arXiv research

We tackle causal inference under conditional moment restrictions using importance weighting.

New method improves estimation of complex models from conditional moment restrictions.

New KCM tests improve specification testing via RKHS.

A new method of moments estimator goes beyond data reweighting.

New SGMM algorithm for efficient estimation of moment restriction models.

We provide an approach for learning deep neural net representations of models described via conditional moment restrictions. Conditional moment restrictions are widely used, as they are the language by which social scientists describe the assumptions they make to enable causal inference. We formulate the problem of est…

We show that the moment explosion time in the rough Heston model [El Euch, Rosenbaum 2016, arxiv:1609.02108] is finite if and only if it is finite for the classical Heston model. Upper and lower bounds for the explosion time are established, as well as an algorithm to compute the explosion time (under some restrictions…

Paper develops methods for inference on time series data using neural networks and sieves.

A method learns representations for conditional moment models with controlled ill-posedness.

A new algorithm uses IVs to learn optimal policies from observational data.

New method for adaptive estimation and inference in econometric models without knowing smoothness.

Develops a new method for estimating models with conditional moment restrictions.

The asymptotic behavior of the implied volatility associated with a general call pricing function has been extensively studied in the last decade. The main topics discussed in this paper are Lee's moment formulas for the implied volatility, and Piterbarg's conjecture, describing how the implied volatility behaves in th…

Paper proposes a policy gradient method for confounded POMDPs.

We construct open book structures on all moment-angle manifolds and describe the topology of their leaves and bindings under certain restrictions. II. We also show, using a recent deep result about contact forms due to Borman, Eliashberg and Murphy [6], that every odd-dimensional moment-angle manifold admits a contact …

Moment-angle manifolds provide a wide class of examples of non-Kaehler compact complex manifolds. A complex moment-angle manifold Z is constructed via certain combinatorial data, called a complete simplicial fan. In the case of rational fans, the manifold Z is the total space of a holomorphic bundle over a toric variet…

We study concentration phenomena of eigenfunctions of the Laplacian on closed Riemannian manifolds. We prove that the volume measure of a closed manifold concentrates around nodal sets of eigenfunctions exponentially. Applying the method of Colding and Minicozzi we also prove restricted exponential concentration inequa…

Proposes debiasing strategy for ill-posed regression problems.

A new game-theoretic approach balances downside risk with expected reward.

This paper proposes a Lasso-type estimator for a high-dimensional sparse parameter identified by a single index conditional moment restriction (CMR). In addition to this parameter, the moment function can also depend on a nuisance function, such as the propensity score or the conditional choice probability, which we es…

DML-CMR estimator reduces bias in CMR problems using deep neural networks.

It is shown that a small cover (resp. real moment-angle manifold) over a simple polytope is an infra-solvmanifold if and only if it is diffeomorphic to a real Bott manifold (resp. flat torus). Moreover, we obtain several equivalent conditions for a small cover being homeomorphic to a real Bott manifold. In addition, we…

Price and return predictions are limited by economic complexity, not just volatility.

Bayesian framework uses AI-generated data to improve parameter estimation.

Generative adversarial networks are a novel method for statistical inference that have achieved much empirical success; however, the factors contributing to this success remain ill-understood. In this work, we attempt to analyze generative adversarial learning -- that is, statistical inference as the result of a game b…

To deepen our understanding of graph neural networks, we investigate the representation power of Graph Convolutional Networks (GCN) through the looking glass of graph moments, a key property of graph topology encoding path of various lengths. We find that GCNs are rather restrictive in learning graph moments. Without c…

We consider a popular model of microeconomics with countably many assets: the Arbitrage Pricing Model. We study the problem of optimal investment under an expected utility criterion and look for conditions ensuring the existence of optimal strategies. Previous results required a certain restrictive hypothesis on the ta…

Kernel methods estimate causal effects with a single proxy for deterministic confounders.

New method for inference on strongly identified functionals even when nuisance functions are weakly identified.

In this paper we study the exponential functionals of the processes $X$ with independent increments , namely $I_t= \int _0^t\exp(-X_s)ds, _,\,\, t\geq 0,$ and also $I_{\infty}= \int _0^{\infty}\exp(-X_s)ds.$ When $X$ is a semi-martingale with absolutely continuous characteristics, we derive recurrent integral equat…

A new filter reduces density fitting to a linear solve, improving performance on nonlinear systems.

New method uses geometric moments for accurate machine learning potentials.

New stability framework relaxes boundedness assumptions for generalization bounds.

Deep neural networks improve proximal inference for causal effects.

Proposes a robust IV estimator using optimal transport for corrupted or adversarial data.

Let L->M be a Hermitian line bundle over a compact manifold. Write S for the space of all unitary connections in L whose curvatures define symplectic forms on M and G for the group of unitary bundle isometries of L, which acts on S by pull-back. The main observation of this note is that S carries a G-invariant symplect…

We describe isotropic orbits for the restricted action of a subgroup of a Lie group acting on a symplectic manifold by Hamiltonian symplectomorphisms and admitting an Ad*-equivariant moment map. We obtain examples of Lagrangian orbits of complex flag manifolds, of cotangent bundles of orthogonal Lie groups, and of prod…

Realised pay-offs for discretisation-invariant swaps are those which satisfy a restricted `aggregation property' of Neuberger [2012] for twice continuously differentiable deterministic functions of a multivariate martingale. They are initially characterised as solutions to a second-order system of PDEs, then those pay-…

Suppose that we are given a time series where consecutive samples are believed to come from a probabilistic source, that the source changes from time to time and that the total number of sources is fixed. Our objective is to estimate the distributions of the sources. A standard approach to this problem is to model the …

Proposes a method to use external machine-learning predictions in multinomial logistic regression.

We introduce a simple method for nearly simultaneous computation of all moments needed for quasi maximum likelihood estimation of parameters in discretely observed stochastic differential equations commonly seen in finance. The method proposed in this papers is not restricted to any particular dynamics of the different…

Volterra square-root process boundary behavior and martingale measures

Derives scalar curvature formula in generalized Kähler geometry.

New method identifies structural parameters without assuming uncorrelated errors.

We provide a framework to approximate the 2-Wasserstein distance and the optimal transport map, amenable to efficient training as well as statistical and geometric analysis. With the quadratic cost and considering the Kantorovich dual form of the optimal transportation problem, the Brenier theorem states that the optim…

Obstructions found for closed Fedosov star products on symplectic and Kähler manifolds.

In the classical theory of toric manifolds polytopes appear in two guises -- as Newton polytopes of line bundles on the complex, and as moment polytopes on the symplectic side, the link between the two being established by the prequantizability condition on the cohomology class of the symplectic form. Here we give a co…

Developed moment estimators for affine stochastic volatility models.