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arXiv research

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.

168,695 papers · 148 categories

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108217325433 · Jun 202019922001200920172026
48 results for Non-Gaussian processes

Random neural networks with ReLU activations are non-Gaussian processes.

problem Understanding the behavior of neural networks with random initialization and rectified linear units.
method Proving these networks are non-Gaussian processes and deriving their properties.
result These networks can converge to non-Gaussian processes under certain conditions.

Gaussian processes are ubiquitous in nature and engineering. A case in point is a class of neural networks in the infinite-width limit, whose priors correspond to Gaussian processes. Here we perturbatively extend this correspondence to finite-width neural networks, yielding non-Gaussian processes as priors. The methodo…

2019-09-30abs ↗pdf ↗

This work extends Tweedie's formulae to non-Gaussian processes for better diffusion model generation.

problem Limited exploration of non-Gaussian diffusion models and corresponding Tweedie's formulae.
method Extended Tweedie's formulae to geometric Brownian motion, squared Bessel, and Cox-Ingersoll-Ross processes.
result Demonstrated potential of non-Gaussian models in image and financial time series generation.

Wavelet scattering spectra model non-Gaussian time-series, proving scale invariance for self-similar processes.

problem Modeling non-Gaussian time-series with stationary increments.
method Complex wavelet transform for scale variations, joint correlation matrix for scale dependencies, second wavelet transform for diagonalization, maximum entropy models conditioned by scattering spectra coefficients.
result Scattering spectra of self-similar processes are scale invariant, allowing statistical testing and generation of new time-series.

Develops a new method for functional regression that works with non-Gaussian data.

problem Limited models for regression in function spaces with Gaussian process priors.
method Introduces Neural Operator Flows (OpFlow) for non-Gaussian function spaces.
result OpFlow enables robust and accurate uncertainty quantification for functional regression.

GGMPs improve non-Gaussian conditional density estimation.

problem Multimodality, heteroscedasticity, and strong non-Gaussianity in conditional density estimation.
method GGMP combines local Gaussian mixture fitting, cross-input component alignment, and per-component heteroscedastic GP training.
result GGMPs improve distributional approximation on synthetic and real-world datasets.

This paper extends explainability methods to non-Gaussian Gaussian Processes.

problem Making non-Gaussian GP models transparent and explainable.
method Proposes Integrated Gradient-based explainability for non-Gaussian GP models.
result Offers both analytical and approximate solutions for non-Gaussian GP models.

Study large deviations in fractional volatility models with non-Gaussian volatility.

problem Large deviations in fractional volatility models with non-Gaussian volatility.
method Established a small-noise large deviation principle for log-price.
result Logarithmic call price asymptotics for large strikes in a special case.

Bayesian inference for wide neural networks using Edgeworth expansion.

problem Analyzing the non-Gaussian behavior of wide neural networks in Bayesian inference.
method Proposed a non-Gaussian distribution using multivariate Edgeworth expansion for finite-width neural networks.
result Derived non-Gaussian posterior distribution in Bayesian regression tasks.

This paper proposes a method to approximate non-Gaussian likelihoods in Gaussian Processes.

problem Approximating non-Gaussian likelihoods in Gaussian Processes.
method Proposes a piece-wise constant approximation for the inverse-link function.
result Yields a closed form solution for the SVGP lower bound.

Study non-Gaussian measures' concentration properties in metric spaces.

problem Concentration properties for non-linear Gaussian functionals with non-Gaussian tails.
method Prove generalised Transportation-Cost Inequalities (TCIs) for specific functionals.
result Extended TCIs for rough volatility and Parabolic Anderson Model.

Improved VB algorithm for NIG mixtures outperforms Gaussian mixtures for non-Gaussian data.

problem Clustering non-Gaussian data, especially heavy-tailed and asymmetric.
method Proposed an improved VB algorithm for NIG mixture models and extended Dirichlet process mixture models.
result Outperforms Gaussian mixtures and existing NIG mixture models, especially for highly non-normative data.

In recent years, several methods have been proposed for the discovery of causal structure from non-experimental data (Spirtes et al. 2000; Pearl 2000). Such methods make various assumptions on the data generating process to facilitate its identification from purely observational data. Continuing this line of research, …

2012-07-04abs ↗pdf ↗

VMGP extends Gaussian processes for Bayesian meta-learning, improving uncertainty prediction.

problem Bayesian meta-learning for few-shot tasks with non-Gaussian uncertainty.
method VMGP (Variational Meta-Gaussian Processes) extends Gaussian processes to model non-Gaussian predictive posteriors.
result VMGP significantly outperforms existing Bayesian meta-learning methods on complex tasks.

ICA reveals deep learning's feature learning mechanisms from non-Gaussian data.

problem Understanding feature learning from non-Gaussian inputs in deep neural networks.
method Investigates ICA and SGD on synthetic and real data.
result FastICA requires nd4n \gtrsim d^4 samples for single non-Gaussian direction recovery, while SGD outperforms and optimised SGD reaches nd2n \gtrsim d^2.

The abstract proposes a neural network theory using quantum field theory.

problem Understanding the behavior of neural networks in the asymptotic and non-asymptotic limits.
method Mapping neural networks to Wilsonian effective field theory, using Gaussian processes and Feynman diagrams.
result Established a direct connection between overparameterization and simplicity of neural network likelihoods.

