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…
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48 results for “effective density”
Estimates causal effects using neural autoregressive density estimators.
problem Estimating causal effects in non-linear systems.
method Neural autoregressive density estimators within Pearl's do-calculus framework.
result Retrieves causal effects from non-linear systems without explicit modeling.
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…
This study optimizes covariate density and propensity score for efficient ATE estimation.
problem Efficiently estimating average treatment effects (ATEs) with minimal variance.
method Adaptive experiment optimizing both covariate density and propensity score.
result Proposed method minimizes the semiparametric efficiency bound for ATE estimation.
This paper presents a simple but effective density-based outlier detection approach with the local kernel density estimation (KDE). A Relative Density-based Outlier Score (RDOS) is introduced to measure the local outlierness of objects, in which the density distribution at the location of an object is estimated with a …
New method narrows prediction intervals for individual treatment effects.
problem Insufficiently conservative prediction intervals for individual treatment effects.
method Conformal inference using conditional density estimates.
result Narrower prediction intervals compared to existing methods.
Polynomial density theorem for specific subgroup orbits in quotient spaces.
problem Effective density of orbits in arithmetic quotients of and .
method Use of Margulis function, incidence geometry tools, and spectral gap of ambient space.
result Proved effective density theorems with polynomial error rate.
Proves a limit on hyperplanes in complex manifolds.
problem Limiting the number of hyperplanes in complex manifolds.
method Effective density theorem for periodic orbits, Margulis functions, restricted projection theorem, equidistribution result.
result Proves a quantitative finiteness theorem for hyperplanes.
Learnable Kernel Density Estimation for Graphs and Its Application to Graph-Level Anomaly Detectioncs.LG
LGKDE learns graph density using neural networks and perturbations.
problem Graph density estimation challenges in capturing structural patterns and semantic variations.
method LGKDE uses graph neural networks to represent graphs as discrete distributions and learns graph metrics via maximum mean discrepancy.
result LGKDE outperforms state-of-the-art baselines in graph anomaly detection.
Riesz regression connects to density ratio estimation for causal inference.
problem Estimating average treatment effects in causal inference.
method Riesz regression as a signed density ratio and least-squares importance fitting.
result Riesz regression and DRE are equivalent, allowing transfer of DRE results.
Meta-learning improves relative density-ratio estimation from limited data.
problem Estimating relative density-ratios from few instances.
method Meta-learning using neural networks to extract and embed dataset information for relative DRE.
result Meta-learning enables efficient and effective adaptation to few instances for relative DRE.
Non-parametric estimation of a multivariate density estimation is tackled via a method which combines traditional local smoothing with a form of global smoothing but without imposing a rigid structure. Simulation work delivers encouraging indications on the effectiveness of the method. An application to density-based c…
SPQR package uses neural networks for flexible quantile regression.
problem Flexible modeling of non-linear relationships in quantile regression.
method Monotonic splines and neural networks for density estimation; model-agnostic covariate effects.
result Allows for non-linear and quantile-specific effects.
Bayesian inference engines improve density estimation accuracy and scalability.
problem Constructing accurate and scalable probability density functions.
method Bayesian inference engines (no-U-turn sampling and expectation propagation) with binning strategy.
result Density estimates have excellent comparative performance and scale well to large sample sizes.
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…
ADDA-KR uses KRnets for solving high-dimensional Fokker-Planck equations.
problem High-dimensional, unbounded Fokker-Planck equations.
method KRnet for density approximation, adaptive sampling for stochastic collocation.
result ADDA-KR efficiently approximates high-dimensional density functions.
Deconvoluting Kernel Density Estimation and Regression for Locally Differentially Private Datamath.ST
Paper tackles privacy-preserving data density issues using deconvolution.
problem Privacy-preserving noise affects data density, leading to under/over-estimation.
method Develops deconvoluting kernel density estimators and regression models.
result Demonstrates improved accuracy in estimating heavy-hitters with locally differential data.
New method approximates high-dimensional probability densities efficiently.
problem Approximating high-dimensional probability densities accurately and efficiently.
method Hierarchical tensor-network approach using randomized SVD and linear equations.
result The method effectively approximates high-dimensional densities with linear complexity.
