Related papers: On the implicit interest rate in the Yunus equatio…

Recently there have been increasing interests in learning and inference with implicit distributions (i.e., distributions without tractable densities). To this end, we develop a gradient estimator for implicit distributions based on Stein's…

Structural damping is known to be approximately rate-independent in many cases. Popular models for rate-independent dissipation are hysteresis models; and a highly popular hysteresis model is the Bouc-Wen model. If such hysteretic…

Most of the existing algorithms for approximate Bayesian computation (ABC) assume that it is feasible to simulate pseudo-data from the model at each iteration. However, the computational cost of these simulations can be prohibitive for high…

Solving semiparametric models can be computationally challenging because the dimension of parameter space may grow large with increasing sample size. Classical Newton's method becomes quite slow and unstable with intensive calculation of…

Robust yield curve estimation is crucial in fixed-income markets for accurate instrument pricing, effective risk management, and informed trading strategies. Traditional approaches, including the bootstrapping method and parametric…

This article presents a Bayesian inferential method where the likelihood for a model is unknown but where data can easily be simulated from the model. We discretize simulated (continuous) data to estimate the implicit likelihood in a…

The theory of co-prime arrays has been studied in the past. Nyquist rate estimation of second order statistics using the combined difference set was demonstrated with low latency. This paper proposes a novel method to reconstruct the second…

Computing the probability of evidence even with known error bounds is NP-hard. In this paper we address this hard problem by settling on an easier problem. We propose an approximation which provides high confidence lower bounds on…

This work proposes a general strategy for solving possibly nonlinear problems arising from implicit time discretizations as a sequence of explicit solutions. The resulting sequence may exhibit instabilities similar to those of the base…

Posterior inference with an intractable likelihood is becoming an increasingly common task in scientific domains which rely on sophisticated computer simulations. Typically, these forward models do not admit tractable densities forcing…

Banks are interested in evaluating the risk of the financial distress before giving out a loan. Many researchers proposed the use of models based on the Neural Networks in order to help the banker better make a decision. The objective of…

Interleaving is an online evaluation approach for information retrieval systems that compares the effectiveness of ranking functions in interpreting the users' implicit feedback. Previous work such as Hofmann et al (2011) has evaluated the…

In general, homeowners refinance in response to a decrease in interest rates, as their borrowing costs are lowered. However, it is worth investigating the effects of refinancing after taking the underlying costs into consideration. Here we…

We show that, for the purpose of pricing Swaptions, the Swap rate and the corresponding Forward rates can be considered lognormal under a single martingale measure. Swaptions can then be priced as options on a basket of lognormal assets and…

Globally, two billion people and more than half of the poorest adults do not use formal financial services. Consequently, there is increased emphasis on developing financial technology that can facilitate access to financial products for…

Complex continuous or mixed joint distributions (e.g., P(Y | z_1, z_2, ..., z_N)) generally lack closed-form solutions, often necessitating approximations such as MCMC. This paper proposes Indeterminate Probability Theory (IPT), which makes…

We present a model for direct semi-parametric estimation of the State Price Density (SPD) implied in quoted option prices. We treat the observed prices as expected values of possible pay-offs at maturity, weighted by the unknown probability…

The traditional way of building a yield curve is to choose an interpolation on discount factors, implied by the market tradable instruments. Since then, constructions based on specific interpolations of the forward rates have become the…

In this paper, we consider a class of backward doubly stochastic differential equations (BDSDE for short) with general terminal value and general random generator. Those BDSDEs do not involve any forward diffusion processes. By using the…

Empirical rate-and-state friction laws are widely used in geophysics and engineering to simulate interface slip. They postulate that the friction coefficient depends on the local slip rate and a state variable that reflects the history of…