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.
MCD reformulates conditional density estimation into binary classification.
Partition Tree estimates conditional densities for mixed continuous and categorical variables.
Paper proposes a new method for estimating conditional densities using logistic regressions.
We introduce a novel conditional density estimation model termed the conditional density operator (CDO). It naturally captures multivariate, multimodal output densities and shows performance that is competitive with recent neural conditional density models and Gaussian processes. The proposed model is based on a novel …
The probability density function for the visible sector of a Riemann-Theta Boltzmann machine can be taken conditional on a subset of the visible units. We derive that the corresponding conditional density function is given by a reparameterization of the Riemann-Theta Boltzmann machine modelling the original probability…
Transforms conditional density estimation into a nonparametric regression problem.
Defines hierarchical clustering axioms for various densities.
Posterior Matching enables VAEs to model arbitrary conditional densities.
Graph Mixture Density Networks model multimodal data on graphs.
FlexCodeTS is a flexible time series density estimator.
We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the price process is driven by Brownian motion, an associated "master equation" for the dynam…
MDMA provides closed-form marginals and conditionals for deep networks.
Conditional density estimation is a general framework for solving various problems in machine learning. Among existing methods, non-parametric and/or kernel-based methods are often difficult to use on large datasets, while methods based on neural networks usually make restrictive parametric assumptions on the probabili…
Conditional density estimation generalizes regression by modeling a full density f(yjx) rather than only the expected value E(yjx). This is important for many tasks, including handling multi-modality and generating prediction intervals. Though fundamental and widely applicable, nonparametric conditional density estimat…
Two new tests assess how well conditional models fit data.
Paper develops estimators for unbounded density ratios with applications in error control.
Modeling complex conditional distributions is critical in a variety of settings. Despite a long tradition of research into conditional density estimation, current methods employ either simple parametric forms or are difficult to learn in practice. This paper employs normalising flows as a flexible likelihood model and …
New method uses geometric properties for better density estimation.
There is a growing demand for nonparametric conditional density estimators (CDEs) in fields such as astronomy and economics. In astronomy, for example, one can dramatically improve estimates of the parameters that dictate the evolution of the Universe by working with full conditional densities instead of regression (i.…
Proves density and mass theorems for specific initial data sets.
GGMPs improve non-Gaussian conditional density estimation.
DRCD identifies causal direction between continuous and discrete variables using density ratio monotonicity.
The ratio of two probability densities can be used for solving various machine learning tasks such as covariate shift adaptation (importance sampling), outlier detection (likelihood-ratio test), and feature selection (mutual information). Recently, several methods of directly estimating the density ratio have been deve…
Current meta-learning approaches focus on learning functional representations of relationships between variables, i.e. on estimating conditional expectations in regression. In many applications, however, we are faced with conditional distributions which cannot be meaningfully summarized using expectation only (due to e…
Generative model for tabular data density regression.
Given a set of empirical observations, conditional density estimation aims to capture the statistical relationship between a conditional variable and a dependent variable by modeling their conditional probability . The paper develops best practices for conditional den…
Conditional Density Estimation (CDE) models deal with estimating conditional distributions. The conditions imposed on the distribution are the inputs of the model. CDE is a challenging task as there is a fundamental trade-off between model complexity, representational capacity and overfitting. In this work, we propose …
COS method convergence conditions expanded for heavy-tailed distributions.
Tabular foundation models outperform other methods in conditional density estimation across various datasets.
Proposes a method for approximating transition densities of SDEs driven by gamma processes.
Kernel Density Machines learn probability densities without structural assumptions.
Learning a distribution conditional on a set of discrete-valued features is a commonly encountered task. This becomes more challenging with a high-dimensional feature set when there is the possibility of interaction between the features. In addition, many frequently applied techniques consider only prediction of the me…
The paper establishes conditions for Bayesian consistency in supremum metric.
Estimates tree-based density from random vectors.
New tractable density models from squaring neural networks.
The paper tackles video prediction by estimating conditional densities implicitly.
Regression aims at estimating the conditional mean of output given input. However, regression is not informative enough if the conditional density is multimodal, heteroscedastic, and asymmetric. In such a case, estimating the conditional density itself is preferable, but conditional density estimation (CDE) is challeng…
This work improves imitation learning and goal-conditioned RL by estimating value densities.
Combines coarse learners for nonparametric probabilistic regression.
SLS optimizes minimum-volume regions for conditional quantiles, bypassing density estimation.
New method narrows prediction intervals for individual treatment effects.
DDN models flexible free-form conditional distributions.
We introduce a new framework for training deep generative models for high-dimensional conditional density estimation. The Bottleneck Conditional Density Estimator (BCDE) is a variant of the conditional variational autoencoder (CVAE) that employs layer(s) of stochastic variables as the bottleneck between the input a…
Joint distributions over many variables are frequently modeled by decomposing them into products of simpler, lower-dimensional conditional distributions, such as in sparsely connected Bayesian networks. However, automatically learning such models can be very computationally expensive when there are many datapoints and …
WDL models density curves using Wasserstein distance and flexible mixture models.
Personalized medicine seeks to identify the causal effect of treatment for a particular patient as opposed to a clinical population at large. Most investigators estimate such personalized treatment effects by regressing the outcome of a randomized clinical trial (RCT) on patient covariates. The realized value of the ou…
This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast electricity price spreads between different hours of the day. This supports an optimal day ahead storage and discharge schedule, and thereby facilitates a bidding strategy for a merchant arbitrage fac…
We study the isoperimetric problem for Euclidean space endowed with a continuous density. In dimension one, we characterize isoperimetric regions for a unimodal density. In higher dimensions, we prove existence results and we derive stability conditions, which lead to the conjecture that for a radial log-convex density…