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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.

168,695 papers · 148 categories

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48 results for statistical divergence

Rank-statistic method approximates ff-divergences without density-ratio estimation.

problem Approximating ff-divergences without explicit density-ratio estimation.
method Mapping distribution rank histograms to discrete ff-divergence and averaging over random projections.
result The rank-statistic estimator is a lower bound of the true ff-divergence and converges under mild conditions.

Study compares statistical properties and power of divergence measures for credit risk monitoring.

problem Detecting distributional shifts in credit risk models.
method Derives statistical properties and chi-square benchmark values for Jensen-Shannon Divergence and Kullback-Leibler Divergence, demonstrating their applicability in credit risk monitoring.
result Jensen-Shannon Divergence and Kullback-Leibler Divergence follow chi-square distributions and reveal practical trade-offs in minimizing false positives vs. detecting changes.

The paper explores statistical and topological properties of sliced probability divergences.

problem Understanding the topological, statistical, and computational consequences of slicing divergences.
method Deriving theoretical properties of sliced probability divergences, including metric axioms preservation and weak continuity.
result Sliced divergences share similar topological properties and have stable sample complexity.

The paper analyzes the statistical properties of GANs using ff-divergence.

problem Understanding the statistical behavior of GANs and comparing different ff-divergences.
method Asymptotic analysis of ff-divergence GANs, including Kullback-Leibler divergence.
result Asymptotically equivalent GANs with the same discriminator classes for correctly specified models.

Neural networks estimate statistical divergences with performance guarantees.

problem Estimating statistical divergences with theoretical performance guarantees.
method Parametrizing empirical variational form by a neural network and optimizing over parameter space.
result Established non-asymptotic absolute error bounds for neural estimators of four f\mathsf{f}-divergences.

Divergence functions play a key role as to measure the discrepancy between two points in the field of machine learning, statistics and signal processing. Well-known divergences are the Bregman divergences, the Jensen divergences and the f-divergences. In this paper, we show that the symmetric Bregman divergence can be …

2018-10-03abs ↗pdf ↗

New measures generalize existing ones, linking information and risk.

problem Linking information measures and risk in statistical decision problems.
method Introducing new families of divergence measures and deriving an information processing equality.
result Extension of variational φφ-divergence representation to multiple distributions.

New method tightens variational representations of divergences for faster learning.

problem Improving tightness of variational representations of divergences for faster statistical estimation.
method Improved objective functionals constructed via an auxiliary optimization problem, leveraging neural network approximation.
result Tighter variational representations can result in significantly faster learning and more accurate estimation of divergences.

Develops a new divergence framework that combines ff-divergences and IPMs.

problem Comparing distributions that are not absolutely continuous.
method Introduces (f,Γ)(f,Γ)-divergences as a two-stage mass-redistribution/mass-transport process.
result Improves estimation, learning, and uncertainty quantification in GANs for heavy-tailed distributions.

This paper provides performance guarantees for neural estimation of statistical distances.

problem Developing performance guarantees for neural estimation of statistical distances.
method Non-asymptotic error bounds using function approximation theorems and empirical process theory.
result Established a fundamental tradeoff between approximation and estimation errors in neural estimation of statistical distances.

In the field of statistics, many kind of divergence functions have been studied as an amount which measures the discrepancy between two probability distributions. In the differential geometrical approach in statistics (information geometry), dually flat spaces play a key role. In a dually flat space, there exist dual a…

2018-08-16abs ↗pdf ↗

New tools quantify deep generative models' performance.

problem Measuring the quality-diversity trade-off in deep generative models.
method Established non-asymptotic bounds on sample complexity and introduced frontier integrals.
result Smoothed estimators improve convergence rates of divergence frontiers.

Study introduces a variational approach for efficient KL divergence estimation in Dirichlet mixture models.

problem Efficient estimation of KL divergence in Dirichlet mixture models.
method Variational approach for a closed-form solution.
result Superior efficiency and accuracy compared to Monte Carlo methods.

