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.
The estimation of probabilities of default (PDs) for low default portfolios by means of upper confidence bounds is a well established procedure in many financial institutions. However, there are often discussions within the institutions or between institutions and supervisors about which confidence level to use for the…
Estimating and assessing the risk of a large portfolio is an important topic in financial econometrics and risk management. The risk is often estimated by a substitution of a good estimator of the volatility matrix. However, the accuracy of such a risk estimator for large portfolios is largely unknown, and a simple ine…
ACP-UCB1 ranks arms based on upper-tail performance, improving stochastic bandit algorithms.
problem Stochastic bandit algorithms often favor arms with strong upper-tail performance, which is not well-addressed by classical mean-reward criteria.
method ACP-UCB1 combines an adaptive conformal estimate of the upper endpoint with a UCB-type optimism bonus.
result ACP-UCB1 achieves logarithmic upper-quantile regret with per-arm contribution \(O(
icefrac{\log n}{Δ_j^{\mathrm{ACP}}})\).
In this paper, we first derive a Sobolev inequality along the harmonic-Ricci flow. We then prove a linear parabolic estimate based on the Sobolev inequality and Moser's iteration. As an application, we will obtain an upper bound estimate for the heat kernel under the flow.
In this paper, we study estimates for eigenvalues of the clamped plate problem. A sharp upper bound for eigenvalues is given and the lower bound for eigenvalues in [10] is improved.
This paper introduces a set of algorithms for Monte-Carlo Bayesian reinforcement learning. Firstly, Monte-Carlo estimation of upper bounds on the Bayes-optimal value function is employed to construct an optimistic policy. Secondly, gradient-based algorithms for approximate upper and lower bounds are introduced. Finally…
In this paper, we consider low rank matrix estimation using either matrix-version Dantzig Selector A^λd or matrix-version LASSO estimator A^λL. We consider sub-Gaussian measurements, i.e., the measurements X1,…,Xn∈Rm×m have i.i.d. sub-Gaussian entries. Suppose $\textrm…
We consider a complete noncompact smooth Riemannian manifold M with a weighted measure and the associated drifting Laplacian. We demonstrate that whenever the q-Bakry-Émery Ricci tensor on M is bounded below, then we can obtain an upper bound estimate for the heat kernel of the drifting Laplacian from the upper b…
We prove an asymptotic analog of the classical Hurewicz theorem on mappings which lower dimension. This theorem allows us to find sharp upper bound estimates for the asymptotic dimension of groups acting on finite dimensional metric spaces and allows us to prove a useful extension theorem for asymptotic dimension. As a…
In the first part, we derive a sharp gradient estimate for the log of Dirichlet heat kernel and Poisson heat kernel on domains, and a sharpened local Li-Yau gradient estimate that matches the global one. In the second part, without explicit curvature assumptions, we prove a global upper bound for the fundamental soluti…
We find lower and upper bounds for the risk of estimating a manifold in Hausdorff distance under several models. We also show that there are close connections between manifold estimation and the problem of deconvolving a singular measure.
We establish a uniform estimate for the injectivity radius of the past null cone of a point in a general Lorentzian manifold foliated by spacelike hypersurfaces and satisfying an upper curvature bound. Precisely, our main assumptions are, on one hand, upper bounds on the null curvature of the spacetime and the lapse fu…
TAKDE optimizes kernel density estimation for real-time dynamic processes.
problem Real-time density estimation in applications like computer vision and signal processing.
method Derives asymptotic mean integrated squared error (AMISE) upper bound for 'sliding window' kernel density estimator and proposes TAKDE as a novel, theoretically optimal estimator.
result TAKDE outperforms other dynamic density estimators in terms of test log-likelihood and runtime.
Let Mn be an n-dimensional Riemannian manifold with boundary ∂M. Assume that Ricci curvature is bounded from below by (n−1)k, for $k\in \RR$, we give a sharp estimate of the upper bound of $ρ(x)=\dis(x, \partial M)$, in terms of the mean curvature bound of the boundary. When ∂M is compact, th…
Inequalities for Riemannian manifolds with upper sectional curvature bounds.
problem Bounding Laplace eigenvalues of Riemannian manifolds with sectional curvature constraints.
method Developed inequalities for all Laplace eigenvalues of Riemannian manifolds with upper sectional curvature bounds, extending to conformal metrics and minimal submanifolds.
result Explicit estimates for Laplace eigenvalues of minimal submanifolds in terms of ambient space geometric quantities.