On-device research index

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.

169,341 papers · 148 categories

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3 results for “RJMCMC”

Transport Reversible Jump Proposalsstat.CO

Enhances RJMCMC efficiency with non-linear transport-based proposals.

problem Designing efficient RJMCMC proposals for complex models.

method Applies non-linear transport-based approach to construct efficient transdimensional jumps.

result Acceptance probability depends only on model probabilities when exact transports are used.

Reversible jump MCMC Density estimation Normalizing flows Transport-based proposals Efficient sampling

2022-10-22abs ↗pdf ↗

A Quasi-Bayesian Perspective to Online Clusteringstat.ML

New online clustering algorithm tackles dynamic data streams.

problem Theoretical and algorithmic challenges in clustering high-frequency data.

method Quasi-Bayesian approach with dynamic estimation of cluster number.

result Proven minimax regret bounds and RJMCMC-flavored implementation with convergence guarantee.

online clustering dynamic data streams quasi-Bayesian minimax regret RJMCMC

2016-02-01abs ↗pdf ↗

On the modelling of multivariate counts with Cox processes and dependent shot noise intensitiesq-fin.RM

Develops a method to model multivariate count processes with Cox processes and shot noise intensities.

problem Modeling and estimating dependent count processes using granular data.

method Multivariate Cox process with shot noise intensities, connected via Lévy copulas.

result Allows for over-dispersion, auto-correlation, and realistic features in count processes.

Cox process shot noise intensity multivariate count Lévy copula reversible-jump Markov Chain Monte Carlo

2020-04-23abs ↗pdf ↗