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.
Generalizes prediction-powered inference for binary classifier evaluation.
This research uses DPPs to improve semi-parametric regression models.
Study optimizes estimating linear functionals from observational data without strict overlap.
Develops coresets for scalable multivariate distribution estimation.
We consider off-policy evaluation and optimization with continuous action spaces. We focus on observational data where the data collection policy is unknown and needs to be estimated. We take a semi-parametric approach where the value function takes a known parametric form in the treatment, but we are agnostic on how i…
The paper proposes a semi-parametric Bayesian network model using Gaussian Processes and Horseshoe priors.
Proposes a new algorithm for graph-based semi-parametric contextual bandits.
The paper tackles robust policy learning in MDPs using statistical methods.
Proposes extensions to semi-parametric models using BART for shared covariates.
ARISE models efficient markets without periodogram or Gaussianity assumptions.
SCIENCE improves prediction intervals for individual causal effects.
The paper develops efficient estimators for semi-parametric binary models in distributed computing.
In the compressive learning theory, instead of solving a statistical learning problem from the input data, a so-called sketch is computed from the data prior to learning. The sketch has to capture enough information to solve the problem directly from it, allowing to discard the dataset from the memory. This is useful w…
PGAE uses predictions to guide active experimentation.
This study improves tail risk forecasting by integrating overnight information into semi-parametric models.
Physical modeling of robotic system behavior is the foundation for controlling many robotic mechanisms to a satisfactory degree. Mechanisms are also typically designed in a way that good model accuracy can be achieved with relatively simple models and model identification strategies. If the modeling accuracy using phys…
Semi-parametric survival analysis methods like the Cox Proportional Hazards (CPH) regression (Cox, 1972) are a popular approach for survival analysis. These methods involve fitting of the log-proportional hazard as a function of the covariates and are convenient as they do not require estimation of the baseline hazard …
The paper connects semi-parametric estimates to European option pricing.
Paper compares different models for time-to-event analysis.
Semi-parametric framework for nonlinear system identification
This work uses diffusion models for accurate signal recovery from semi-parametric models.
A new model forecasts financial risks using multiple realized measures.
Optimizes AI learning with limited human feedback budgets.
We analyze a simple prefiltered variation of the least squares estimator for the problem of estimation with biased, semi-parametric noise, an error model studied more broadly in causal statistics and active learning. We prove an oracle inequality which demonstrates that this procedure provably mitigates the variance in…
PGF kernels analyze spherical data using generalized RBF kernels.
The joint Value at Risk (VaR) and expected shortfall (ES) quantile regression model of Taylor (2017) is extended via incorporating a realized measure, to drive the tail risk dynamics, as a potentially more efficient driver than daily returns. Both a maximum likelihood and an adaptive Bayesian Markov Chain Monte Carlo m…
We address challenges in estimating parameters from adaptively collected data.
The paper studies binary classification and aims at estimating the underlying regression function which is the conditional expectation of the class labels given the inputs. The regression function is the key component of the Bayes optimal classifier, moreover, besides providing optimal predictions, it can also assess t…
This paper presents a semi-parametric algorithm for online learning of a robot inverse dynamics model. It combines the strength of the parametric and non-parametric modeling. The former exploits the rigid body dynamics equa- tion, while the latter exploits a suitable kernel function. We provide an extensive comparison …
Develops a new framework for joint portfolio risk forecasting.
We present the FuSSO, a functional analogue to the LASSO, that efficiently finds a sparse set of functional input covariates to regress a real-valued response against. The FuSSO does so in a semi-parametric fashion, making no parametric assumptions about the nature of input functional covariates and assuming a linear f…
Deep networks have enabled reinforcement learning to scale to more complex and challenging domains, but these methods typically require large quantities of training data. An alternative is to use sample-efficient episodic control methods: neuro-inspired algorithms which use non-/semi-parametric models that predict valu…
New bandit algorithms improve sparse reward learning.
New method removes interference bias in causal models.
Single Index Models (SIMs) are simple yet flexible semi-parametric models for classification and regression. Response variables are modeled as a nonlinear, monotonic function of a linear combination of features. Estimation in this context requires learning both the feature weights, and the nonlinear function. While met…
Missing data is an important challenge when dealing with high dimensional data arranged in the form of an array. In this paper, we propose methods for estimation of the parameters of array variate normal probability model from partially observed multiway data. The methods developed here are useful for missing data impu…
DebiNet uses over-parameterized neural networks to improve linear model performance and debiasing.
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…
A Bayesian treatment of latent directed graph structure for non-iid data is provided where each child datum is sampled with a directed conditional dependence on a single unknown parent datum. The latent graph structure is assumed to lie in the family of directed out-tree graphs which leads to efficient Bayesian inferen…
Recently, neuro-inspired episodic control (EC) methods have been developed to overcome the data-inefficiency of standard deep reinforcement learning approaches. Using non-/semi-parametric models to estimate the value function, they learn rapidly, retrieving cached values from similar past states. In realistic scenarios…
Adaptive transfer learning model for varying mechanisms across domains.
Bayesian optimization improved for biased data.
In this paper we present an application of the use of autocopulas for modelling financial time series showing serial dependencies that are not necessarily linear. The approach presented here is semi-parametric in that it is characterized by a non-parametric autocopula and parametric marginals. One advantage of using au…
In this paper, we consider a generalized multivariate regression problem where the responses are monotonic functions of linear transformations of predictors. We propose a semi-parametric algorithm based on the ordering of the responses which is invariant to the functional form of the transformation function. We prove t…
Highly Autonomous Driving (HAD) systems rely on deep neural networks for the visual perception of the driving environment. Such networks are trained on large manually annotated databases. In this work, a semi-parametric approach to one-shot learning is proposed, with the aim of bypassing the manual annotation step requ…
Single Index Models (SIMs) are simple yet flexible semi-parametric models for machine learning, where the response variable is modeled as a monotonic function of a linear combination of features. Estimation in this context requires learning both the feature weights and the nonlinear function that relates features to ob…
Motivated by the application of real-time pricing in e-commerce platforms, we consider the problem of revenue-maximization in a setting where the seller can leverage contextual information describing the customer's history and the product's type to predict her valuation of the product. However, her true valuation is un…
Study dynamic pricing with semi-parametric models to minimize regret.