Related papers: Diamonds and forward variance models
The purpose of this paper is to analyze certain statistics of a recently introduced non-uniform random tree model, biased recursive trees. This model is based on constructing a random tree by establishing a correspondence with non-uniform…
Strong line metallicity calibrations are widely used to determine the gas phase metallicities of individual HII regions and entire galaxies. Over a decade ago, based on the Sloan Digital Sky Survey Data Release 4 (SDSS DR4), Kewley \&…
We consider two kinds of stochastic volatility models. Both kinds of models contain a stationary volatility process, the density of which, at a fixed instant in time, we aim to estimate. We discuss discrete time models where for instance a…
Existing ordinal trees and random forests typically use scores that are assigned to the ordered categories, which implies that a higher scale level is used. Versions of ordinal trees are proposed that take the scale level seriously and…
We generalize the diamond principle and its variants using the notion of stationarity in trees introduced by Brodsky in [Brodsky, A. M., A theory of stationary trees and the balanced Baumgartner--Hajnal--Todorcevic theorem for trees. The…
We study the dynamical behaviour of weighted shifts defined on sequence spaces of a directed tree. In particular, we characterize their boundedness as well as when they are hypercyclic, weakly mixing and mixing.
The goal of these notes is to provide an introduction to rough partial differential equations. For this purpose, we will present the theory of rough paths to the extend as it is required. Applications to stochastic partial differential…
We describe a model for evolving commodity forward prices that incorporates three important dynamics which appear in many commodity markets: mean reversion in spot prices and the resulting Samuelson effect on volatility term structure,…
The scope of this manuscript is to review some recent developments in statistics for discretely observed semimartingales which are motivated by applications for financial markets. Our journey through this area stops to take closer looks at…
Financial time series often exhibit skewness and heavy tails, making it essential to use models that incorporate these characteristics to ensure greater reliability in the results. Furthermore, allowing temporal variation in the skewness…
We provide a rigorous framework for handling uncertainty in quantitative fault tree analysis based on fuzzy theory. We show that any algorithm for fault tree unreliability analysis can be adapted to this framework in a fully general and…
Notwithstanding the evidence against them, classical variational phase-field models continue to be used and pursued in an attempt to describe fracture nucleation in elastic brittle materials. In this context, the main objective of this…
Modeling of phenomena such as anomalous transport via fractional-order differential equations has been established as an effective alternative to partial differential equations, due to the inherent ability to describe large-scale behavior…
Financial studies require volatility based models which provides useful insights on risks related to investments. Stochastic volatility models are one of the most popular approaches to model volatility in such studies. The asset returns…
In this work we analyze bucket increasing tree families. We introduce two simple stochastic growth processes, generating random bucket increasing trees of size $n$, complementing the earlier result of Mahmoud and Smythe for bucket recursive…
In the following paper we consider a simulation technique for stochastic trees. One of the most important areas in computational genetics is the calculation and subsequent maximization of the likelihood function associated to such models.…
Random forests are classical ensemble algorithms that construct multiple randomized decision trees and aggregate their predictions using naive averaging. \citet{zhou2019deep} further propose a deep forest algorithm with multi-layer forests,…
To most mathematicians and computer scientists the word ``tree'' conjures up, in addition to the usual image, the image of a connected graph with no circuits. In the last few years various types of trees have been the subject of much…
The selection of grouped variables using the random forest algorithm is considered. First a new importance measure adapted for groups of variables is proposed. Theoretical insights into this criterion are given for additive regression…
We present a stochastic-local volatility model for derivative contracts on commodity futures able to describe forward-curve and smile dynamics with a fast calibration to liquid market quotes. A parsimonious parametrization is introduced to…