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.
Range penalization enhances statistical accuracy and resource efficiency in federated learning.
We consider the problem of unveiling the implicit network structure of node interactions (such as user interactions in a social network), based only on high-frequency timestamps. Our inference is based on the minimization of the least-squares loss associated with a multivariate Hawkes model, penalized by and t…
Flexible empirical Bayes for large-scale multiple linear regression.
G-computation improves clinical trial power with machine learning.
We consider the high-dimensional heteroscedastic regression model, where the mean and the log variance are modeled as a linear combination of input variables. Existing literature on high-dimensional linear regres- sion models has largely ignored non-constant error variances, even though they commonly occur in a variety…
The abundance of high-dimensional data in the modern sciences has generated tremendous interest in penalized estimators such as the lasso, scaled lasso, square-root lasso, elastic net, and many others. In this paper, we establish a general oracle inequality for prediction in high-dimensional linear regression with such…
Paper develops PGMM framework for debiased inference on nonparametric IV estimators.
Determining how to appropriately select the tuning parameter is essential in penalized likelihood methods for high-dimensional data analysis. We examine this problem in the setting of penalized likelihood methods for generalized linear models, where the dimensionality of covariates p is allowed to increase exponentiall…
New method estimates mixture model components efficiently.
Recently, GAIL framework and various variants have shown remarkable possibilities for solving practical MDP problems. However, detailed researches of low-level, and high-dimensional state input in this framework, such as image sequences, has not been conducted. Furthermore, the cost function learned in the traditional …
Sparse Blind Source Separation (sparse BSS) is a key method to analyze multichannel data in fields ranging from medical imaging to astrophysics. However, since it relies on seeking the solution of a non-convex penalized matrix factorization problem, its performances largely depend on the optimization strategy. In this …
CD converges linearly for MCP/SCAD penalized least squares.
We consider the estimation of large covariance and precision matrices from high-dimensional sub-Gaussian or heavier-tailed observations with slowly decaying temporal dependence. The temporal dependence is allowed to be long-range so with longer memory than those considered in the current literature. We show that severa…
Develops a new duality between entropy martingale optimal transport and nonlinear pricing-hedging.
We study super-replication of contingent claims in an illiquid market with model uncertainty. Illiquidity is captured by nonlinear transaction costs in discrete time and model uncertainty arises as our only assumption on stock price returns is that they are in a range specified by fixed volatility bounds. We provide a …
AgFlow speeds up model selection in penalized PCA.
We consider the Willmore functional on graphs, with an additional penalization of the area where the curvature is non-zero. Interpreting the penalization parameter as a Lagrange multiplier, this corresponds to the Willmore functional with a constraint on the area where the graph is flat. Sending the penalization parame…
Embed-KCPD segments text without labels, outperforming baselines.
Sparse-penalized deep neural networks improve performance in weakly dependent processes.
Develops a method to predict stock returns with time-varying risk premia.
Early-stopped aggregation improves computational efficiency in adaptive statistical inference.
For the degree corrected stochastic block model in the presence of arbitrary or even adversarial outliers, we develop a convex-optimization-based clustering algorithm that includes a penalization term depending on the positive deviation of a node from the expected number of edges to other inliers. We prove that under m…
Paper develops a new method for optimal stopping in American options.
In high-dimensional data analysis, penalized likelihood estimators are shown to provide superior results in both variable selection and parameter estimation. A new algorithm, APPLE, is proposed for calculating the Approximate Path for Penalized Likelihood Estimators. Both the convex penalty (such as LASSO) and the nonc…
In this paper, we propose a one-pass algorithm on MapReduce for penalized linear regression \[f_λ(α, β) = \|Y - α\mathbf{1} - Xβ\|_2^2 + p_λ(β)\] where is the intercept which can be omitted depending on application; is the coefficients and is the penalized function with penalizing parameter . $f_λ(α, β…
In this work we establish the equivalence of algorithmic regularization and explicit convex penalization for generic convex losses. We introduce a geometric condition for the optimization path of a convex function, and show that if such a condition is satisfied, the optimization path of an iterative algorithm on the un…
New insights into balancing reward and fairness in stochastic MAB.
The paper classifies and analyzes the stability of elastic curves with fixed endpoints.
We extend the analysis of investment strategies derived from penalized quantile regression models, introducing alternative approaches to improve state\textendash of\textendash art asset allocation rules. First, we use a post\textendash penalization procedure to deal with overshrinking and concentration issues. Second, …
Unified framework for pattern recovery in penalized and thresholded estimation.
New method improves feature selection in tree-based models.
In this paper we purpose a blockwise descent algorithm for group-penalized multiresponse regression. Using a quasi-newton framework we extend this to group-penalized multinomial regression. We give a publicly available implementation for these in R, and compare the speed of this algorithm to a competing algorithm --- w…
In this paper, we study the performance of extremum estimators from the perspective of generalization ability (GA): the ability of a model to predict outcomes in new samples from the same population. By adapting the classical concentration inequalities, we derive upper bounds on the empirical out-of-sample prediction e…
Proposes a new robust expectile regression method for high-dimensional data.
Study on elastic curves pinned at the boundary, focusing on minimizers and their interaction with obstacles.
Improved DPO framework penalizes preference uncertainty to avoid overoptimization.
We prove that L2-Boosting lacks a theoretical property which is central to the behaviour of l1-penalized methods such as basis pursuit and the Lasso: Whereas l1-penalized methods are guaranteed to recover the sparse parameter vector in a high-dimensional linear model under an appropriate restricted nullspace property, …
New methods correct spectral distortions using known analyte concentrations.
A new robust regression method handles outliers in high-dimensional data.
This paper introduces a gradient analysis framework to improve language model performance by rewarding good examples and penalizing bad ones.
Algorithm samples from Wasserstein barycenter of measures.
In many applications, multivariate samples may harbor previously unrecognized heterogeneity at the level of conditional independence or network structure. For example, in cancer biology, disease subtypes may differ with respect to subtype-specific interplay between molecular components. Then, both subtype discovery and…
A new Branch-and-Bound solver tackles L0-penalized problems with flexible loss functions.
Develops a fast algorithm for high-dimensional LASSO penalized quantile regression.
Penalized likelihood approaches are widely used for high-dimensional regression. Although many methods have been proposed and the associated theory is now well-developed, the relative efficacy of different approaches in finite-sample settings, as encountered in practice, remains incompletely understood. There is theref…
The paper tackles pricing vulnerable options via generalized BSDEs and penalization schemes.
This paper optimizes portfolio selection by penalizing tracking error, improving Sharpe ratio.
Paper estimates differences in multi-attribute Gaussian graphical models using non-convex penalties.