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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.

168,742 papers · 148 categories

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306090120 · May 202619922001200920172026
48 results for mixed moments

Study on Gaussian ensemble of matrix products with mixed moments computed.

problem Understanding the statistical properties of matrix products of Gaussian matrices.
method Analysis of a multi-Wishart ensemble and enumeration of non-crossing pairings.
result Mixed moments of the product matrix are computed and found to be weighted by Fuss-Catalan numbers at large NN.

The paper examines higher moments in insurance, focusing on coskewness and its impact on actuarial quantities.

problem The impact of higher-order moments on actuarial applications, particularly expected shortfall and life annuity valuation.
method Derives analytical bounds for mixed moments under unspecified dependence structure, applies copula-based mixture model.
result Coskewness and odd-order mixed moments exhibit a monotonic relationship with expected shortfall and annuity premiums.

MOMENT selects and estimates mixed-effects models using moment identities.

problem Selecting and estimating random-effects covariance matrix and fixed-effects coefficients in multiresponse linear mixed-effects models.
method MOMENT is a stage-wise moment-based framework that reduces the random-effects selection problem to a smooth constrained convex optimization problem.
result MOMENT performs competitively and can outperform separate univariate analyses for correlated responses.

Study nearest-neighbor radii under dependent sampling, finding they remain informative.

problem Analyzing nearest-neighbor radii under dependent sampling.
method Consider strong mixing dependent observations, establish distribution-free almost sure convergence and sharp non-asymptotic moment bounds.
result Nearest-neighbor geometry remains informative under dependence sampling.

Study finds the minimum number of finite Gaussian mixtures for best approximation.

problem Finding the minimum number of finite Gaussian mixtures for best approximation.
method Local moment matching for upper bound and spectral analysis for lower bound.
result Corrects a previous lower bound in the case of Gaussian mixing distributions.

Many scientific and engineering challenges -- ranging from pharmacokinetic drug dosage allocation and personalized medicine to marketing mix (4Ps) recommendations -- require an understanding of the unobserved heterogeneity in order to develop the best decision making-processes. In this paper, we develop a hypothesis te…

2017-08-14abs ↗pdf ↗

The paper explores tail diversification in financial markets using entropy and mutual information.

problem Tail diversification in financial time series.
method Statistical independence through differential entropy and mutual information, using moments as contrast functions.
result Tail covariance matrix is a key driver of tail diversification.

Proposes Moment Exchange to use moments in image recognition models, improving generalization.

problem Discarding moments in image recognition models reduces stability and training time.
method Moment Exchange: replaces moments of learned features with another image's moments and interpolates labels.
result Improves generalization of recognition models across multiple datasets.

The paper optimizes estimating high-dimensional Gaussian mixtures without separation conditions.

problem Estimating the mixing distribution in high-dimensional Gaussian mixtures without separation conditions.
method The method of moments and careful application of moment tensors.
result The minimax rate of estimating the mixing distribution in Wasserstein distance is Θ((d/n)1/4+n1/(4k2))Θ((d/n)^{1/4} + n^{-1/(4k-2)}).

Study free energy in spherical spin glasses, proving universality dichotomy.

problem Analyzing free energy in spherical spin glass models with different tail exponents.
method Introduced a tail-adapted normalization and used universality dichotomy.
result Sharp universality dichotomy for free energy across different tail exponents.

Optimizes mixture models without parametrizing distributions using tensor decomposition.

problem Estimating conditionally-independent mixture models in high dimensions.
method Alternating least squares optimization scheme for tensor decomposition.
result Competitive performance and applicability to various models and applications.

This paper uses HCR to predict bid-ask spreads from accessible data.

problem Predicting bid-ask spreads from incomplete data.
method Hierarchical correlation reconstruction (HCR) to model conditional distributions.
result Accurate predictions of bid-ask spreads with interpretable coefficients.

Algorithm learns near-optimal policies for reward-mixing MDPs with few latent contexts.

problem Episodic reinforcement learning in reward-mixing Markov decision processes with a few latent contexts.
method Sample-efficient algorithm EM^2 using higher-order method-of-moments approach.
result Provides an ε-optimal policy using O(ε^(-2) * S^d A^d * poly(H, Z)^d) episodes for arbitrary M ≥ 2.

The paper examines how the angle between inputs in ReLU networks decreases with depth, impacting training.

problem Depth degeneracy in neural networks, leading to constant function behavior on initialization.
method Combinatorial expansions and Monte Carlo experiments to analyze the angle between inputs in ReLU networks of increasing depth.
result The angle between inputs in ReLU networks decreases exponentially with depth, leading to constant function behavior on initialization.

Any optimization algorithm based on the risk parity approach requires the formulation of portfolio total risk in terms of marginal contributions. In this paper we use the independence of the underlying factors in the market to derive the centered moments required in the risk decomposition process when the modified vers…

2014-09-28abs ↗pdf ↗

We present an efficient algorithm for learning mixed membership models when the number of variables pp is much larger than the number of hidden components kk. This algorithm reduces the computational complexity of state-of-the-art tensor methods, which require decomposing an O(p3)O\left(p^3\right) tensor, to factorizing…

2017-02-25abs ↗pdf ↗

Paper tackles robust deep learning from weakly dependent data with unbounded loss and input.

problem Tackles robust deep learning from weakly dependent data with unbounded loss and input.
method Establishes non-asymptotic bounds for expected excess risk under strong mixing and ψψ-weak dependence assumptions.
result Derives a relationship between bounds and rr, and shows convergence rate close to i.i.d. results for r=r=\infty.

