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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.

169,051 papers · 148 categories

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25.0%50.0%75.0%100.0% · Jun 199319922001200920182026
48 results for Varying Time Intervals

Proposes a new RNN model for grouped sequential data with varying time intervals.

problem Implicitly models fixed time intervals between observations and lacks group-level effects.
method Mixed membership framework for RNN, learning group-level base parameter.
result Demonstrates dynamic topic modeling with evolving topic distributions over time.

In modeling multivariate time series, it is important to allow time-varying smoothness in the mean and covariance process. In particular, there may be certain time intervals exhibiting rapid changes and others in which changes are slow. If such time-varying smoothness is not accounted for, one can obtain misleading inf…

2012-10-07abs ↗pdf ↗

Method constructs prediction intervals for time-varying individual treatment effects.

problem Accurately quantify uncertainty of individual treatment effects across multiple decision points.
method Conformal inference techniques for time-varying ITEs with weaker assumptions.
result Guaranteed lower bound for coverage dependent on data non-exchangeability.

A new framework for mining high utility patterns in interval-based sequences.

problem Mining patterns in events that persist over varying time intervals and considering event utility.
method Integrates utility into interval-based sequences and proposes HUIPMiner algorithm with pruning strategy.
result HUIPMiner efficiently finds high utility patterns in real datasets.

New method combines HQR and WACI for better time series prediction intervals.

problem Challenges in creating reliable prediction intervals for time series forecasting.
method Combining Heteroscedastic Quantile Regression (HQR) with Width-Adaptive Conformal Inference (WACI).
result Combined approach meets or surpasses typical benchmarks for validity and efficiency.

Proposes a method for interpreting time-varying causal effect moderation in high-dimensional data.

problem Interpreting causal effect moderation in high-dimensional data with interpretability and avoiding false positives.
method Two-step method: 1) Selects a smaller model for linear causal effect moderation using Gaussian randomization, 2) Conditions on selection to construct a pivot for uniformly asymptotic semi-parametric inference.
result Consistently achieves valid coverage rates and shorter, bounded intervals in time-varying causal effect moderation.

Neural networks estimate time-varying parameters in AR(p) models with different noise types.

problem Forecasting time-dependent parameters in AR(p) processes with varying noise.
method Deep learning for time-varying coefficients, Gaussian and Laplace noise models.
result Simple model with time-varying parameters can effectively forecast complex dynamics.

Prediction intervals are a valuable way of quantifying uncertainty in regression problems. Good prediction intervals should be both correct, containing the actual value between the lower and upper bound at least a target percentage of the time; and tight, having a small mean width of the bounds. Many prior techniques f…

2018-06-28abs ↗pdf ↗

This paper extends the existing literature on empirical estimation of the confidence intervals associated to the Detrended Fluctuation Analysis (DFA). We used Montecarlo simulation to evaluate the confidence intervals. Varying the parameters in DFA technique, we point out the relationship between those and the standard…

2016-02-01abs ↗pdf ↗

The paper proposes a new model for predicting and analyzing economic variables.

problem Predicting and analyzing economic variables in developed regions.
method Time-varying parameter global vector autoregressive (TVP-GVAR) framework combined with machine learning models.
result The proposed model provides high precision out-of-sample predictions and novel insights into economic variable connectedness.

New online conformal prediction methods minimize strongly adaptive regret and achieve near-optimal coverage.

problem Uncertainty quantification in online settings with changing data distributions.
method Developed new online conformal prediction methods that minimize strongly adaptive regret.
result Achieve near-optimal strongly adaptive regret and approximately valid coverage.

Study examines time-varying betas and their volatility in bank interest income and expense margins.

problem Understanding the variability of bank betas and their impact on net interest margins.
method Used state-space methods to estimate time-varying betas and conditional volatility.
result Substantial variation in interest income and expense betas, leading to varying net interest margin coefficients.

New algorithms optimize actions under time-varying constraints without projecting.

problem Optimizing actions under time-varying constraints without projecting.
method Projection-free algorithms using linear optimization oracle.
result Guaranteed ildeO(T3/4) ilde{O}(T^{3/4}) regret and O(T7/8)O(T^{7/8}) constraints violation.

We consider the sequential Bayesian optimization problem with bandit feedback, adopting a formulation that allows for the reward function to vary with time. We model the reward function using a Gaussian process whose evolution obeys a simple Markov model. We introduce two natural extensions of the classical Gaussian pr…

2016-01-25abs ↗pdf ↗

The study improves VaR forecast accuracy by modeling conditional quantile dynamics.

problem Improving the accuracy of Value-at-Risk (VaR) forecasts for time-varying quantiles.
method Time-varying modeling of VaR, evaluation via simulation, asymmetric Mean Absolute Deviation loss function.
result Substantial improvements in forecasting conditional quantiles by maintaining predicted quantile unchanged.

New methods for private statistical inference under local differential privacy.

problem Private statistical inference for population means with bounded observations.
method Nonparametric, nonasymptotic statistical inference using a generalized randomized response mechanism.
result Private confidence intervals and sequences for population means under LDP constraints.