Paper proposes MMC to avoid high-density bias in clustering.
problem High-density bias in density-based clustering.
method Introduces mass distribution as a better foundation for clustering, proposing mass-maximization clustering (MMC).
result MMC avoids high-density bias and discovers clusters of arbitrary shapes, sizes, and densities.
Optimal transport framework for density estimation with constraints.
problem Density estimation under expectation constraints.
method Minimizes Wasserstein distance subject to expected value constraints and regularization.
result Framework effectively addresses non-smooth constraints through annealing-like algorithm.
Most density-based clustering methods largely rely on how well the underlying density is estimated. However, density estimation itself is also a challenging problem, especially the determination of the kernel bandwidth. A large bandwidth could lead to the over-smoothed density estimation in which the number of density …
Comparing counterfactual distributions can provide more nuanced and valuable measures for causal effects, going beyond typical summary statistics such as averages. In this work, we consider characterizing causal effects via distributional distances, focusing on two kinds of target parameters. The first is the counterfa…
By representing words with probability densities rather than point vectors, probabilistic word embeddings can capture rich and interpretable semantic information and uncertainty. The uncertainty information can be particularly meaningful in capturing entailment relationships -- whereby general words such as "entity" co…
Nanowire field-effect sensors have recently been developed for label-free detection of biomolecules. In this work, we introduce a computational technique based on Bayesian estimation to determine the physical parameters of the sensor and, more importantly, the properties of the analyte molecules. To that end, we first …
Study on evolving interfaces with complex curvature and density effects.
problem Understanding the dynamics of evolving heterogeneous elastic interfaces.
method Modeling an evolving curve with a density function, analyzing the associated gradient flow evolution.
result Analysis of the preservation and asymptotic behavior of geometric properties in the evolving system.
We formulate and analyze an inverse problem using derivatives prices to obtain an implied filtering density on volatility's hidden state. Stochastic volatility is the unobserved state in a hidden Markov model (HMM) and can be tracked using Bayesian filtering. However, derivative data can be considered as conditional ex…
In this work, we propose new objective functions to train deep neural network based density ratio estimators and apply it to a change point detection problem. Existing methods use linear combinations of kernels to approximate the density ratio function by solving a convex constrained minimization problem. Approximating…
This work improves imitation learning and goal-conditioned RL by estimating value densities.
problem Effective solutions for imitation and goal-conditioned reinforcement learning require reliably reaching specified states or demonstrations.
method The approach uses recent advances in density estimation to learn value functions efficiently and without hindsight bias.
result The method achieves state-of-the-art demonstration sample-efficiency in imitation learning and is both efficient and bias-free in goal-conditioned reinforcement learning.
Efficient Subsampling of Realistic Images From GANs Conditional on a Class or a Continuous Variablecs.CV
This work introduces an efficient method to sample high-quality images from conditional GANs.
problem Efficient subsampling of images from conditional GANs (cGANs) is challenging.
method Developed a novel conditional density ratio estimation method (cDRE-F-cSP) and rejection sampling scheme (cDR-RS).
result cDR-RS outperforms state-of-the-art methods in both effectiveness and efficiency.
Develops spherical density-equalizing maps for closed surfaces.
problem Lack of methods for genus-0 closed surfaces.
method Conformal parameterization onto unit sphere, density equalization, quasi-conformal theory, harmonic energy, landmark constraints.
result Landmark-aligned spherical density-equalizing maps balancing different distortion measures.
Data-Efficient Non-Gaussian Semi-Nonparametric Density Estimation for Nonlinear Dynamical Systemsmath.OC
This paper presents a method for efficient density estimation in nonlinear systems.
problem Accurate representation of non-Gaussian distributions in nonlinear dynamical systems is challenging.
method Uses Seminonparametric (SNP) densities with probabilists' Hermite polynomial basis and Monte Carlo approximation for maximum likelihood estimation.
result Demonstrates that the method can accurately capture non-Gaussian density structure and compute quantiles using fewer samples than raw Monte Carlo.
Unified framework for OOD detection using class ratio estimation.
problem Density-based OOD detection is unreliable for OOD images.
method Unified framework that builds energy-based models and employs differing base distributions, directly estimating the density ratio through class ratio estimation.
result Competitive results on OOD image problems compared to recent work.
