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We provide a nonparametric method for the computation of instantaneous multivariate volatility for continuous semi-martingales, which is based on Fourier analysis. The co-volatility is reconstructed as a stochastic function of time by…
We trace with analytical methods and in a model parameter independent manner the independent bits of Fisher information of each of the moments of the lognormal distribution, as a now standard prescription for the distribution of the…
Generative models aim to learn the distribution of datasets, such as images, so as to be able to generate samples that statistically resemble real data. However, learning the underlying probability distribution can be very challenging and…
Effective field theory (EFT) methods are applied to density functional theory (DFT) as part of a program to systematically go beyond mean-field approaches to medium and heavy nuclei. A system of fermions with short-range, natural…
We consider the statistical properties of the gravitational field F in an infinite one-dimensional homogeneous Poisson distribution of particles, using an exponential cut-off of the pair interaction to control and study the divergences…
This work presents a method of computing Voigt functions and their derivatives, to high accuracy, on a uniform grid. It is based on an adaptation of Fourier-transform based convolution. The relative error of the result decreases as the…
We discuss various analytic and numerical methods that have been used to get option prices within a framework of the VG model. We show that some popular methods, for instance, Carr-Madan's FFT method could blow up for certain values of the…
In this paper, we consider some aspects of the numerical analysis of the mathematical model of fractional Duffing with a derivative of variable fractional order of the Riemann-Liouville type. Using numerical methods: an explicit…
The full width at half maximum (FWHM) is a useful quantity for characterizing the bandwidth of unimodal functions. However, a closed-form expression for the FWHM of gamma-shaped functions-i.e. functions that are shaped like the gamma…
The graph fractional Fourier transform (GFRFT) for unitary graph Fourier transform (GFT) matrices can be interpreted through the scalar function $e^{j\alpha\theta}$ on the unit circle. Under the principal branch, its Fourier-series…
Given a low frequency sample of an infinitely divisible moving average random field $\{\int_{\mathbb{R}^d} f(x-t)\Lambda(dx); \ t \in \mathbb{R}^d \}$ with a known simple function $f$, we study the problem of nonparametric estimation of the…
A flow matching model learns a time-dependent vector field $v_t(x)$ that generates a probability path $\{ p_t \}_{0 \leq t \leq 1}$ that interpolates between a well-known noise distribution ($p_0$) and the data distribution ($p_1$). It can…
We extend conformal prediction methodology beyond the case of exchangeable data. In particular, we show that a weighted version of conformal prediction can be used to compute distribution-free prediction intervals for problems in which the…
We propose a function-valued evaluation metric for generative models based on the relative density ratio (RDR) designed to characterize distributional differences between real and generated samples. As an evaluation metric, the RDR function…
This work introduces a new method for selecting the number of components in finite mixture models (FMMs) using variational Bayes, inspired by the large-sample properties of the Evidence Lower Bound (ELBO) derived from mean-field (MF)…
Gaussian belief propagation (GBP) is a recursive computation method that is widely used in inference for computing marginal distributions efficiently. Depending on how the factorization of the underlying joint Gaussian distribution is…
The nonlinear Fourier transform (NFT), a powerful tool in soliton theory and exactly solvable models, is a method for solving integrable partial differential equations governing wave propagation in certain nonlinear media. The NFT…
We provide a rigorous convergence proof demonstrating that the well-known semi-analytical Fourier cosine (COS) formula for the inverse Fourier transform of continuous probability distributions can be extended to discrete probability…
A reduced-bias nonparametric estimator of the cumulative distribution function (CDF) and the survival function is proposed using infinite-order kernels. Fourier transform theory on generalized functions is utilized to obtain the improved…
Cyber-physical systems, like Smart Buildings and power plants, have to meet high standards, both in terms of reliability and availability. Such metrics are typically evaluated using Fault trees (FTs) and do not consider maintenance…