Solves Christoffel-Minkowski problem and Hessian equations with radial symmetry.

problem Christoffel-Minkowski problem and Hessian equations under rotational symmetries.
method Constructing explicit convex solutions to mixed Monge-Ampère equations on \(\mathbb{R}^n\) under radial symmetry.
result Explicit representation formula for the support function of the resulting convex body.

New algorithm learns permutations mixtures with optimal sample complexity.

problem Learning mixtures of permutations in high-dimensional settings.
method Combining groups of pairwise comparisons and combinatorial method of moments.
result Optimal sample complexity proportional to log(n) for high-dimensional data.

Researchers develop a generalised geometric Brownian motion for better asset pricing.

problem Irregularities in simple geometric Brownian motion for asset dynamics.
method Introduce a memory kernel to generalise GBM, derive moments and probability density functions.
result The performance of kernels in pricing options depends on option maturity and moneyness.

In this paper we propose a closed-form approximation for the price of basket options under a multivariate Black-Scholes model, based on Taylor expansions and the calculation of mixed exponential-power moments of a Gaussian distribution. Our numerical results show that a second order expansion provides accurate prices o…

2014-04-11abs ↗pdf ↗

CatBoostLSS predicts entire conditional distributions for probabilistic forecasting.

problem Limited to predicting only the conditional mean, traditional CatBoost is improved.
method Models all moments of a parametric distribution (mean, location, scale, shape).
result Enhanced flexibility in data analysis and probabilistic forecasting.

A robust approach compensates for small-data tasks in mixed linear regression.

problem Learning from small batches of data in tasks with many similar but insufficiently labeled examples.
method Spectral approach combining outlier-robust PCA and sum-of-squares algorithms.
result The approach achieves a graceful statistical trade-off, allowing smaller tasks than previously required.

In this paper we use Bernstein and Chebyshev polynomials to approximate the price of some basket options under a bivariate Black-Scholes model. The method consists in expanding the price of a univariate related contract after conditioning on the remaining underlying assets and calculating the mixed exponential-power mo…

2014-04-11abs ↗pdf ↗

In the classical theory of toric manifolds polytopes appear in two guises -- as Newton polytopes of line bundles on the complex, and as moment polytopes on the symplectic side, the link between the two being established by the prequantizability condition on the cohomology class of the symplectic form. Here we give a co…

2017-02-08abs ↗pdf ↗

Paper develops methods for inference on time series data using neural networks and sieves.

problem Inference on time series data with nonparametric conditional moment restrictions.
method GN-QLR based inference using general nonlinear sieves and multilayer neural networks.
result Optimally weighted GN-QLR statistic is asymptotically Chi-square distributed.

This paper analyzes EM algorithm for softmax mixture models in high dimensions.

problem Modeling heterogeneous populations choosing from multiple attributes.
method Comprehensive analysis of the EM algorithm for softmax mixture models (SMMs), proving identifiability and convergence.
result EM algorithm recovers mixture atoms at near-parametric rate under suitable initialization.

We investigate the relationship between stability and the existence of extremal Kähler metrics on certain toric surfaces. In particular, we consider how log stability depends on weights for toric surfaces whose moment polytope is a quadrilateral. We introduce a space of symplectic potentials for toric manifolds, which …

2016-10-28abs ↗pdf ↗

Contrastive divergence (CD) is a promising method of inference in high dimensional distributions with intractable normalizing constants, however, the theoretical foundations justifying its use are somewhat shaky. This document proposes a framework for understanding CD inference, how/when it works, and provides multiple…

2014-05-03abs ↗pdf ↗

Algorithm learns mixtures of linear regressions in subexponential time.

problem Learning mixtures of linear regressions with high accuracy.
method Fourier moment descent method using univariate density estimation and low-degree moments of Fourier transforms.
result First algorithm for learning MLRs in subexponential time.

We propose a new framework of XGBoost that predicts the entire conditional distribution of a univariate response variable. In particular, XGBoostLSS models all moments of a parametric distribution (i.e., mean, location, scale and shape [LSS]) instead of the conditional mean only. Choosing from a wide range of continuou…

2019-07-06abs ↗pdf ↗

HMC with leapfrog integrator mixes faster than MALA under certain smoothness conditions.

problem Analyzing the mixing time of HMC and MALA for sampling from smooth distributions.
method Bounding gradient complexity and leveraging invariance of joint distribution.
result Metropolized HMC with more leapfrog steps outperforms MALA in total variation distance.

In this note the interrelations between several natural morphisms on the π1π_1 of groups of Hamiltonian diffeomorphisms are investigated. As an application, the equality of the (non-linear) Maslov index of loops of quantomorphisms of prequantizations of $\C P^n$ and the Calabi-Weinstein invariant is shown, settling aff…

2009-05-11abs ↗pdf ↗

The paper provides concentration inequalities for Markov chain variance estimators.

problem Estimating the variance of Markov chains with concentration properties.
method Martingale decomposition method for uniformly geometrically ergodic Markov chains.
result Explicit control of the p-th moment of the OBM estimator difference and dependence on p and mixing time.

Models with many signals, high-dimensional models, often impose structures on the signal strengths. The common assumption is that only a few signals are strong and most of the signals are zero or close (collectively) to zero. However, such a requirement might not be valid in many real-life applications. In this article…

2017-08-01abs ↗pdf ↗