Related papers: Testing the minimum variance method for estimating…
We analyze the accuracy and sample complexity of variational Monte Carlo approaches to simulate the dynamics of many-body quantum systems classically. By systematically studying the relevant stochastic estimators, we are able to: (i) prove…
We simultaneously estimate the four parameters of a subcritical Heston process. We do not restrict ourself to the case where the stochastic volatility process never reaches zero. In order to avoid the use of unmanageable stopping times and…
In the present contribution, we construct a virtual element (VE) discretization for the problem of miscible displacement of one incompressible fluid by another, described by a time-dependent coupled system of nonlinear partial differential…
The rarefied flow and multi-scale flow are crucial for the aerodynamic design of spacecraft, ultra-low orbital vehicles and plumes. By introducing a discrete velocity space, the Boltzmann method, such as the discrete velocity method and…
Motivated by empirical evidence for rough volatility models, this paper investigates continuous-time mean-variance (MV) portfolio selection under the Volterra Heston model. Due to the non-Markovian and non-semimartingale nature of the…
We consider the problem of estimating the roughness of the volatility process in a stochastic volatility model that arises as a nonlinear function of fractional Brownian motion with drift. To this end, we introduce a new estimator that…
Consider discrete time observations (X_{\ell\delta})_{1\leq \ell \leq n+1}$ of the process $X$ satisfying $dX_t= \sqrt{V_t} dB_t$, with $V_t$ a one-dimensional positive diffusion process independent of the Brownian motion $B$. For both the…
We introduce time-inhomogeneous stochastic volatility models, in which the volatility is described by a nonnegative function of a Volterra type continuous Gaussian process that may have very rough sample paths. The main results obtained in…
Based on machine learning techniques, we propose a novel method to estimate flow fields using only floating sensor locations. This method does not require either ground-truth velocity fields or governing equations for fluid flows, which is…
We propose a new class of univariate nonstationary time series models, using the framework of modulated time series, which is appropriate for the analysis of rapidly-evolving time series as well as time series observations with missing…
The maximum likelihood estimation for a time-dependent nonstationary (NS) extreme value model is often too sensitive to influential observations, such as large values toward the end of a sample. Thus, alternative methods using L-moments…
Generalized linear models (GLMs) are fundamental tools for statistical modeling, with maximum likelihood estimation (MLE) serving as the classical approach for parameter inference. While MLE performs well for canonical GLMs, it can become…
The conditional moment problem is a powerful formulation for describing structural causal parameters in terms of observables, a prominent example being instrumental variable regression. A standard approach reduces the problem to a finite…
A cross-benchmark has been done on three critical aspects, data imputing, feature selection and regression algorithms, for machine learning based chemical vapor deposition (CVD) virtual metrology (VM). The result reveals that linear feature…
Mixture models are regularly used in density estimation applications, but the problem of estimating the mixing distribution remains a challenge. Nonparametric maximum likelihood produce estimates of the mixing distribution that are…
We consider batch size selection for a general class of multivariate batch means variance estimators, which are computationally viable for high-dimensional Markov chain Monte Carlo simulations. We derive the asymptotic mean squared error…
Time delay and velocity estimation has been a widely studied subject in the context of signal processing, with applications in many different fields of physics. The velocity of fluctuation structures is typically estimated as the distance…
Large displacement optical flow is an integral part of many computer vision tasks. Variational optical flow techniques based on a coarse-to-fine scheme interpolate sparse matches and locally optimize an energy model conditioned on colour,…
In this series of works, we develop a discrete-velocity-direction model (DVDM) with collisions of BGK-type for simulating gas flows, where the molecular motion is confined to some prescribed directions but the speed is still a continuous…
Estimation of the initial state of turbulent channel flow from limited data is investigated using an adjoint-variational approach. The data are generated from a reference direct numerical simulation (DNS) which is sub-sampled at different…