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Small Variance Asymptotics for Dirichlet Process Mixtures of SVMs
Small Variance Asymptotics Dirichlet Process Mixtures SVM
2016/1/22
Infinite SVM (iSVM) is a Dirichlet process (DP) mix-ture of large-margin classifiers. Though flexible in learning nonlinear classifiers and discovering latent clustering structures, iSVM has a difficu...
Tail Asymptotics for the Maximum of Perturbed Random Walk
Perturbed random walk Cramér–Lundberg approximation coupling heavy tails
2015/7/6
Consider a random walk S = (Sn:n≥0) that is “perturbed” by a stationary sequence (ξn:n≥0) to produce the process (Sn+ξn:n≥0). This paper is concerned with computing the distribution of the all-time ma...
Frobenius modules and Hodge asymptotics
Communication potential is defined the small quantum module structure asymptotic model change the data structure
2014/12/29
We exhibit a direct correspondence between the potential defining the H1,1 small quantum module structure on the cohomology of a Calabi-Yau manifold and the asymptotic data of the A-model variation of...
Dynamic Clustering via Asymptotics of the Dependent Dirichlet Process Mixture
Dynamic Clustering Asymptotics Dependent Dirichlet Process Mixture
2013/6/17
This paper presents a novel algorithm, based upon the dependent Dirichlet process mixture model (DDPMM), for clustering batch-sequential data containing an unknown number of evolving clusters. The alg...
High-Frequency Asymptotics for Lipschitz-Killing Curvatures of Excursion Sets on the Sphere
High-Frequency Asymptotics Spherical Ran-dom Fields Gaussian Subordination Lipschitz-Killing Curvatures Minkowski Functionals Excursion Sets
2013/5/2
In this paper, we shall be concerned with geometric functionals and excursion probabilities for some nonlinear transforms evaluated on Fourier components of spherical random fields. In particular, we ...
Asymptotics for penalized spline estimators in quantile regression
Asymptotic normality, B-spline,Penalized spline,Quantile regression
2012/11/22
Quantile regression predicts the $\tau$-quantile of the conditional distribution of a response variable given the explanatory variable for $\tau\in(0,1)$. The aim of this paper is to establish the asy...
Parallelism, Uniqueness, and Large-Sample Asymptotics for the Dantzig Selector
Lasso,Regularizedregression Variableselectionandestimation.
2012/11/21
The Dantzig selector (Candes and Tao, 2007) is a popular l1-regularization method for variable selection and estimation in linear regression. We present a very weak geometric condition on the observed...
Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration
Second Order Multiscale Stochastic Volatility Asymptotics Stochastic Terminal Layer Analysis Calibration
2012/9/14
Multiscale stochastic volatility models have been developed as an efficient way to capture the principle effects on derivative pricing and portfolio optimization ofrandomly varying volatility. The rec...
Asymptotics for Exponential Levy Processes and their Volatility Smile: Survey and New Results
Exponential Levy processes short-time asymptotics long-time asymp-totics implied volatility Lewis-Lipton formula.
2012/9/14
Exponential Levy processes can be used to model the evolution of various nancial variables such as FX rates, stock prices, etc. Considerable e orts have been devoted to pricing derivatives written o...
Asymptotics for penalized splines in generalized additive models
Asymptotic normality B-spline Generalized additive model Mixed model Pe-nalized spline
2012/9/17
This paper discusses asymptotic theory for penalized spline estimators in generalized additive models. The purpose of this paper is to establish the asymptotic bias and variance as well as the asympto...
Second Order Asymptotics for Quantum Hypothesis Testing
Second Order Asymptotics Quantum Hypothesis Testing
2012/9/18
In the asymptotic theory of quantum hypothesis testing, the error probability of the first kind jumps sharply from zero to one when the error exponent of the second kind passes by the point of the rel...
Asymptotics of Asynchronicity
non-synchronous observations quadratic covariation Hayashi-Yoshida estimator
2011/7/6
In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hayashi-Yoshida estimat...
Asymptotics and optimal bandwidth selection for highest density region estimation
Density contour density level set kernel density estimator
2010/10/14
We study kernel estimation of highest-density regions (HDR). Our main contributions are two-fold. First, we derive a uniform-in-bandwidth asymptotic approximation to a risk that is appropriate for HD...
Asymptotics and Duality for the Davis and Norman Problem
Asymptotics Duality Davis Norman Problem
2010/10/22
We revisit the problem of maximizing expected logarithmic utility from consumption over an infinite horizon in the Black-Scholes model with proportional transaction costs, as studied in the seminal p...
Small-time asymptotics for fast mean-reverting stochastic volatility models
Small-time asymptotics fast mean-reverting stochastic volatility models
2010/10/21
In this paper, we study stochastic volatility models in regimes where the maturity is small but large compared to the mean-reversion time of the stochastic volatility factor. The problem falls in the...