computationally attractive variational inference often reintroduces the need to do so, via a truncation on the variational distribution. In this paper we presen…
Score matching method improves density estimation for truncated data on manifolds.
problem Density estimation for truncated data on manifolds with intractable normalising constant.
method Truncated score matching extended to Riemannian manifolds with boundary.
result Score matching estimator approximates true parameter values with low error.
The paper investigates the convergence of Vendi scores under finite samples and introduces a truncated version for better performance.
problem The Vendi score's convergence is hindered by computational limitations when using large sample sizes.
method The authors introduce the t-truncated Vendi score to address this issue by truncating the eigenspectrum of the kernel matrix.
result The t-truncated Vendi score converges to its asymptotic limit with a smaller number of samples, improving upon the standard Vendi score.
We present a probabilistic framework for nonlinearities, based on doubly truncated Gaussian distributions. By setting the truncation points appropriately, we are able to generate various types of nonlinearities within a unified framework, including sigmoid, tanh and ReLU, the most commonly used nonlinearities in neural…
UDN adapts depth to data complexity, outperforming standard neural networks.
problem Adapting neural network depth to data complexity.
method Variational inference for infinitely deep neural networks with a novel algorithm.
result UDN outperforms standard neural networks and other infinite-depth approaches.
Controlling Overestimation Bias with Truncated Mixture of Continuous Distributional Quantile Criticscs.LG
Paper tackles overestimation bias in continuous control, improving performance by 25%.
problem Overestimation bias in off-policy learning.
method Truncated Quantile Critics (TQC) combines distributional representation, truncation, and ensembling of critics.
result TQC outperforms state-of-the-art methods by 25% on the Humanoid environment.
Combining data assimilation and machine learning to infer unresolved scale parametrisationphysics.comp-ph
Combines ML and DA to infer unresolved scale parametrisation from noisy data.
problem Training ML-based parametrisations from realistic, noisy and sparse observations.
method Two-step process: DA for state estimation, ML for model error prediction.
result Hybrid model produces better forecasts and attractor representation.
Current variational inference methods for hierarchical Bayesian nonparametric models can neither characterize the correlation structure among latent variables due to the mean-field setting, nor infer the true posterior dimension because of the universal truncation. To overcome these limitations, we propose the conditio…
We consider an appoximation of a catenoid constructed from "odd" truncated cones that maintains minimality in a certain sense. Thorough this procedure, we obtain a discrete curve approximating a catenary by exploiting the fact that it is the function that generates a catenoid. In this investigation, the theory of the G…
New COS method formula improves option pricing accuracy.
problem Determining the optimal truncation range for COS method.
method Derive new formula using Markov's inequality to ensure convergence.
result New formula leads to more accurate option pricing.
The generalized correlation approach, which has been successfully used in statistical radio physics to describe non-Gaussian random processes, is proposed to describe stochastic financial processes. The generalized correlation approach has been used to describe a non-Gaussian random walk with independent, identically d…
Lower bound shows super-polynomial gap for estimating truncated Gaussian means.
problem Estimating mean of truncated Gaussian distribution with limited samples.
method Statistical Query (SQ) lower bounds for learning.
result Super-polynomial information-computation gap for the task.
As in standard linear regression, in truncated linear regression, we are given access to observations whose dependent variable equals , where is some fixed unknown vector of interest and is independent noise; except we are only given an observation if its dep…
Numerical Method for Highly Non-linear Mean-reverting Asset Price Model with CEV-type Processq-fin.RM
New numerical method for non-linear asset price model with CEV volatility.
problem Describing stochastic volatility in asset price dynamics.
method Proposes a mean-reverting theta-rho model with CEV volatility, constructs a truncated EM method.
result Truncated EM solutions can evaluate path-dependent financial products.
We show that generalised geometry gives a unified description of maximally supersymmetric consistent truncations of ten- and eleven-dimensional supergravity. In all cases the reduction manifold admits a "generalised parallelisation" with a frame algebra with constant coefficients. The consistent truncation then arises …
The paper studies deformation spaces of Coxeter truncation polytopes.
problem Understanding the geometric properties and deformations of Coxeter truncation polytopes.
method Analyzing Coxeter truncation polytopes and their deformation spaces.
result Description of deformation spaces for Coxeter truncation polytopes of dimension .
New kernels capture both local and non-local interactions efficiently.
problem Designing kernels that capture both local and non-local interactions while remaining computationally tractable.
method Spectral truncation kernels based on -algebra.
result Spectral truncation kernels induce interactions across the data function domain and reduce computational cost.
The paper connects quantum -symbols to tetrahedra volumes via discrete Fourier transforms.
problem Understanding the asymptotic behavior of quantum -symbols and their relation to 3-manifold invariants.
method Proposing and proving a conjecture linking discrete Fourier transforms of quantum -symbols to the volumes of deeply truncated tetrahedra.
result Supporting evidence for the conjecture in specific cases, with numerical calculations for larger dihedral angles.