This paper introduces sample-averaged Q-learning for better RL performance.

problem Improving reinforcement learning algorithms by managing uncertainty.
method Integrates statistical inference into Q-learning through sample averaging and functional central limit theorem.
result Establishes a unified theoretical foundation for sample-averaged Q-learning.

New model uses interval-valued CVaR for better risk assessment in finance.

problem Measuring tail risk in rapidly changing financial markets.
method Employing random intervals to describe asset returns and using ICVaR as a risk measure.
result Optimal portfolio selection models show better risk assessment in real data.

The study tackles rough noise in high-frequency financial data using fractional Brownian motion.

problem Impediments to analyzing high-frequency financial data due to noise.
method Assuming an efficient price process as a continuous Itô semimartingale, the study derives consistent estimators and confidence intervals for roughness parameters and volatilities.
result The rough noise model explains divergence rates in volatility signature plots over time and between assets.

Combines prediction intervals from multiple non-disclosed sources.

problem Creating valid prediction intervals from multiple non-disclosed data sources.
method Train a conformal predictor on each data source independently and combine intervals.
result Produces valid prediction intervals with improved efficiency.

Most of the existing methods for sparse signal recovery assume a static system: the unknown signal is a finite-length vector for which a fixed set of linear measurements and a sparse representation basis are available and an L1-norm minimization program is solved for the reconstruction. However, the same representation…

2013-06-14abs ↗pdf ↗

New method for estimating spatial associations with discrete data, even under model misspecification.

problem Estimating associations between covariates and discrete responses with spatial variability and nonrandom sampling.
method Proposes a novel approach to handle spatially varying noise, provides a proof of consistency, and uses a delta method argument.
result Empirically shows reliable confidence intervals compared to standard methods, even with model misspecification.

This paper reviews methods for constructing confidence intervals for error rates in 1:1 matching tasks.

problem Challenges in assessing uncertainty of error rates in matching algorithms, especially when data are dependent and error rates are low.
method Derives and examines statistical properties of methods for constructing confidence intervals for error rates in 1:1 matching tasks.
result Coverage and interval width vary with sample size, error rates, and data dependence.

Paper introduces a new method for classifying interval-valued time series.

problem Classification of interval-valued time series.
method Extends point-valued time series imaging methods to interval-valued scenarios using DKD_K-distance and employs deep learning for classification.
result Proposed method achieves superior classification performance compared to existing methods.

FAQ efficiently evaluates LLMs with statistical guarantees using adaptive query selection.

problem Efficiently evaluating many LLMs on a large suite of benchmarks is expensive.
method FAQ uses Bayesian factor models, adaptive sampling, and proactive active inference to select queries.
result FAQ delivers up to 5x effective sample size gains over baselines, matching CI width with fewer queries.

Algorithm finds significant sub-interval relationships in time series data.

problem Finding meaningful interactions in small sub-intervals of time series data.
method Fast-optimal guaranteed algorithm for sub-interval relationships (SIR).
result Algorithm identifies SIR relationships that are prominent in specific sub-intervals.

Many real-world applications require robust algorithms to learn point processes based on a type of incomplete data --- the so-called short doubly-censored (SDC) event sequences. We study this critical problem of quantitative asynchronous event sequence analysis under the framework of Hawkes processes by leveraging the …

2017-02-22abs ↗pdf ↗

BCI provides calibrated prediction intervals for time series forecasts.

problem Calibration of prediction intervals for time series forecasts.
method BCI wraps around any time series forecasting models and optimizes interval lengths using dynamic programming.
result BCI achieves long-term coverage under arbitrary distribution shifts and temporal dependence.

In this paper, we describe a newly discovered statistical property of time series data for daily price changes. We conducted quantitative investigation of the {\it calm-time intervals} of price changes for 800 companies listed in the Tokyo Stock Exchange, and for the Nikkei 225 index over a 27-year period from January …

2003-12-21abs ↗pdf ↗

Paper proposes new method for time series confidence intervals using LSTM.

problem Constructing accurate confidence intervals for multivariate time series.
method Uses Long Short Term Memory Network (LSTM) and novel block bootstrap techniques.
result Demonstrates improved accuracy in constructing confidence intervals.

LCMQR improves prediction intervals by adapting to local heteroscedasticity.

problem Efficient and adaptive prediction intervals for local heteroscedasticity.
method LCMQR combines multi-quantile information with kernel-based localization.
result LCMQR constructs tighter intervals than prior methods, especially in heterogeneous environments.

The distribution of recurrence times or return intervals between extreme events is important to characterize and understand the behavior of physical systems and phenomena in many disciplines. It is well known that many physical processes in nature and society display long range correlations. Hence, in the last few year…

2008-03-12abs ↗pdf ↗

We present new methods for batch anomaly detection in multivariate time series. Our methods are based on maximizing the Kullback-Leibler divergence between the data distribution within and outside an interval of the time series. An empirical analysis shows the benefits of our algorithms compared to methods that treat e…

2016-10-21abs ↗pdf ↗