Related papers: Exact Smooth Term-Structure Estimation
In this paper, we derive high-dimensional asymptotic properties of the Moore-Penrose inverse and, as a byproduct, of various ridge-type inverses of the sample covariance matrix. In particular, the analytical expressions of the asymptotic…
The computational complexity of simultaneous inference methods in high-dimensional linear regression models quickly increases with the number variables. This paper proposes a computationally efficient method based on the Moore-Penrose…
We develop the first stochastic incremental method for calculating the Moore-Penrose pseudoinverse of a real matrix. By leveraging three alternative characterizations of pseudoinverse matrices, we design three methods for calculating the…
Pseudoinverses are ubiquitous tools for handling over- and under-determined systems of equations. For computational efficiency, sparse pseudoinverses are desirable. Recently, sparse left and right pseudoinverses were introduced, using…
In the last decades the Moore-Penrose pseudoinverse has found a wide range of applications in many areas of Science and became a useful tool for physicists dealing, for instance, with optimization problems, with data analysis, with the…
This paper investigates the comparative performance of two fundamental approaches to solving linear regression problems: the closed-form Moore-Penrose pseudoinverse and the iterative gradient descent method. Linear regression is a…
We show how spectral submanifold (SSM) theory can be used to extract forced-response curves, including isolas, without any numerical simulation in high-degree-of-freedom, periodically forced mechanical systems. We use multivariate…
We generalize the Wedderburn rank reduction formula by replacing the inverse with the Moore--Penrose pseudoinverse. In particular, this allows one to remove the non--singularity of a certain matrix from assumptions. The results implies in a…
A principal curve serves as a powerful tool for uncovering underlying structures of data through 1-dimensional smooth and continuous representations. On the basis of optimal transport theories, this paper introduces a novel principal curve…
We present a fully nonparametric method to estimate the value function, via simulation, in the context of expected infinite-horizon discounted rewards for Markov chains. Estimating such value functions plays an important role in approximate…
The pseudoinverse of a matrix, a generalized notion of the inverse, is of fundamental importance in linear algebra and, thereby, in many different fields. Despite its proven existence, an algorithmic approach is typically necessary to…
We develop quaternion--native iterative methods for computing the Moore--Penrose (MP) pseudoinverse of quaternion matrices and analyze their convergence. Our starting point is a damped Newton--Schulz (NS) iteration tailored to…
If pricing kernels are assumed non-negative then the inverse problem of finding the pricing kernel is well-posed. The constrained least squares method provides a consistent estimate of the pricing kernel. When the data are limited, a new…
We propose a new method for low-rank approximation of Moore-Penrose pseudoinverses (MPPs) of large-scale matrices using tensor networks. The computed pseudoinverses can be useful for solving or preconditioning of large-scale overdetermined…
Importance sampling is a promising variance reduction technique for Monte Carlo simulation based derivative pricing. Existing importance sampling methods are based on a parametric choice of the proposal. This article proposes an algorithm…
A practical challenge for structural estimation is the requirement to accurately minimize a sample objective function which is often non-smooth, non-convex, or both. This paper proposes a simple algorithm designed to find accurate solutions…
We consider the theory of bond discounts, defined as the difference between the terminal payoff of the contract and its current price. Working in the setting of finite-dimensional realizations in the HJM framework, under suitable notions of…
In this article we provide a fast computational method in order to calculate the Moore-Penrose inverse of singular square matrices and of rectangular matrices. The proposed method proves to be much faster and has significantly better…
We consider nonparametric estimation of a regression curve when the data are observed with multiplicative distortion which depends on an observed confounding variable. We suggest several estimators, ranging from a relatively simple one that…
We introduce PseudoNet, a new pseudolikelihood-based estimator of the inverse covariance matrix, that has a number of useful statistical and computational properties. We show, through detailed experiments with synthetic and also real-world…