Related papers: Classification of interest rate curves using Self-…
Decision trees are a popular technique in statistical data classification. They recursively partition the feature space into disjoint sub-regions until each sub-region becomes homogeneous with respect to a particular class. The basic…
At present, there is an explosion of practical interest in the pricing of interest rate (IR) derivatives. Textbook pricing methods do not take into account the leptokurticity of the underlying IR process. In this paper, such a leptokurtic…
Topology identification and inference of processes evolving over graphs arise in timely applications involving brain, transportation, financial, power, as well as social and information networks. This chapter provides an overview of graph…
The most elusive problem around the class of circular-arc graphs is identifying all minimal graphs that are not in this class. The main obstacle is the lack of a systematic way of enumerating these minimal graphs. McConnell [FOCS 2001]…
This paper considers the problem of rate function identification for multidimensional queueing models with feedback. A set of techniques are introduced which allow this identification when the model possesses certain structural properties.…
The Lorenz curve is a fundamental tool for analysing income and wealth distribution and inequality at national and regional levels. We utilise a one-way functional analysis of variance to decompose a time series of Lorenz curves and develop…
Quantification learning is the task of predicting the label distribution of a set of instances. We study this problem in the context of graph-structured data, where the instances are vertices. Previously, this problem has only been…
The simplest field theory description of the multivariate statistics of forward rate variations over time and maturities, involves a quadratic action containing a gradient squared rigidity term. However, this choice leads to a spurious kink…
For the past decades we have experienced an enormous expansion of the accumulated data that humanity produces. Daily a numerous number of smart devices, usually interconnected over internet, produce vast, real-values datasets. Time series…
Process curves are multivariate finite time series data coming from manufacturing processes. This paper studies machine learning that detect drifts in process curve datasets. A theoretic framework to synthetically generate process curves in…
In the present paper, an empirical study of LIBOR (London Interbank Offered Rate) data is presented. In particular, a data set of interest rates from 1997 to 1999, for two different currencies and various maturities, is analyzed. It turns…
Ranking problems, also known as preference learning problems, define a widely spread class of statistical learning problems with many applications, including fraud detection, document ranking, medicine, credit risk screening, image ranking…
Reliability Assessment Commitment (RAC) Optimization is increasingly important in grid operations due to larger shares of renewable generations in the generation mix and increased prediction errors. Independent System Operators (ISOs) also…
We describe an algorithm for computing a $\Q$-rational model for the quotient of a modular curve by an automorphism group, under mild assumptions on the curve and the automorphisms, by determining $q$-expansions for a basis of the…
I present the technique which can analyse some interest rate models: Constantinides-Ingersoll, CIR-model, geometric CIR and Geometric Brownian Motion. All these models have the unified structure of Whittaker function. The main focus of this…
We determine the number of statistically significant factors in a forecast model using a random matrices test. The applied forecast model is of the type of Reduced Rank Regression (RRR), in particular, we chose a flavor which can be seen as…
We compute the automorphism group of the intersection graph of many large-type Artin groups. This graph is an analogue of the curve graph of mapping class groups but in the context of Artin groups. As an application, we deduce a number of…
We show how the size of the Galois groups of iterates of a quadratic polynomial $f(x)$ can be parametrized by certain rational points on the curves $C_n:y^2=f^n(x)$ and their quadratic twists. To that end, we study the arithmetic of such…
Self Organizing Map is trained using unsupervised learning to produce a two-dimensional discretized representation of input space of the training cases. Growing Hierarchical SOM is an architecture which grows both in a hierarchical way…
We consider the global symplectic classification problem of plane curves. First we give the exact classification result under symplectomorphisms, for the case of generic plane curves, namely immersions with transverse self-intersections.…