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.
A new two-step LSMC method improves game option pricing accuracy.
Two-step conformal prediction method for adaptive bounding box uncertainties in multi-object detection.
New method for insurance valuation combining hedging and risk minimization.
A two-step nonparametric method estimates financial systemic risk.
The paper extends two-step homogeneous geodesics to homogeneous Finsler spaces.
Classifies two-step solvable Lie groups with SKT structures.
We consider a method popular in the literature of associating a two-step nilpotent Lie algebra with a finite simple graph. We prove that the two-step nilpotent Lie algebras associated with two graphs are Lie isomorphic if and only if the graphs from which they arise are isomorphic.
The paper discusses polynomial convergence to conical Kähler-Einstein metrics.
Paper introduces new actuarial-consistent valuations for insurance liabilities.
Scaling regression to large datasets is a common problem in many application areas. We propose a two step approach to scaling regression to large datasets. Using a regression tree (CART) to segment the large dataset constitutes the first step of this approach. The second step of this approach is to develop a suitable r…
Study high-dimensional covariance matrix estimators for complex portfolios, improving financial metrics.
Proves conjecture about compatible SKT and balanced metrics on compact solvmanifolds.
We prove that two-step analytic sub-Riemannian structures on a compact analytic manifold equipped with a smooth measure and Lipschitz Carnot groups satisfy measure contraction properties.
A Riemannian Einstein solvmanifold (possibly, any noncompact homogeneous Einstein space) is almost completely determined by the nilradical of its Lie algebra. A nilpotent Lie algebra, which can serve as the nilradical of an Einstein metric solvable Lie algebra, is called an Einstein nilradical. Despite a substantial pr…
There has been increasing interest in modelling survival data using deep learning methods in medical research. Current approaches have focused on designing special cost functions to handle censored survival data. We propose a very different method with two steps. In the first step, we transform each subject's survival …
Spatial econometric research typically relies on the assumption that the spatial dependence structure is known in advance and is represented by a deterministic spatial weights matrix. Contrary to classical approaches, we investigate the estimation of sparse spatial dependence structures for regular lattice data. In par…
Deep reinforcement learning (DRL) on Markov decision processes (MDPs) with continuous action spaces is often approached by directly training parametric policies along the direction of estimated policy gradients (PGs). Previous research revealed that the performance of these PG algorithms depends heavily on the bias-var…
A two-step approach efficiently selects hyperparameters for FCMs.
We address the problem of estimating the difference between two probability densities. A naive approach is a two-step procedure of first estimating two densities separately and then computing their difference. However, such a two-step procedure does not necessarily work well because the first step is performed without …
We associate a two-step nilpotent Lie algebra to an arbitrary Schreier graph. We then use properties of the Schreier graph to determine necessary and sufficient conditions for this Lie algebra to extend to a three-step nilpotent Lie algebra. As an application, if we start with pairs of non-isomorphic Schreier graphs co…
In this work, we introduce a two-step framework for generative modeling of temporal data. Specifically, the generative adversarial networks (GANs) setting is employed to generate synthetic scenes of moving objects. To do so, we propose a two-step training scheme within which: a generator of static frames is trained fir…
This paper proposes a model-free and data-adaptive feature screening method for ultra-high dimensional datasets. The proposed method is based on the projection correlation which measures the dependence between two random vectors. This projection correlation based method does not require specifying a regression model an…
A conjugate Bayesian method detects change points in Hawkes processes efficiently.
We describe co-adjoint orbits and Casimir functions for two-step free-nilpotent Lie algebras. The symplectic foliation consists of affine subspaces of the Lie coalgebra of different dimensions. Further, we consider left-invariant time-optimal problems on two-step Carnot groups, for which the set of admissible velocitie…
New method improves wind and solar energy forecasts by 48 hours.
The paper develops a method for optimal projection selection in high-dimensional classification.
A new two-step MH method for Bayesian EL computation.
The paper discusses a new method for constructing two-step Darboux transforms of isothermic surfaces.
A new Bayesian method optimizes time-dependent expensive functions with lookahead.
We consider evaluation methods for payoffs with an inherent financial risk as encountered for instance for portfolios held by pension funds and insurance companies. Pricing such payoffs in a way consistent to market prices typically involves combining actuarial techniques with methods from mathematical finance. We prop…
In this paper, we propose a two-step training procedure for source separation via a deep neural network. In the first step we learn a transform (and it's inverse) to a latent space where masking-based separation performance using oracles is optimal. For the second step, we train a separation module that operates on the…
The paper extends risk measures to two-step approximations and studies log-concave distributions.
Log-density gradient estimation is a fundamental statistical problem and possesses various practical applications such as clustering and measuring non-Gaussianity. A naive two-step approach of first estimating the density and then taking its log-gradient is unreliable because an accurate density estimate does not neces…
Study phase retrieval under misspecified models using generative priors.
New methods use vector search and nearest-neighbor matching for policy learning in causal inference.
We consider the problem of sparse estimation in a factor analysis model. A traditional estimation procedure in use is the following two-step approach: the model is estimated by maximum likelihood method and then a rotation technique is utilized to find sparse factor loadings. However, the maximum likelihood estimates c…
We present and analyze a simple, two-step algorithm to approximate the optimal solution of the sparse PCA problem. Our approach first solves a L1 penalized version of the NP-hard sparse PCA optimization problem and then uses a randomized rounding strategy to sparsify the resulting dense solution. Our main theoretical r…
We introduce a two step algorithm with theoretical guarantees to recover a jointly sparse and low-rank matrix from undersampled measurements of its columns. The algorithm first estimates the row subspace of the matrix using a set of common measurements of the columns. In the second step, the subspace aware recovery of …
In this paper we study the geometry of simply connected two-step nilpotent Lie groups of dimension five. We give the Levi-Civita connection, curvature tensor, sectional and scalar curvatures of these spaces and show that they have constant negative scalar curvature. Also we show that the only space which admits left in…
Kernel methods accurately predict Hamiltonian systems from data.
This paper presents a tensor multiplication based smoothing algorithm that follows a two step denoising method. Unlike other traditional averaging approaches, our approach uses an element based normal voting tensor to compute smooth surfaces. By introducing a binary optimization on the proposed tensor together with a l…
For massive data, the family of subsampling algorithms is popular to downsize the data volume and reduce computational burden. Existing studies focus on approximating the ordinary least squares estimate in linear regression, where statistical leverage scores are often used to define subsampling probabilities. In this p…
We propose an approach for approximating the partition function which is based on two steps: (1) computing the partition function of a simplified model which is obtained by deleting model edges, and (2) rectifying the result by applying an edge-by-edge correction. The approach leads to an intuitive framework in which o…
New families of non-singular geodesic orbit nilmanifolds discovered.
Efficiently optimizes constrained problems with two-step lookahead BO.
There are a least uncountably many diffeomorphism types for open manifolds. Hence the classification problem is extremely difficult. We proceed as follows: We define several uniform structures of proper metric spaces and consider their arc components. Any open complete manifold (M^n,g) defines such a component. Hence t…
A great deal of interest has recently focused on conducting inference on the parameters in a high-dimensional linear model. In this paper, we consider a simple and very naïve two-step procedure for this task, in which we (i) fit a lasso model in order to obtain a subset of the variables, and (ii) fit a least squares mo…
GD converges in unstable regimes, even with oscillatory behavior.