New method detects changes online with bounds on delay.
problem Detecting changes in data streams efficiently.
method Maximizes discrepancy between pre-change and post-change distributions.
result Non-asymptotic bounds on average running length and detection delay.
KQT-EWMA monitors multivariate data streams online with flexible and practical change detection.
problem Online monitoring of multivariate data streams for detecting changes.
method Combines Kernel-QuantTree histogram and EWMA statistic for non-parametric monitoring.
result Controls Average Run Length (ARL0) while achieving comparable detection delays.
Paper proposes a new algorithm to reduce derivative pricing computation time.
problem Derivative pricing computational inefficiency.
method Combines multilevel Richardson-Romberg and importance sampling.
result Reduces computational time while maintaining accuracy.
The objective of change-point detection is to discover abrupt property changes lying behind time-series data. In this paper, we present a novel statistical change-point detection algorithm based on non-parametric divergence estimation between time-series samples from two retrospective segments. Our method uses the rela…
A method detects changes in heterogeneous data streams over graph nodes.
problem Detecting changes in data streams from nodes of a graph.
method Online non-parametric method using likelihood-ratio estimation.
result The method accurately identifies change-points in real-world applications.
A new geometric metric identifies true data changes from parametrization artifacts in high-dimensional representations.
problem Quantifying representation drift in high-dimensional data using Euclidean or cosine distances can misattribute changes due to arbitrary parametrizations.
method Introducing the Fubini Study metric to identify representations that differ only by gauge transformations.
result The Fubini Study metric isolates intrinsic evolution by remaining invariant under gauge-induced fluctuations, providing a diagnostic for meaningful structural changes.
Locally private methods detect changes in time series data.
problem Detecting distributional changes in time series data under local differential privacy.
method Proposed locally differentially private algorithms based on randomized response and binary mechanisms.
result Theoretical performance bounds and empirical validation of detection accuracy.
Paper introduces Ddim, a new measure of model complexity, for MDL-based learning and change detection.
problem Characterizing the complexity of probabilistic models for efficient learning and change detection.
method Introduces descriptive dimension (Ddim) as a measure of model complexity. Derives convergence rates and error probabilities for MDL-based learning and change detection.
result Ddim characterizes the performance of MDL-based learning and change detection.
PERCEPT detects changes in high-dimensional data streams using topological data analysis.
problem Detecting changes in high-dimensional data streams, especially when embedded in a low-dimensional space.
method Leverages topological data analysis to learn embedded topology as a point cloud via persistence diagrams, then applies non-parametric monitoring for detecting changes.
result Demonstrates efficient detection of online changes from high-dimensional data streams.
Estimates change points in Weibull time series with copulas.
problem Change-point estimation for nonlinear Weibull time series with copula-based Markov models.
method Copula-based Markov chain model with Weibull marginal distributions, incorporating asymmetric dependence structures through Clayton and Joe copulas.
result Proposed method performs well in estimating change points and model parameters, demonstrated through extensive numerical studies and empirical application.
Framework detects changes in causal dependence between variables.
problem Detecting changes in causal dependence between variables in the presence of confounders.
method Non-parametric approach using kernel mean embeddings and copulas.
result Proposed statistic accurately detects changes in causal dependence.
Detecting the emergence of an abrupt change-point is a classic problem in statistics and machine learning. Kernel-based nonparametric statistics have been used for this task which enjoy fewer assumptions on the distributions than the parametric approach and can handle high-dimensional data. In this paper we focus on th…
Paper reproduces a kernel-based scan B-statistic for online change-point detection.
problem Continuous detection of distribution changes in online data streams.
method Efficient kernel-based scan B-statistic for online change-point detection.
result Scan B-statistic outperforms parametric methods in challenging scenarios.
This study tackles basis risk in weather parametric insurance using Monte Carlo simulations.
problem Mismatch between actual loss and payout in weather parametric insurance leads to loss without payout or payout without loss.
method Empirical research using Monte Carlo simulations to test diversification and hedging strategies.
result Portfolio basis risk and volatility decrease with more contracts, and spatial relationships significantly impact basis risk.
The paper extends Euler class theory to measurable cocycles.
problem Understanding the structure of measurable cocycles and their cohomology.
method Constructing a parametrized Euler class in bounded cohomology and studying semicohomologous cocycles.
result The parametrized Euler class vanishes if and only if the cocycle can be lifted and admits an equivariant family of points.
