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Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data
噪声 异步高频 数据估算 因子 现货波动率 矩阵
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2023/5/4
With noisy and asynchronous high-frequency data collected for an ultra-large number of assets, we estimate high-dimensional spot volatility matrices satisfying a low-rank plus sparse structure. A loca...
STABLE GROTHENDIECK POLYNOMIALS AND K-THEORETIC FACTOR SEQUENCES
STABLE GROTHENDIECK POLYNOMIALS K-THEORETIC FACTOR
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2015/12/17
We formulate a nonrecursive combinatorial rule for the expansion
of the stable Grothendieck polynomials of [Fomin-Kirillov '94] in the basis of
stable Grothendieck polynomials for partitions. This g...
The Sentimental Factor:Improving Review Classification via Human-Provided Information
Sentimental Factor Review Classification Human-Provided Information
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2015/8/21
Sentiment classification is the task of labeling a review document according to the polarity of its prevailing opinion (favorable or unfavorable). In approaching this problem, a model builder often ha...
Bi-cross-validation for factor analysis
analysis i-cross-validation
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2015/8/21
Factor analysis is over a century old, but it is still problematic to choose
the number of factors for a given data set. The scree test is popular but subjective. The best performing objective method...
FACTOR MODELS ON LOCALLY TREE-LIKE GRAPHS
Factor models random graphs belief propagation Bethe measures Potts model independent set Gibbs measures free energy density local weak convergence
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2015/8/20
We consider homogeneous factor models on uniformly sparse graph sequences converg-ing locally to a (unimodular) random tree T, and study the existence of the free energy density ,the limit of the log...
A Constant Factor Approximation Algorithm for Event-Based Sampling
Event-Based Sampling Approximation Algorithm
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2015/6/19
We consider a control system in which sensor data is transmitted from the plant to a receiver over a communication channel, and the receiver uses the data to estimate the state of the plant. Using a f...
Fractional Factorial Designs With Admissible Sets of Clear Two-Factor Interactions
Fractional Factorial Designs Admissible Sets Clear Two-Factor Interactions
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2015/3/20
Fractional Factorial Designs With Admissible Sets of Clear Two-Factor Interactions.
Probability Distribution of the Quality Factor of a Mode-Stirred Reverberation Chamber
Probability Distribution Quality Factor a Mode-Stirred Reverberation Chamber
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2012/11/23
We derive a probability distribution, confidence intervals and statistics of the quality (Q) factor of an arbitrarily shaped mode-stirred reverberation chamber, based on ensemble distributions of the ...
Functional dynamic factor models with application to yield curve forecasting
Functional data analysis expectation maximization algorithm natural cubic splines cross-validation roughness penalty
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2012/11/23
Accurate forecasting of zero coupon bond yields for a continuum of maturities is paramount to bond portfolio management and derivative security pricing. Yet a universal model for yield curve forecasti...
Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models
Univariate and multivariatestable distributions MCMC Approximate,Aayesian,Computation Characteristic function
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2012/11/21
In this paper we consider a variety of procedures for numerical statistical inference in the family of univariate and multivariate stable distributions. In connection with univariate distributions (i)...
Factor modeling for high-dimensional time series: Inference for the number of factors
Autocovariance matrices blessing of dimensionality eigenanalysis fast convergence rates multivariate time series
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2012/6/19
This paper deals with the factor modeling for high-dimensional time series based on a dimension-reduction viewpoint. Under stationary settings, the inference is simple in the sense that both the numbe...
A binomial identity on the least prime factor of an integer
binomial identity least prime factor of an integer Number Theory
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2011/9/22
Abstract: An identity for binomial symbols modulo an odd positive integer $n$ relating to the least prime factor of $n$ is proved. The identity is discussed within the context of Pell conics.
Factor frequencies in generalized Thue-Morse words
Factor frequencies generalized Thue-Morse words Combinatorics
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2011/9/20
Abstract: We describe factor frequencies of the generalized Thue-Morse word t_{b,m} defined for integers b greater than 1, m greater than 0 as the fixed point starting in 0 of the morphism \phi_{b,m} ...
Stable orbit equivalence of Bernoulli actions of free groups and isomorphism of some of their factor actions
Stable orbit equivalence Bernoulli actions isomorphism Dynamical Systems Group Theory
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2011/8/26
Abstract: We give an elementary proof for Lewis Bowen's theorem saying that two Bernoulli actions of two free groups, each having arbitrary base probability spaces, are stably orbit equivalent. Our me...
Factor frequencies in languages invariant under more symmetries
Factor frequencies languages invariant Combinatorics
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2011/8/24
Abstract: The number of frequencies of factors of length $n+1$ in a recurrent aperiodic infinite word does not exceed $3\Delta \C(n)$, where $\Delta \C (n)$ is the first difference of factor complexit...