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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.

168,657 papers · 148 categories

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255176101 · Jun 202019922001200920172026
48 results for least absolute

Paper proposes robust LAD estimators for 2D sinusoidal model, proving consistency and normality.

problem Estimation of parameters in 2D sinusoidal models with outliers or heavy-tailed noise.
method Least absolute deviation (LAD) estimators for robust parameter estimation.
result Strong consistency and asymptotic normality of LAD estimators for 2D sinusoidal model parameters.

Optimal weight windows are symmetric rectangles centered at peak.

problem Finding the best weight windows for weighted least squares.
method Investigated symmetric and tapered rectangle window weights, showing the best rectangle window is optimal.
result The best rectangle window is optimal for all tapered rectangle window definitions.

Improved robust regression for heavy-tailed and contaminated data.

problem Linear regression with heavy-tailed and adversarially contaminated covariates and responses.
method Applying a filtering algorithm to covariates and then using Huber regression, least trimmed squares, or least absolute deviation estimators on the remaining data.
result Near-optimal error rates achieved for the Huber regression estimator.

The paper studies curves in Finsler-like spaces and their properties.

problem Investigating properties of curves in asymmetric metric spaces induced by Finsler structures.
method Analyzes three types of absolutely continuous curves in Finsler-like spaces and establishes the Lisini structure theorem.
result Characterizes the nature of absolutely continuous curves in terms of dynamical transference plans.

Let G be a connected semisimple Lie group with at least one absolutely simple factor S such that R-rank(S) is at least 2, and let ΓΓ be a uniform lattice in G. (a) If CHCH holds, then ΓΓ has a unique asymptotic cone up to homeomorphism. (b) If CHCH fails, then ΓΓ has 22ω2^{2^ω} asymptotic cones up to homeomorphism.

2003-06-30abs ↗pdf ↗

SpinSVAR estimates SVAR models with sparse input, improving accuracy and scalability.

problem Estimating SVAR models with sparse input assumptions.
method SpinSVAR models input as independent Laplacian variables, enforcing sparsity and using least absolute error regression.
result SpinSVAR outperforms state-of-the-art methods in accuracy and runtime, identifying significant structural shocks.

The study finds dense orbits and absolute period leaves for complex flows.

problem Existence of dense orbits for real Rel flows on holomorphic 1-forms.
method Established a density criterion for mSL(2,R){ m SL}(2,\mathbb{R})-orbit closures, verified using explicit constructions.
result Found dense leaves and examples of absolute period foliation.

Regularized approaches have been successfully applied to linear system identification in recent years. Many of them model unknown impulse responses exploiting the so called Reproducing Kernel Hilbert spaces (RKHSs) that enjoy the notable property of being in one-to-one correspondence with the class of positive semidefi…

2019-09-05abs ↗pdf ↗

Enhances RSCNs with hybrid regularization for nonlinear dynamics.

problem Modeling nonlinear dynamic systems with uncertainties.
method Recurrent stochastic configuration networks with hybrid regularization.
result The method outperforms other models in nonlinear system identification and industrial tasks.

We present reconstruction algorithms for smooth signals with block sparsity from their compressed measurements. We tackle the issue of varying group size via group-sparse least absolute shrinkage selection operator (LASSO) as well as via latent group LASSO regularizations. We achieve smoothness in the signal via fusion…

2013-09-10abs ↗pdf ↗

Let (M,I,J,K)(M,I,J,K) be a hyperkahler manifold, and Z(M,I)Z\subset (M,I) a complex subvariety in (M,I)(M,I). We say that ZZ is trianalytic if it is complex analytic with respect to JJ and KK, and absolutely trianalytic if it is trianalytic with respect to any hyperkähler triple of complex structures (M,I,J,K)(M,I,J',K') containing II

2014-09-03abs ↗pdf ↗

The paper addresses nonconvex penalized LAD estimation in partial linear models using DNNs.

problem Challenges in nonconvex penalized LAD estimation with DNNs in partial linear models.
method Parameterizes nonparametric term with DNNs, formulates penalized LAD problem, introduces proximal subgradient method.
result Establishes consistency, convergence rate, and asymptotic normality of the estimator.

Paper proposes a novel method to improve matrix completion with median loss for large datasets.

problem Matrix completion with absolute deviation loss for large-scale data.
method Proposes a refinement step using pseudo data to improve inefficient estimators of median matrix completion.
result Turns inefficient estimators into a rate (near-)optimal matrix completion procedure.

