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.
MPT improves CNN and energy-based models' OOD detection and generalization.
We assume that an individual invests in a financial market with one riskless and one risky asset, with the latter's price following geometric Brownian motion as in the Black-Scholes model. Under a constant rate of consumption, we find the optimal investment strategy for the individual who wishes to minimize the probabi…
Proposes a guaranteed regularization method for maximum likelihood estimation using gauge symmetry in Kullback-Leibler divergence.
The paper reinterprets Bayesian priors and posteriors using Riemannian manifolds.
We present a novel synthesis of Fisher information and asset pricing theory that yields a practical method for reconstructing the probability density implicit in security prices. The Fisher information approach to these inverse problems transforms the search for a probability density into the solution of a differential…
MAXENT method outperforms ML in sparse data with specific prior correlations.
MEP-Net uses MEP to generate solutions from limited data.
New algorithms minimize MMD to approximate probability measures efficiently.
The need to estimate smooth probability distributions (a.k.a. probability densities) from finite sampled data is ubiquitous in science. Many approaches to this problem have been described, but none is yet regarded as providing a definitive solution. Maximum entropy estimation and Bayesian field theory are two such appr…
Unified view of KL-divergence and IPMs via DRE, with new DRM metrics.
We give polynomial-time algorithms for the exact computation of lowest-energy (ground) states, worst margin violators, log partition functions, and marginal edge probabilities in certain binary undirected graphical models. Our approach provides an interesting alternative to the well-known graph cut paradigm in that it …
The paper shows how MMD metrizes weak convergence for certain kernels.
Label shift refers to the phenomenon where the prior class probability p(y) changes between the training and test distributions, while the conditional probability p(x|y) stays fixed. Label shift arises in settings like medical diagnosis, where a classifier trained to predict disease given symptoms must be adapted to sc…
Maximizing withdrawal success in a pooled annuity fund with multiple annuitants.
New method estimates Schrödinger bridges using ML techniques.
The paper proposes a new probability distribution for rooted trees.
New causal versions of MaxEnt and PIR avoid paradoxical probability updates.
Paper uses stats to predict treatment choice based on illness probability.
Improves A/B testing by detecting minor treatment effects.
Reduces quantifier variance with accuracy optimization of base classifier.
Paper develops MRCs for supervised classification using generalized maximum entropy.
We consider the smoothing probabilities of hidden Markov model (HMM). We show that under fairly general conditions for HMM, the exponential forgetting still holds, and the smoothing probabilities can be well approximated with the ones of double sided HMM. This makes it possible to use ergodic theorems. As an applicatio…
We characterize the asymptotic performance of nonparametric goodness of fit testing. The exponential decay rate of the type-II error probability is used as the asymptotic performance metric, and a test is optimal if it achieves the maximum rate subject to a constant level constraint on the type-I error probability. We …
Researchers use Gaussian processes to approximate Lagrange multipliers for Maximum-Entropy distributions.
The problem of determining the joint probability distributions for correlated random variables with pre-specified marginals is considered. When the joint distribution satisfying all the required conditions is not unique, the "most unbiased" choice corresponds to the distribution of maximum entropy. The calculation of t…
New method identifies common cause in causal insufficiency, revealing complex phase transitions.
We present a continuous-time maximum likelihood estimation methodology for credit rating transition probabilities, taking into account the presence of censored data. We perform rolling estimates of the transition matrices with exponential time weighting with varying horizons and discuss the underlying dynamics of trans…
Accelerates MMLE using SVGD with Nesterov acceleration.
We present a theoretical framework of probabilistic learning derived by Maximum Probability (MP) Theorem shown in the current paper. In this probabilistic framework, a model is defined as an event in the probability space, and a model or the associated event -- either the true underlying model or the parameterized mode…
Within the framework of the cumulative prospective theory of Kahneman and Tversky, this paper considers a continuous-time behavioral portfolio selection problem whose model includes both running and terminal terms in the objective functional. Despite the existence of S-shaped utility functions and probability distortio…
The maximum entropy principle can be used to assign utility values when only partial information is available about the decision maker's preferences. In order to obtain such utility values it is necessary to establish an analogy between probability and utility through the notion of a utility density function. According…
Study on convergence of exponential probability measures with applications to maximum entropy models and SGLD.
Maximum mean discrepancy (MMD) has been widely adopted in domain adaptation to measure the discrepancy between the source and target domain distributions. Many existing domain adaptation approaches are based on the joint MMD, which is computed as the (weighted) sum of the marginal distribution discrepancy and the condi…
Deep neural networks can approximate any target probability distribution given certain conditions.
In the world of modern financial theory, portfolio construction has traditionally operated under at least one of two central assumptions: the constraints are derived from a utility function and/or the multivariate probability distribution of the underlying asset returns is fully known. In practice, both the performance…
Optimizes portfolios with utility theory, diversification, and leverage.
New method for sequential probability assignment reduces regret using contextual Shtarkov sums.
We construct a Wasserstein gradient flow of the maximum mean discrepancy (MMD) and study its convergence properties. The MMD is an integral probability metric defined for a reproducing kernel Hilbert space (RKHS), and serves as a metric on probability measures for a sufficiently rich RKHS. We obtain conditions for conv…
Paper introduces a novel method for estimating model confidence in deep neural classifiers.
This paper optimizes Bayesian acquisition functions in Gaussian Processes for better optimization.
We consider discrete default intensity based and logit type reduced form models for conditional default probabilities for corporate loans where we develop simple closed form approximations to the maximum likelihood estimator (MLE) when the underlying covariates follow a stationary Gaussian process. In a practically rea…
The relaxed maximum entropy problem is concerned with finding a probability distribution on a finite set that minimizes the relative entropy to a given prior distribution, while satisfying relaxed max-norm constraints with respect to a third observed multinomial distribution. We study the entire relaxation path for thi…
This paper rigorously establishes that the existence of the maximum likelihood estimate (MLE) in high-dimensional logistic regression models with Gaussian covariates undergoes a sharp `phase transition'. We introduce an explicit boundary curve , parameterized by two scalars measuring the overall magnitu…
New method tightens bounds on causation probabilities using independent datasets.
Study generalizes property elicitation to imprecise probabilities.
We study the connections between spectral clustering and the problems of maximum margin clustering, and estimation of the components of level sets of a density function. Specifically, we obtain bounds on the eigenvectors of graph Laplacian matrices in terms of the between cluster separation, and within cluster connecti…
Convex optimization method infers latent structure in random dot product graphs.
Optimal insurance minimizes ruin probability with non-decreasing functions.