New method detects change points in quasi-periodic signals without supervision.
problem Detecting change points in complex, non-harmonic signals.
method Optimal transport theory, topological analysis, bootstrap procedure.
result Successfully detects abnormal cardiac cycles in various arrhythmias.
Improved change point detection using matched filters for non-parametric tests.
problem False positives and localization ambiguity in non-parametric two-sample tests.
method Derived and applied matched filters for various two-sample tests.
result Matched filters reduce false positives and improve test precision.
Innovative inequalities for divergences with applications in PAC-Bayesian bounds and Monte Carlo.
problem Developing new inequalities for divergences.
method Introducing novel change of measure inequalities for f-divergences and α-divergences. result Applications in PAC-Bayesian bounds and Monte Carlo estimates.
A new model forecasts financial risks using multiple realized measures.
problem Forecasting financial risks using multiple realized measures.
method Developed a semi-parametric joint VaR and ES forecasting framework using realized measures.
result The proposed model outperformed other models in forecasting financial risks.
We analyse derivative securities whose value is NOT a deterministic function of an underlying which means presence of a basis risk at any time. The key object of our analysis is conditional probability distribution at a given underlying value and moment of time. We consider time evolution of this probability distributi…
Reliable calculations of financial risk require that the fat-tailed nature of prices changes is included in risk measures. To this end, a non-Gaussian approach to financial risk management is presented, modeling the power-law tails of the returns distribution in terms of a Student-t (or Tsallis) distribution. Non-Gau…
This paper extends results of Mortimer and Williams (1991) about changes of probability measure up to a random time under the assumptions that all martingales are continuous and that the random time avoids stopping times. We consider locally absolutely continuous measure changes up to a random time, changes of probabil…
The multivariate normal density is a monotonic function of the distance to the mean, and its ellipsoidal shape is due to the underlying Euclidean metric. We suggest to replace this metric with a locally adaptive, smoothly changing (Riemannian) metric that favors regions of high local density. The resulting locally adap…
Interpolation improves performance in nearest neighbor algorithms without over-parametrization.
problem Achieving zero training error in deep learning without over-parametrization.
method Introduced a class of interpolated weighting schemes in nearest neighbor algorithms.
result Mild data interpolation strictly improves prediction performance and statistical stability.
Study parametrized Kähler class for cocycles on Hermitian symmetric spaces.
problem Understanding the cohomology of measurable cocycles on Hermitian symmetric spaces.
method Define and analyze parametrized Kähler class to determine cocycles up to cohomology.
result Parametrized Kähler class completely determines the cocycle up to cohomology.
Develops a nonparametric framework for detecting changes in sequential data.
problem Detecting changes in nonparametrically specified distributions.
method Introduces e-detectors based on e-processes for nonnegative supermartingales.
result Provides bounds on average run length and detection delay.
New algorithm learns nonlinear phenomena from noisy local measurements without data exchange.
problem Learning nonlinear phenomena from noisy local measurements in a decentralized network.
method Non-parametric learning algorithm that spreads information only between neighboring nodes.
result Non-asymptotic estimation error bounds for the proposed method.
New PAC-Bayes bounds derived using Legendre transform and f-divergences.
problem Deriving PAC-Bayes bounds under various assumptions.
method Combining Legendre transform and Fenchel--Young inequality to derive change-of-measure inequalities.
result Extended PAC-Bayesian guarantees under tailored assumptions.
This paper studies a specific metric on plane curves that has the property of being isometric to classical manifold (sphere, complex projective, Stiefel, Grassmann) modulo change of parametrization, each of these classical manifolds being associated to specific qualifications of the space of curves (closed-open, modulo…
We study the stability of several no-arbitrage conditions with respect to absolutely continuous, but not necessarily equivalent, changes of measure. We first consider models based on continuous semimartingales and show that no-arbitrage conditions weaker than NA and NFLVR are always stable. Then, in the context of gene…
We consider the problem of quickest change-point detection in data streams. Classical change-point detection procedures, such as CUSUM, Shiryaev-Roberts and Posterior Probability statistics, are optimal only if the change-point model is known, which is an unrealistic assumption in typical applied problems. Instead we p…
Method identifies shifts leading to large model performance differences.
problem Detecting shifts in distribution that affect model performance.
method Parametric changes in causal mechanisms define robustness sets; worst-case optimization problem approximated as non-convex quadratic.
result Second-order approximation of worst-case loss for small shifts, leading to efficient algorithms.