The least absolute shrinkage and selection operator (lasso) and ridge regression produce usually different estimates although input, loss function and parameterization of the penalty are identical. In this paper we look for ridge and lasso models with identical solution set. It turns out, that the lasso model with shri…

2014-01-10abs ↗pdf ↗

The support vector machine (SVM) is a widely used method for classification. Although many efforts have been devoted to develop efficient solvers, it remains challenging to apply SVM to large-scale problems. A nice property of SVM is that the non-support vectors have no effect on the resulting classifier. Motivated by …

2013-10-25abs ↗pdf ↗

In this paper we prove the propagation of singularities for the wave equation on differential forms with natural (i.e. relative or absolute) boundary conditions on Lorentzian manifolds with corners, which in particular includes a formulation of Maxwell's equations. These results are analogous to those obtained by the a…

2009-06-03abs ↗pdf ↗

Paper presents a novel approach to predict volatility using robust least squares method.

problem Challenges in predicting volatility due to irregularities, high fluctuations, and noise in financial time series.
method Robust least squares method applied in two approaches: with and without least absolute residuals (LAR).
result Robust least squares method with LAR approach yields better results for volatility and its components.

We have applied a Long Short-Term Memory neural network to model S&P 500 volatility, incorporating Google domestic trends as indicators of the public mood and macroeconomic factors. In a held-out test set, our Long Short-Term Memory model gives a mean absolute percentage error of 24.2%, outperforming linear Ridge/Lasso…

2015-12-15abs ↗pdf ↗

We study grassmannians associated with a linear space with a nondegenerate hermitian form. The geometry of these grassmannians allows us to explain the relation between a (pseudo-)riemannian projective geometry and the conformal structure on its ideal boundary (absolute). Such relation encompasses, for instance, the us…

2009-07-26abs ↗pdf ↗

Study compares machine learning algorithms for predicting SST in the Great Barrier Reef.

problem Predicting sea surface temperature in the Great Barrier Reef region.
method Ridge regression, LASSO, Random Forest, and Extreme Gradient Boosting (XGBoost) algorithms were evaluated.
result XGBoost significantly outperforms other algorithms in terms of predictive accuracy and Kullback-Leibler Divergence.

Proposes a new method for estimating sparse precision matrices in GMRF-MM models.

problem Difficulty in learning GMMs with large parameters and limited data.
method Restricts GMM to GMRF-MM, proposes efficient optimization for sparse precision matrices, and debiases the estimates.
result Debiasing approach outperforms GLASSO in single-GMRF and GMRF-MM cases.

We consider the problem of estimating from sample paths the absolute spectral gap γγ_* of a reversible, irreducible and aperiodic Markov chain (Xt)tN(X_t)_{t \in \mathbb{N}} over a finite state space ΩΩ. We propose the UCPI{\tt UCPI} (Upper Confidence Power Iteration) algorithm for this problem, a low-complexity algorithm …

2018-06-15abs ↗pdf ↗

Combines absolute and relative wealth in portfolio optimization with power utility functions.

problem Optimizing portfolios with both absolute and relative wealth considerations.
method Integrates power utility functions for absolute and relative wealth, considering multiple benchmarks.
result Obtains an explicit solution for portfolio optimization combining absolute and relative wealth.

Absolutely partially hyperbolic surface endomorphisms have a coherent center foliation.

problem Understanding the dynamics of absolutely partially hyperbolic surface endomorphisms.
method Showed the existence of a center foliation and leaf conjugacy to the linearization.
result Absolutely partially hyperbolic surface endomorphisms have a dynamically coherent center foliation.

Study fusion methods for financial image views to improve robustness against attacks.

problem Improving robustness of financial image views for next-day direction prediction.
method Same-source multi-view learning with early fusion and late fusion, using OHLCV and technical-indicator views, and evaluating pixel-space L-infinity attacks.
result Early fusion can suffer negative transfer under noisy settings, while late fusion is more reliable once labels stabilize.

Improved covariance matrix forecasting for S&P 500 using factor models and shrinkage.

problem Forecasting large covariance matrices of returns in finance.
method Decompose covariance matrix into firm-level factors and sectoral restrictions. Estimate using VHAR models with LASSO.
result Significantly improved forecasting precision compared to benchmarks.

Forward stagewise regression follows a very simple strategy for constructing a sequence of sparse regression estimates: it starts with all coefficients equal to zero, and iteratively updates the coefficient (by a small amount εε) of the variable that achieves the maximal absolute inner product with the current residua…

2014-08-25abs ↗pdf ↗

Quantile regression is a method to estimate the quantiles of the conditional distribution of a response variable, and as such it permits a much more accurate portrayal of the relationship between the response variable and observed covariates than methods such as Least-squares or Least Absolute Deviations regression. It…

2013-05-01abs ↗pdf ↗