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Now showing items 661-670 of 1390
Estimate nothing
(Taylor & FrancisQuantitative Finance, 2014)
In the econometrics of financial time series, it is customary to take some parametric model for the data, and then estimate the parameters from historical data. This approach suffers from several problems. Firstly, how is ...
An explicit upper bound for the Helfgott delta in SL(2,p)
(ElsevierJournal of Algebra, 2014-09-23)
Helfgott proved that there exists a δ > 0 such that if S is a symmetric generating subset of SL(2, p)containing 1 then either S^3=SL(2, p)or |S^3| ≥|S|^1+ δ. It is known that δ ≥ 1/3024. Here we show that δ ≤ (log_2 (7) ...
Optimal investment: bounds and heuristics
(Incisive Financial PublishingJournal of Computational Finance, 2015-10-28)
High-dimensional optimal investment/consumption problems are hard to deal with, not least because of the difficulty in characterizing the value function. This paper tries to offer ways to determine an approximately optimal ...
Investing and stopping
(Applied Probability TrustJournal of Applied Probability, 2014)
In this paper we solve the hedge fund manager’s optimization problem in a model that allows for investors to enter and leave the fund over time depending on its performance. The manager’s payoff at the end of the year will ...
Quadratic differentials as stability conditions
(SpringerPublications mathématiques de l'IHÉS, 2014)
We prove that moduli spaces of meromorphic quadratic differentials with simple zeroes on compact Riemann surfaces can be identified with spaces of stability conditions on a class of CY3 triangulated categories defined using ...
Quadratic differentials as stability conditions
(SpringerPublications mathématiques de l'IHÉS, 2014)
We prove that moduli spaces of meromorphic quadratic differentials with simple zeroes on compact Riemann surfaces can be identified with spaces of stability conditions on a class of CY3 triangulated categories defined using ...
A Symplectic Prolegomenon
(American Mathematical SocietyBulletin of the American Mathematical Society, 2014)
A symplectic manifold gives rise to a triangulated A∞-category, the derived Fukaya category, which encodes information on Lagrangian submanifolds and dynamics as probed by Floer cohomology. This survey aims to give some ...
Towards Automatic Model Comparison: An Adaptive Sequential Monte Carlo Approach
(Taylor & FrancisJournal of Computational and Graphical Statistics, 2015-08-17)
Model comparison for the purposes of selection, averaging and validation is a problem found throughout statistics. Within the Bayesian paradigm, these problems all require the calculation of the posterior probabilities of ...
Statistical and computational trade-offs in estimation of sparse principal components
(Institute of Mathematical StatisticsAnnals of Statistics, 2016)
In recent years, Sparse Principal Component Analysis has emerged as an extremely popular dimension reduction technique for highdimensional data. The theoretical challenge, in the simplest case, is to estimate the leading ...
A Functional Approach to Deconvolve Dynamic Neuroimaging Data
(Taylor & FrancisJournal of the American Statistical Association, 2015-11-20)
Positron Emission Tomography (PET) is an imaging technique which can be used
to investigate chemical changes in human biological processes such as cancer development or neurochemical reactions. Most dynamic PET scans are ...