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Robust and reliable covariance estimates play a decisive role in financial and many other applications. An important class of estimators is based on Factor models. Here, we show by extensive Monte Carlo simulations that covariance matrices…

Portfolio Management · Quantitative Finance 2015-03-19 Daniel Bartz , Kerr Hatrick , Christian W. Hesse , Klaus-Robert Müller , Steven Lemm

A key driver of Credit Value Adjustment (CVA) is the possible dependency between exposure and counterparty credit risk, known as Wrong-Way Risk (WWR). At this time, addressing WWR in a both sound and tractable way remains challenging:…

Mathematical Finance · Quantitative Finance 2016-11-10 Damiano Brigo , Frédéric Vrins

Reducing reinforcement learning to supervised learning is a well-studied and effective approach that leverages the benefits of compact function approximation to deal with large-scale Markov decision processes. Independently, the boosting…

Machine Learning · Computer Science 2023-01-26 Nataly Brukhim , Elad Hazan , Karan Singh

In this work, we consider the problem of recovering analysis-sparse signals from under-sampled measurements when some prior information about the support is available. We incorporate such information in the recovery stage by suitably tuning…

Information Theory · Computer Science 2019-01-30 Sajad Daei , Farzan Haddadi , Arash Amini

In optical metrological protocols to measure physical quantities, it is, in principle, always beneficial to increase photon number to improve measurement precision. However, practical constraints prevent arbitrary increase of n due to the…

Chance imbalance in baseline characteristics is common in randomized clinical trials. Regression adjustment such as the analysis of covariance (ANCOVA) is often used to account for imbalance and increase precision of the treatment effect…

Methodology · Statistics 2020-08-14 Shuxi Zeng , Fan Li , Rui Wang , Fan Li

Combining p-values to integrate multiple effects is of long-standing interest in social science and biomedical research. In this paper, we focus on revisiting a classical scenario closely related to meta-analysis, which combines a…

Methodology · Statistics 2022-04-15 Yusi Fang , Chung Chang , George Tseng

Matching methods are widely used to reduce confounding effects in observational studies, but conventional approaches often treat all covariates as equally important, which can result in poor performance when covariates differ in their…

Machine Learning · Statistics 2025-09-01 Hongzhe Zhang , Jiasheng Shi , Jing Huang

Wireless power transfer (WPT) is expected to be a technology reshaping the landscape of low-power applications such as the Internet of Things, machine-to-machine communications and radio frequency identification networks. Although there has…

Information Theory · Computer Science 2016-05-05 Yang Huang , Bruno Clerckx

Data assimilation performance can be significantly impacted by biased noise in observations, altering the signal magnitude and introducing fast oscillations or discontinuities when the system lacks smoothness. To mitigate these issues, this…

Numerical Analysis · Mathematics 2024-11-05 Felipe Galarce , Joaquin Mura , Alfonso Caiazzo

The problem of estimating a random vector x from noisy linear measurements y = A x + w with unknown parameters on the distributions of x and w, which must also be learned, arises in a wide range of statistical learning and linear inverse…

Information Theory · Computer Science 2017-06-20 Alyson K. Fletcher , Mojtaba Sahraee-Ardakan , Philip Schniter , Sundeep Rangan

Global expression analyses using microarray technologies are becoming more common in genomic research, therefore, new statistical challenges associated with combining information from multiple studies must be addressed. In this paper we…

Applications · Statistics 2013-01-29 Jia Li , George C. Tseng

Independent Vector Analysis (IVA) is an effective approach for Blind Source Separation (BSS) of convolutive mixtures of audio signals. As a practical realization of an IVA-based BSS algorithm, the so-called AuxIVA update rules based on the…

Audio and Speech Processing · Electrical Eng. & Systems 2020-09-22 Andreas Brendel , Walter Kellermann

Although persistent excitation is often acknowledged as a sufficient condition to exponentially converge in the field of adaptive parameter estimation, it must be noted that in practical applications this may be unguaranteed. Recently, more…

Systems and Control · Electrical Eng. & Systems 2024-03-19 Siyu Chen , Jing Na , Yingbo Huang

Speech dereverberation is an important issue for many real-world speech processing applications. Among the techniques developed, the weighted prediction error (WPE) algorithm has been widely adopted and advanced over the last decade, which…

Audio and Speech Processing · Electrical Eng. & Systems 2021-02-11 Joon-Young Yang , Joon-Hyuk Chang

For testing a group of hypotheses, tremendous $p$-value combination methods have been developed and widely applied since 1930's. Some methods (e.g., the minimal $p$-value) are optimal for sparse signals, and some others (e.g., Fisher's…

Methodology · Statistics 2018-01-16 Hong Zhang , Tiejun Tong , John E Landers , Zheyang Wu

Weak measurement [1,19] combined with quantum delayed-choice experiment that use quantum beam splitter instead of the beam splitter give rise to a surprising amplification effect, i.e., counterintuitive negative amplification effect. We…

Quantum Physics · Physics 2016-01-20 Gang Li , Tao Wang , Ming-Yong Ye , and He-Shan Song

This paper introduces a novel domain adaptation technique for time series data, called Mixing model Stiefel Adaptation (MSA), specifically addressing the challenge of limited labeled signals in the target dataset. Leveraging a…

Signal Processing · Electrical Eng. & Systems 2024-02-07 Antoine Collas , Rémi Flamary , Alexandre Gramfort

Transductive Few-Shot learning has gained increased attention nowadays considering the cost of data annotations along with the increased accuracy provided by unlabelled samples in the domain of few shot. Especially in Few-Shot…

Machine Learning · Computer Science 2022-09-20 Yuqing Hu , Stéphane Pateux , Vincent Gripon

Multiclass probability estimation is the problem of estimating conditional probabilities of a data point belonging to a class given its covariate information. It has broad applications in statistical analysis and data science. Recently a…

Methodology · Statistics 2022-09-23 Liyun Zeng , Hao Helen Zhang