Related papers: Variance-Gamma (VG) model: Fractional Fourier Tran…
In recent years there has been a growing interest in the fractional Fourier transform driven by its large number of applications. The literature in this field follows two main routes. On the one hand, the areas where the ordinary Fourier…
Sampling theory in fractional Fourier Transform (FrFT) domain has been studied extensively in the last decades. This interest stems from the ability of the FrFT to generalize the traditional Fourier Transform, broadening the traditional…
Normalizing flow (NF) has gained popularity over traditional maximum likelihood based methods due to its strong capability to model complex data distributions. However, the standard approach, which maps the observed data to a normal…
The fundamentals of Fourier Transform are presented, with analytical solutions derived for Continuous Fourier Transform (CFT) of truncated signals, to benchmark against Fast Fourier Transform (FFT). Certain artifacts from FFT were…
The variance gamma model is a widely popular model for option pricing in both academia and industry. In this paper, we provide a new perspective for pricing European style options for the variance gamma model by deriving closed-form…
This paper investigates Frequentist consistency properties of the posterior distributions constructed via Generalized Variational Inference (GVI). A number of generic and novel strategies are given for proving consistency, relying on the…
A Discrete Fourier Transform Method (DFTM) for discrimination between the signal of neutrons and gamma rays in organic scintillation detectors is presented. The method is based on the transformation of signals into the frequency domain…
In this paper, we propose a Network-Weighted Functional Regression (NWFR) model, an extension of Spatially Weighted Functional Regression (SWFR) to functional data defined on network-structured settings. To asses predictive uncertainity, we…
Building upon factor decomposition to overcome the curse of dimensionality inherent in multivariate volatility processes, we develop a factor model-based multivariate stochastic volatility (fMSV) framework. We propose a two-stage estimation…
With the growing demand for non-Euclidean data analysis, graph signal processing (GSP) has gained significant attention for its capability to handle complex time-varying data. This paper introduces a novel sampling method based on the joint…
While stochastic variational inference is relatively well known for scaling inference in Bayesian probabilistic models, related methods also offer ways to circumnavigate the approximation of analytically intractable expectations. The key…
Factorization machine (FM) is a prevalent approach to modeling pairwise (second-order) feature interactions when dealing with high-dimensional sparse data. However, on the one hand, FM fails to capture higher-order feature interactions…
We propose in this work RBM-SVGD, a stochastic version of Stein Variational Gradient Descent (SVGD) method for efficiently sampling from a given probability measure and thus useful for Bayesian inference. The method is to apply the Random…
First-passage probability estimation of high-dimensional nonlinear stochastic systems is a significant task to be solved in many science and engineering fields, but remains still an open challenge. The present paper develops a novel…
This work develops change-point methods for statistics of high-frequency data. The main interest is in the volatility of an It\^{o} semi-martingale, the latter being discretely observed over a fixed time horizon. We construct a…
Models that balance accuracy against computational costs are advantageous when designing dynamic systems with optimization studies, as several hundred predictive function evaluations might be necessary to identify the optimal solution. The…
The state-of-the-art automotive radars employ multidimensional discrete Fourier transforms (DFT) in order to estimate various target parameters. The DFT is implemented using the fast Fourier transform (FFT), at sample and computational…
We present Fractional Diffusion Bridge Models (FDBM), a novel generative diffusion bridge framework driven by an approximation of the rich and non-Markovian fractional Brownian motion (fBM). Real stochastic processes exhibit a degree of…
Given a graph with partial observations of node features, how can we estimate the missing features accurately? Feature estimation is a crucial problem for analyzing real-world graphs whose features are commonly missing during the data…
We present a novel and flexible data-driven framework for estimating the response of higher-order moments of nonlinear stochastic systems to small external perturbations. The classical Generalized Fluctuation--Dissipation Theorem (GFDT)…