Related papers: Affine-Invariant Midrange Statistics
Motivated by the interest of observing the growth of cancer cells among normal living cells and exploring how galaxies and stars are truly formed, the objective of this paper is to introduce a rigorous and effective method for counting…
We introduce a new set of algorithms to compute Jacobi matrices associated with measures generated by infinite systems of iterated functions. We demonstrate their relevance in the study of theoretical problems, such as the continuity of…
This article investigates parameter estimation of affine term structure models by means of the generalized method of moments. Exact moments of the affine latent process as well as of the yields are obtained by using results derived for…
This thesis is devoted to the study of affine processes and their applications in financial mathematics. In the first part we consider the theory of time-inhomogeneous affine processes on general state spaces. We present a concise setup for…
A certain real number, depending on two neighbouring sides of a quadrilateral and the diagonal meeting these two sides at their common point, is shown to be invariant under affinity. As an application we demonstrate a nice formula for the…
In this paper we propose a fast optimization algorithm for approximately minimizing convex quadratic functions over the intersection of affine and separable constraints (i.e., the Cartesian product of possibly nonconvex real sets). This…
We consider a symmetric matrix, the entries of which depend linearly on some parameters. The domains of the parameters are compact real intervals. We investigate the problem of checking whether for each (or some) setting of the parameters,…
I extend the framework of rigid analytic geometry to the setting of algebraic geometry relative to monoids, and study the associated notions of separated, proper, and overconvergent morphisms. The category of affine manifolds embeds as a…
We introduce An(1) (n=1,2,...) affine quiver matrix model by simply adopting the extended Cartan matrices as incidence matrices and study its finite N Schwinger-Dyson equations as well as their planar limit. In the case of n=1, we extend…
We study the problem of learning a partially observed matrix under the low rank assumption in the presence of fully observed side information that depends linearly on the true underlying matrix. This problem consists of an important…
Consider an $n \times n$ non-Hermitian random matrix $M_n$ whose entries are independent real random variables. Under suitable conditions on the entries, we study the fluctuations of the entries of $f(M_n)$ as $n$ tends to infinity, where…
We provide a theory to establish the existence of nonzero solutions of perturbed Hammerstein integral equations with deviated arguments, being our main ingredient the theory of fixed point index. Our approach is fairly general and covers a…
We solve the convergence case of the generalized Baker-Schmidt problem for simultaneous approximation on affine subspaces, under natural diophantine type conditions. In one of our theorems, we do not require monotonicity on the…
We observe that the characteristic polynomial of a linearly perturbed semidefinite matrix can be used to give the convergence rate of alternating projections for the positive semidefinite cone and a line. As a consequence, we show that such…
The performance of Markov chain Monte Carlo samplers strongly depends on the properties of the target distribution such as its covariance structure, the location of its probability mass and its tail behavior. We explore the use of bijective…
We propose an interior point method (IPM) for solving semidefinite programming problems (SDPs). The standard interior point algorithms used to solve SDPs work in the space of positive semidefinite matrices. Contrary to that the proposed…
We present new criteria on the existence of fixed points that combine some monotonicity assumptions with the classical fixed point index theory. As an illustrative application, we use our theoretical results to prove the existence of…
The Fisher information matrix (FIM) plays an important role in the analysis of parameter inference and system design problems. In a number of cases, however, the statistical data distribution and its associated information matrix are either…
We define a new numerical range of an n\timesn complex matrix in terms of correlation matrices and develop some of its properties. We also define a related numerical range that arises from Alain Connes' famous embedding problem.
In this article, we present a method for approximating affine processes on the cone of positive Hilbert-Schmidt operators using matrix-valued affine processes. By leveraging results from the theory on affine processes with values in the…