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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.

168,742 papers · 148 categories

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5 results for “QMLE”

Learning in complex action spaces without policy gradientscs.LG

New method QMLE performs well in complex action spaces without policy gradients.

problem Why policy gradients outperform action-value methods in complex action spaces.

method QMLE framework for action-value methods based on three principles.

result QMLE performs comparably to policy gradient methods in complex action spaces.

policy gradients action-value methods complex action spaces Q-learning maximum likelihood estimation

2024-10-08abs ↗pdf ↗

Efficient asymptotic variance reduction when estimating volatility in high frequency dataq-fin.ST

This paper shows how to carry out efficient asymptotic variance reduction when estimating volatility in the presence of stochastic volatility and microstructure noise with the realized kernels (RK) from [Barndorff-Nielsen et al., 2008] and the quasi-maximum likelihood estimator (QMLE) studied in [Xiu, 2010]. To obtain …

2017-01-05abs ↗pdf ↗

One-bit Submission for Locally Private Quasi-MLE: Its Asymptotic Normality and Limitationstat.ML

An efficient LDP protocol for QMLE with improved practicality and theoretical guarantees.

problem Difficult implementation of existing LDP QMLE for large-scale surveys.

method Developed an alternative LDP protocol without long waiting time, high communication cost, and derivative boundedness assumptions.

result Sufficient conditions for consistency and asymptotic normality of the protocol.

Local Differential Privacy Quasi-Maximum Likelihood Estimator Asymptotic Normality Large-scale Surveys Efficient Implementation

2022-02-15abs ↗pdf ↗

Asymptotics for the Generalized Autoregressive Conditional Duration Modelecon.EM

New conditions for ACD model consistency and normality.

problem Random number of durations in ACD model.

method Additional sufficient conditions for consistency and normality of QMLE.

result Finite mean of durations is required for consistency and normality.

ACD model QMLE stationarity ergodicity random durations

2023-07-04abs ↗pdf ↗

Goodness-of-Fit Test for Mismatched Self-Exciting Processesmath.ST

Develops a goodness-of-fit test for self-exciting processes.

problem Quantifying how well generative models capture self-exciting point processes.

method Connects to Quasi-maximum-likelihood estimator (QMLE) theory and develops a non-parametric self-normalizing statistic, the Generalized Score (GS) statistics.

result Validates the proposed GS test's good performance through numerical simulation and real-data experiments.

self-exciting processes generative models goodness-of-fit Quasi-maximum-likelihood estimator non-parametric statistics

2020-06-16abs ↗pdf ↗