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We propose a method for constructing sparse high-frequency volatility estimators that are robust against change points in the spot volatility process. The estimators we propose are $\ell_1$-regularized versions of existing volatility…
Describing the evolution of quantum systems by means of non-Hermitian generators opens a new avenue to explore the dynamical properties naturally emerging in such a picture, e.g. operation at the so-called exceptional points, preservation…
Measurement-induced phase transitions have largely been explored for projective or continuous measurements of Hermitian observables, assuming perfect detection without information loss. Yet such transitions also arise in more general…
We consider the problem of estimating multiple principal components using the recently-proposed Sparse and Functional Principal Components Analysis (SFPCA) estimator. We first propose an extension of SFPCA which estimates several principal…
A new way to design parameter estimators with enhanced performance is proposed in the paper. The procedure consists of two stages, first, the generation of new regression forms via the application of a dynamic operator to the original…
Motivated by modeling and analysis of mass-spectrometry data, a semi- and nonparametric model is proposed that consists of a linear parametric component for individual location and scale and a nonparametric regression function for the…
Calculating bounds of properties of many-body quantum systems is of paramount importance, since they guide our understanding of emergent quantum phenomena and complement the insights obtained from estimation methods. Recent semidefinite…
A new approach is developed to integrate numerically the equations of motion for systems of interacting rigid polyatomic molecules. With the aid of a leapfrog framework, we directly involve principal angular velocities into the integration,…
For nonparametric inference about a function, multiscale testing procedures resolve the need for bandwidth selection and achieve asymptotically optimal detection performance against a broad range of alternatives. However, critical values…
Many statistical procedures, including goodness-of-fit tests and methods for independent component analysis, rely critically on the estimation of the entropy of a distribution. In this paper, we seek entropy estimators that are efficient…
In this paper, we propose a multi-step inertial Forward--Backward splitting algorithm for minimizing the sum of two non-necessarily convex functions, one of which is proper lower semi-continuous while the other is differentiable with a…
An approach is proposed to improve the efficiency of fourth-order algorithms for numerical integration of the equations of motion in molecular dynamics simulations. The approach is based on an extension of the decomposition scheme by…
We have presented some practical consequences on the molecular-dynamics simulations arising from the numerical algorithm published recently in paper Int. J. Mod. Phys. C 16, 413 (2005). The algorithm is not a finite-difference method and…
A numerical implementation scheme is presented for the recently developed many-body diffusion approach for identical particles, in the case of harmonic potentials. The procedure is free of the sign problem, by the introduction of the…
In this paper, we deal with the Front Steepest Descent algorithm for multi-objective optimization. We point out that the algorithm from the literature is often incapable, by design, of spanning large portions of the Pareto front. We thus…
We provide a unified approach to a method of estimation of the regression parameter in balanced linear models with a structured covariance matrix that combines a high breakdown point and bounded influence with high asymptotic efficiency at…
The asymmetric objective function is proposed as an alternative to Huber objective function to model skewness and obtain robust estimators for the location, scale and skewness parameters. The robustness and asymptotic properties of the…
Wavelet phase is a critical parameter in seismic processing, where zero-phase wavelets are essential for maximizing temporal resolution and ensuring accurate interpretation of subsurface structures. In practice, however, the seismic wavelet…
In this paper we consider Tyler's robust covariance M-estimator under group symmetry constraints. We assume that the covariance matrix is invariant to the conjugation action of a unitary matrix group, referred to as group symmetry. Examples…
In this paper, we introduce a multilevel algorithm for approximating variational formulations of symmetric saddle point systems. The algorithm is based on availability of families of stable finite element pairs and on the availability of…