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.
The paper analyzes how the one-dimensional Wasserstein distance captures pointwise density differences in finite samples.
We address the problem of estimating the difference between two probability densities. A naive approach is a two-step procedure of first estimating two densities separately and then computing their difference. However, such a two-step procedure does not necessarily work well because the first step is performed without …
We propose a \textbf{uni}fied \textbf{f}ramework for \textbf{i}mplicit \textbf{ge}nerative \textbf{m}odeling (UnifiGem) with theoretical guarantees by integrating approaches from optimal transport, numerical ODE, density-ratio (density-difference) estimation and deep neural networks. First, the problem of implicit gene…
dtSNE preserves local densities in low-dimensional embeddings.
The paper analyzes kNN density estimation's convergence rates under different conditions.
Density-based spatial clustering of applications with noise (DBSCAN) is a data clustering algorithm which has the high-performance rate for dataset where clusters have the constant density of data points. One of the significant attributes of this algorithm is noise cancellation. However, DBSCAN demonstrates reduced per…
Adaptive multi-stage density ratio estimation improves learning of latent space EBM.
EBM life cycle project improves MCMC for image generation, defense, and density modeling.
BMTI method estimates densities without bins, outperforming traditional estimators.
Method uses normalizing flows to efficiently sample from complex target densities.
Given a nonlinear model, a probabilistic forecast may be obtained by Monte Carlo simulations. At a given forecast horizon, Monte Carlo simulations yield sets of discrete forecasts, which can be converted to density forecasts. The resulting density forecasts will inevitably be downgraded by model mis-specification. In o…
We build on the work in Fackler and King 1990, and propose a more general calibration model for implied risk neutral densities. Our model allows for the joint calibration of a set of densities at different maturities and dates through a Bayesian dynamic Beta Markov Random Field. Our approach allows for possible time de…
Paper proposes MMC to avoid high-density bias in clustering.
Kernel ridge regression is used to approximate the kinetic energy of non-interacting fermions in a one-dimensional box as a functional of their density. The properties of different kernels and methods of cross-validation are explored, and highly accurate energies are achieved. Accurate {\em constrained optimal densitie…
In this paper, we are concerned with the problem of creating flattening maps of simply-connected open surfaces in . Using a natural principle of density diffusion in physics, we propose an effective algorithm for computing density-equalizing flattening maps with any prescribed density distribution. By var…
Quantum method improves neural density estimation in high dimensions.
The leverage effect refers to the well-established relationship between returns and volatility. When returns fall, volatility increases. We examine the role of the leverage effect with regards to generating density forecasts of equity returns using well-known observation and parameter-driven volatility models. These mo…
Density-based clustering is the task of discovering high-density regions of entities (clusters) that are separated from each other by contiguous regions of low-density. DBSCAN is, arguably, the most popular density-based clustering algorithm. However, its cluster recovery capabilities depend on the combination of the t…
The paper provides consistency results for KDE on manifolds with irregular kernels.
TRE improves density-ratio estimation for highly dissimilar densities.
New method for estimating diffusion model densities without solving flows.
Differential conservation laws in Lagrangian field theory are usually related to symmetries of a Lagrangian density and are obtained if the Lie derivative of a Lagrangian density by a certain class of vector fields on a fiber bundle vanishes. However, only two field models meet this property in fact. In gauge theory of…
Derives continuum model from discrete -graphs with connectivity functional.
Unified framework for robust, stable, and efficient density ratio estimation.
EagleEye detects localized density anomalies in multivariate data.
We perform a parallel analysis of the spectral density of (i) the logarithm of price and (ii) the daily number of trades of a set of stocks traded in the New York Stock Exchange. The stocks are selected to be representative of a wide range of stock capitalization. The observed spectral densities show a different power-…
The two most extended density-based approaches to clustering are surely mixture model clustering and modal clustering. In the mixture model approach, the density is represented as a mixture and clusters are associated to the different mixture components. In modal clustering, clusters are understood as regions of high d…
An image pattern can be represented by a probability distribution whose density is concentrated on different low-dimensional subspaces in the high-dimensional image space. Such probability densities have an astronomical number of local modes corresponding to typical pattern appearances. Related groups of modes can join…
Featurization improves density ratio estimation for complex data.
Proposes log density gradient to improve reinforcement learning sample complexity.
We give a lower and an upper bound for the conformal dimension of the boundaries of certain small cancellation groups. We apply these bounds to the few relator and density models for random groups. This gives generic bounds of the following form, where is the relator length, going to infinity. (a) $1 + 1/C < \Cdim(…
Survey of Monte Carlo methods for noisy, costly densities in reinforcement learning and ABC.
Develops spherical density-equalizing maps for closed surfaces.
Combines coarse learners for nonparametric probabilistic regression.
In this paper, we analyzed the physical meaning of scalar curvatures for a generalized Riemannian space. It is developed the Madsen's formulae for pressures and energy-densities with respect to the corresponding energy-momentum tensors. After that, the energy-momentum tensors, pressures, energy-densities and state-para…
Unified framework for OOD detection using class ratio estimation.
A new clustering algorithm reduces density peaks clustering's computational complexity.
Triangular map is a recent construct in probability theory that allows one to transform any source probability density function to any target density function. Based on triangular maps, we propose a general framework for high-dimensional density estimation, by specifying one-dimensional transformations (equivalently co…
DRCD identifies causal direction between continuous and discrete variables using density ratio monotonicity.
This paper proposes a new method for automatically selecting the optimal kernel bandwidth in density estimation.
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…
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.…
We investigate the position of the Buchen-Kelly density in a family of entropy maximising densities which all match European call option prices for a given maturity observed in the market. Using the Legendre transform which links the entropy function and the cumulant generating function, we show that it is both the uni…
DADApy analyzes high-dimensional data manifolds in Python.
Adaptive kernel density estimation improves accuracy in high dimensions.
Intra-day price spreads are of interest to electricity traders, storage and electric vehicle operators. This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast the German electricity price spreads between different hours of the day, as revealed in the day-…
SPQR package uses neural networks for flexible quantile regression.
As one type of efficient unsupervised learning methods, clustering algorithms have been widely used in data mining and knowledge discovery with noticeable advantages. However, clustering algorithms based on density peak have limited clustering effect on data with varying density distribution (VDD), equilibrium distribu…