Deep Gaussian processes can have non-degenerate and non-Gaussian limits.

problem Understanding the behavior of deep Gaussian processes as depth grows.
method Studying the limit of compositional Gaussian processes where each layer is a Gaussian process.
result Identified a sharp bandwidth threshold above which the limit is degenerate, and proved that for bandwidths below this threshold, the limit is a non-degenerate and non-Gaussian distribution.

We study approximations of non-Gaussian stationary processes having long range correlations with microcanonical models. These models are conditioned by the empirical value of an energy vector, evaluated on a single realization. Asymptotic properties of maximum entropy microcanonical and macrocanonical processes and the…

2018-01-06abs ↗pdf ↗

We propose a stochastic process for stock movements that, with just one source of Brownian noise, has an instantaneous volatility that rises from a type of statistical feedback across many time scales. This results in a stationary non-Gaussian process which captures many features observed in time series of real stock r…

2004-12-20abs ↗pdf ↗

This study tackles Gaussian process regression with summarized data.

problem Learning and inference with summarized data (summary statistics, counts) in spatial modeling.
method Sample quasi-likelihood approach to Gaussian process regression.
result Approximation performance of the method is influenced by data granularity and covariance function length scale.

We tackle the problem of multi-task learning with copula process. Multivariable prediction in spatial and spatial-temporal processes such as natural resource estimation and pollution monitoring have been typically addressed using techniques based on Gaussian processes and co-Kriging. While the Gaussian prior assumption…

2014-06-02abs ↗pdf ↗

Researchers develop a new spatial process model for non-Gaussian data.

problem Non-Gaussian spatial data with asymmetry and heavy-tailedness.
method Re-parameterized Unified Skew-Normal (SUN) distribution, GSUN process, neural Bayes inference with GATs.
result GSUN process captures non-Gaussian spatial data properties and outperforms conventional models.

Method extracts governing laws from non-Gaussian stochastic systems data.

problem Modeling complex dynamics with non-Gaussian Lévy noise.
method Data-driven method to extract stochastic dynamical systems from noisy data.
result Established a theoretical framework and numerical algorithm to compute Lévy jump measure, drift, and diffusion.

New geometric SDEs and discretizations on Riemannian manifolds with error bounds.

problem Modeling diffusion processes on Riemannian manifolds with geometric SDEs.
method Introduced a new construction of geometric SDEs and provided non-asymptotic error bounds.
result First non-asymptotic error bound for geometric Euler-Murayama discretization.

Stein variational gradient descent improves inference in Gaussian process models.

problem Inference in Gaussian process models with non-Gaussian likelihoods and large data volumes is computationally intensive and inaccurate with traditional methods.
method Stein variational gradient descent (SVGD) for non-parametric inference.
result SVGD monotonically decreases the Kullback-Leibler divergence from the sampling distribution to the true posterior.

We revisit the Bayesian online inference problems for the linear dynamic systems (LDS) under non- Gaussian environment. The noises can naturally be non-Gaussian (skewed and/or heavy tailed) or to accommodate spurious observations, noises can be modeled as heavy tailed. However, at the cost of such noise robustness, the…

2015-04-22abs ↗pdf ↗

A2-SBNN models spatial data with copulas for non-Gaussian dependencies.

problem Capturing complex spatial relationships and extreme dependencies in non-Gaussian data.
method Embedding A2 copula into a Bayesian neural network, trained with Wasserstein loss and moment matching.
result A2-SBNN consistently delivers high accuracy across various dependency strengths.

Study on MC dropout in wide neural networks and its convergence to Gaussian processes.

problem Understanding the behavior of Monte Carlo dropout in wide neural networks.
method Rigorously studied the limiting distribution of wide untrained NNs under dropout, proving convergence to Gaussian processes. Investigated correlations and non-Gaussian behavior in finite width NNs.
result Wide untrained neural networks under dropout converge to Gaussian processes for fixed sets of weights and biases.

We propose different schemes for option hedging when asset returns are modeled using a general class of GARCH models. More specifically, we implement local risk minimization and a minimum variance hedge approximation based on an extended Girsanov principle that generalizes Duan's (1995) delta hedge. Since the minimal m…

2012-09-26abs ↗pdf ↗

The paper introduces a new pairs trading model using nonlinear and non-Gaussian state-space models.

problem Developing a robust trading strategy for pairs of assets with non-Gaussian and heteroskedastic innovations.
method A nonlinear and non-Gaussian state-space model for the spread between two assets, with mean reversion modeled as a mean-reverting process.
result The new trading strategy yields significantly higher returns and Sharpe ratios compared to existing methods.

Quantum model captures rare financial events not seen by Gaussian statistics.

problem Underestimation of rare financial events by Gaussian statistics.
method Quantum Bohmian Mechanics applied to multifractal random walk (MRW) models.
result Rare financial events generate a potential barrier in quantum potentials.

Study uses AI to price exotic options with a new Levy process model.

problem Pricing exotic options with a non-Gaussian Levy process model.
method Introduced a new multivariate Levy process model and used a generative AI model to estimate the probability density function.
result Developed a method to price quanto options using a trained generative AI model.

A new method detects outliers using ensembles of Dirichlet process mixtures.

problem Challenges in unsupervised outlier detection using Dirichlet process mixtures.
method Ensembles of Dirichlet process Gaussian mixtures with random subspace and subsampling.
result Empirically outperforms existing approaches in unsupervised outlier detection.