Transform drift of diffusions without knowing if measure change is a martingale.
problem Transforming drift in diffusions without knowing if measure change is a martingale.
method Characterize when measure change local martingale is a true martingale.
result Complete characterization of measure change local martingale being a true martingale.
The study finds that most minimal surfaces in generic 4D manifolds intersect in complex ways.
problem Understanding self-intersections of minimal surfaces in generic Riemannian manifolds.
method Analyzing the properties of minimal surfaces in a generic Riemannian manifold of dimension four.
result Most minimal surfaces in generic 4D manifolds intersect in complex ways, with tangent planes failing to be complex with respect to any orthogonal complex structure.
Despite existing work on ensuring generalization of neural networks in terms of scale sensitive complexity measures, such as norms, margin and sharpness, these complexity measures do not offer an explanation of why neural networks generalize better with over-parametrization. In this work we suggest a novel complexity m…
KCUSUM detects abrupt changes in real-time data streams efficiently.
problem Detecting abrupt changes in high-volume scientific data streams.
method Kernel-based Cumulative Sum (KCUSUM) algorithm using Maximum Mean Discrepancy (MMD).
result KCUSUM outperforms traditional CUSUM in online change point detection.
New insights into binary perceptron reveal phase transitions and algorithmic thresholds.
problem Understanding the statistical-computational gap in binary perceptron models.
method Application of fully lifted random duality theory (fl RDT) to uncover structural changes.
result Numerical estimates of constraint density thresholds align with theoretical predictions.
Additive regression trees are flexible non-parametric models and popular off-the-shelf tools for real-world non-linear regression. In application domains, such as bioinformatics, where there is also demand for probabilistic predictions with measures of uncertainty, the Bayesian additive regression trees (BART) model, i…
Synthetic framework for null hypersurfaces in non-smooth spacetimes.
problem Analyzing null hypersurfaces in non-smooth spacetimes.
method Develops synthetic null hypersurfaces using optimal transport and Lorentzian geometry.
result Synthetic null energy condition stabilizes under convergence and applies to low-regularity spacetimes.
This paper presents non-parametric estimates of spectral risk measures applied to long and short positions in 5 prominent equity futures contracts. It also compares these to estimates of two popular alternative measures, the Value-at-Risk (VaR) and Expected Shortfall (ES). The spectral risk measures are conditioned on …
Recent research has documented a significant rise in the volatility (e.g., expected squared change) of individual incomes in the U.S. since the 1970s. Existing measures of this trend abstract from individual heterogeneity, effectively estimating an increase in average volatility. We decompose this increase in average v…
We find that the CAPM fails to explain the small firm effect even if its non-parametric form is used which allows time-varying risk and non-linearity in the pricing function. Furthermore, the linearity of the CAPM can be rejected, thus the widely used risk and performance measures, the beta and the alpha, are biased an…
LOCA learns standardized data coordinates from measurements.
problem Learning invariant data coordinates from non-linearly deformed manifolds.
method LOCA, a LOcal Conformal Autoencoder, learns an isometric embedding.
result LOCA preserves geometric information while learning invariant coordinates.
This paper tackles causal representation learning from multiple distributions without hard interventions.
problem Recovering latent causal variables and their relations from multiple distributions.
method Develops general solutions for causal representation learning without hard interventions, under sparsity constraints and suitable change conditions.
result Recovering the moralized graph of the underlying directed acyclic graph and latent variables related to the underlying causal model.
Understanding and measuring model risk is important to financial practitioners. However, there lacks a non-parametric approach to model risk quantification in a dynamic setting and with path-dependent losses. We propose a complete theory generalizing the relative-entropic approach by Glasserman and Xu to the dynamic ca…
Study adapts AI research methods to analyze image augmentation impacts on neural network operations.
problem Understanding how image augmentation affects neural network performance and sensitivity.
method Adapted treatment-control paradigm, uses variance decomposition, Sobol indices, and Shapley values for sensitivity analysis.
result Visualizes and quantifies sensitivity to different image augmentation parameters.
A parametric manifold is a manifold on which all tensor fields depend on an additional parameter, such as time, together with a parametric structure, namely a given (parametric) 1-form field. Such a manifold admits natural generalizations of Lie differentiation, exterior differentiation, and covariant differentiation, …
We study exponential Levy models with change-point which is a random variable, independent from initial Levy processes. On canonical space with initially enlarged filtration we describe all equivalent martingale measures for change-point model and we give the conditions for the existence of f-divergence minimal equival…