This paper generalizes beta divergence beyond its classical form associated with power variance functions of Tweedie models. Generalized form is represented by a compact definite integral as a function of variance function of the exponential dispersion model. This compact integral form simplifies derivations of many pr…

2013-06-14abs ↗pdf ↗

We study the logarithmic L(α)L^{(α)}-divergence which extrapolates the Bregman divergence and corresponds to solutions to novel optimal transport problems. We show that this logarithmic divergence is equivalent to a conformal transformation of the Bregman divergence, and, via an explicit affine immersion, is equivalent t…

2019-06-17abs ↗pdf ↗

Exponential families and mixture families are parametric probability models that can be geometrically studied as smooth statistical manifolds with respect to any statistical divergence like the Kullback-Leibler (KL) divergence or the Hellinger divergence. When equipping a statistical manifold with the KL divergence, th…

2018-03-20abs ↗pdf ↗

Paper studies regularized KKL divergence for distributions with disjoint supports.

problem Inability of original KKL divergence to handle distributions with disjoint supports.
method Proposes a regularized variant of KKL divergence, derives bounds, and provides closed-form expression.
result Regularized KKL divergence is well-defined for all distributions and has finite-sample bounds.

Study statistical guarantees for DRO with OT and OT-regularized divergences.

problem Enhancing adversarial robustness in machine learning models.
method Derive concentration inequalities for supervised learning via DRO-based adversarial training.
result First to cover soft-constraint costs and reweighting mechanisms in adversarial training.

ff-divergences are a general class of divergences between probability measures which include as special cases many commonly used divergences in probability, mathematical statistics and information theory such as Kullback-Leibler divergence, chi-squared divergence, squared Hellinger distance, total variation distance e…

2013-02-02abs ↗pdf ↗

The paper explores how information geometry impacts classical CR inequalities.

problem Deriving and generalizing CR inequalities using information geometry.
method Examining Eguchi's theory and applying Amari-Nagoaka's theory to KL-divergence, and then extending to other divergences.
result Generalized CR inequalities derived from various divergences.

Researchers study the geometric properties of a specific type of stable processes.

problem Understanding the information geometry of tempered stable processes.
method Derivation of α-divergence, Fisher information matrices, and α-connections.
result Obtained Fisher information matrices and α-connections for statistical manifolds.

New insights into Markov chain geometry via positive transition measures.

problem Lack of statistical meaning in the space of transition probabilities.
method Constructing an extension of the space of transition probabilities using Amari's theory of positive measures.
result Introduction of a new dually flat structure for the space of positive transition measures.

Develops a statistical test for IV, improving feature selection reliability.

problem Lack of statistical justification in conventional IV-based feature selection.
method Establishes connection with Jeffreys divergence and proposes a nonparametric hypothesis test.
result The J-Divergence test provides rigorous guarantees and is more reliable than traditional IV thresholds.

Develops information geometry for Lévy processes in finance.

problem Understanding the statistical properties of Lévy processes for financial modeling.
method Deriving α\alpha-divergences from Lévy triplets, identifying Fisher information matrix and α\alpha-connection.
result Identifies statistical implications and differential-geometric structures of Lévy processes.

Construction of ambiguity set in robust optimization relies on the choice of divergences between probability distributions. In distribution learning, choosing appropriate probability distributions based on observed data is critical for approximating the true distribution. To improve the performance of machine learning …

2017-05-23abs ↗pdf ↗

We extend CS divergence to conditional distributions and show its advantages in time series data and sequential decision making.

problem Quantifying the closeness between conditional distributions.
method Developed and estimated a conditional Cauchy-Schwarz divergence using kernel density estimation.
result Conditional CS divergence outperforms previous methods in time series clustering and sequential decision making.

A new test statistic measures discrepancy between conditional distributions.

problem Measuring the discrepancy between two conditional distributions.
method Proposes a Bregman matrix divergence-based statistic that avoids explicit distribution estimation.
result The new statistic inherits high-order statistics and demonstrates utility in multi-task learning, concept drift detection, and feature selection.

Probabilistic models are often trained by maximum likelihood, which corresponds to minimizing a specific f-divergence between the model and data distribution. In light of recent successes in training Generative Adversarial Networks, alternative non-likelihood training criteria have been proposed. Whilst not necessarily…

2019-07-27abs ↗pdf ↗