Graph Mixture Density Networks model multimodal data on graphs.
problem Challenging conditional density estimation problems with structured data.
method Combining mixture models and graph representation learning.
result Significant improvement in likelihood of epidemic outcomes.
Expands causal clustering framework with hierarchical and density-based methods.
problem Identifying heterogeneous treatment effects in unknown subgroup structure.
method Integrates hierarchical and density-based clustering algorithms into causal k-means clustering.
result Plug-in estimators for causal clustering are simple and readily implementable.
We propose a supervised anomaly detection method based on neural density estimators, where the negative log likelihood is used for the anomaly score. Density estimators have been widely used for unsupervised anomaly detection. By the recent advance of deep learning, the density estimation performance has been greatly i…
One of the popular measures of central tendency that provides better representation and interesting insights of the data compared to the other measures like mean and median is the metric mode. If the analytical form of the density function is known, mode is an argument of the maximum value of the density function and o…
Paper tackles unbounded density ratio estimation for covariate shift adaptation.
problem Understudied challenge in statistical learning: unbounded density ratios.
method Three-step estimation method: relative density ratio, truncation, and transformation.
result Established rigorous convergence guarantees for density ratio and regression estimators.
This paper tackles continuous covariate shift by adaptively training predictors.
problem Continuous covariate shift where input distributions change over time.
method Online density ratio estimation method to adaptively train predictors.
result Excess risk guarantee for the predictor through dynamic regret bound.
Paper develops estimators for unbounded density ratios with applications in error control.
problem Estimating density ratios with unbounded domains and ranges.
method Least squares and logistic regression loss functions for density ratio estimation.
result Established upper bounds on estimation errors with optimal rates for unbounded density ratios.
EM optimizes tensor density estimation by relaxing -divergence to KL-divergence.
problem Analytical challenges in traditional -divergence optimization for tensor-based density estimation.
method EM algorithm: relaxes optimization to KL-divergence, then applies tensor many-body approximation.
result Flexible modeling of various low-rank structures and their mixtures.
t-NEB clusters high-dimensional data hierarchically with density paths.
problem Hierarchical clustering struggles with high-dimensional data.
method t-NEB uses density estimation, maximum density paths, and probabilistic merging.
result t-NEB yields state-of-the-art clustering performance on high-dimensional data.
CDF Transform-and-Shift: An effective way to deal with datasets of inhomogeneous cluster densitiescs.LG
The problem of inhomogeneous cluster densities has been a long-standing issue for distance-based and density-based algorithms in clustering and anomaly detection. These algorithms implicitly assume that all clusters have approximately the same density. As a result, they often exhibit a bias towards dense clusters in th…
Adaptive multi-stage density ratio estimation improves learning of latent space EBM.
problem Learning energy-based models in latent space is computationally expensive and challenging.
method Adaptive multi-stage density ratio estimation using NCE to bridge the gap between prior and posterior densities.
result The method enables more expressive prior models and sharpens the latent space EBM.
DPSM clusters nodes in data and graph spaces via density propagation and subcluster merging.
problem Automatic clustering of nodes in data and graph spaces.
method Density-based node clustering with propagation process and spectral clustering on subclusters.
result DPSM effectively clusters nodes in both data and graph spaces.
We propose a method to infer causal structures containing both discrete and continuous variables. The idea is to select causal hypotheses for which the conditional density of every variable, given its causes, becomes smooth. We define a family of smooth densities and conditional densities by second order exponential mo…
FNFs model parameter-dependent densities by combining a fixed flow with a polynomial parameter-dependent transformation.
problem Learning a separate flow for every parameter configuration is intractable.
method Factorizable Normalizing Flows (FNFs) represent the parameter-dependent density as a fixed flow for a reference configuration and a learnable polynomial transformation factorized over parameters.
result FNFs enable the recovery of the combined effect of multiple parameters without sampling their joint space, providing a scalable and interpretable solution.
NeuroPMD estimates densities on complex product manifolds.
problem Density estimation on high-dimensional product manifolds.
method Neural network directly parameterizes density, trained with manifold differential operators.
result NeuroPMD outperforms traditional methods in density estimation.
Adaptive kernel density estimation improves accuracy in high dimensions.
problem Challenges in high-dimensional density estimation with traditional methods.
method Pre-training a neural network to recommend location-adaptive kernels.
result Effective density estimation in high dimensions with improved accuracy.