Related papers: Testing for the Minimum Mean-Variance Spanning Set
We study the design of portfolios under a minimum risk criterion. The performance of the optimized portfolio relies on the accuracy of the estimated covariance matrix of the portfolio asset returns. For large portfolios, the number of…
Optimal mean shift vector (OMSV)-based importance sampling methods have long been prevalent in yield estimation and optimization as an industry standard. However, most OMSV-based methods are designed heuristically without a rigorous…
This paper discusses the efficient Bayesian estimation of a multivariate factor stochastic volatility (Factor MSV) model with leverage. We propose a novel approach to construct the sampling schemes that converges to the posterior…
We propose a new inference framework, named MOSAIC, for change-point detection in dynamic networks with the simultaneous low-rank and sparse-change structure. We establish the minimax rate of detection boundary, which relies on the sparsity…
Compressed sensing (CS) demonstrates that sparse signals can be estimated from under-determined linear systems. Distributed CS (DCS) further reduces the number of measurements by considering joint sparsity within signal ensembles. DCS with…
We consider the problem of sequentially learning to estimate, in the mean squared error (MSE) sense, a Gaussian $K$-vector of unknown covariance by observing only $m < K$ of its entries in each round. We propose two MSE estimators, and…
The Minimum Covariance Determinant (MCD) approach robustly estimates the location and scatter matrix using the subset of given size with lowest sample covariance determinant. Its main drawback is that it cannot be applied when the dimension…
We study subset selection for matrices defined as follows: given a matrix $\matX \in \R^{n \times m}$ ($m > n$) and an oversampling parameter $k$ ($n \le k \le m$), select a subset of $k$ columns from $\matX$ such that the pseudo-inverse of…
With the availability of high frequency financial data, nonparametric estimation of volatility of an asset return process becomes feasible. A major problem is how to estimate the volatility consistently and efficiently, when the observed…
We consider the problem of estimating a probability of failure $\alpha$, defined as the volume of the excursion set of a function $f:\mathbb{X} \subseteq \mathbb{R}^{d} \to \mathbb{R}$ above a given threshold, under a given probability…
Variable selection in linear regression settings is a much discussed problem. Best subset selection (BSS) is often considered the intuitive 'gold standard', with its use being restricted only by its NP-hard nature. Alternatives such as the…
Sign-Perturbed Sum (SPS) is a powerful finite-sample system identification algorithm which can construct confidence regions for the true data generating system with exact coverage probabilities, for any finite sample size. SPS was developed…
Biased stochastic estimators, such as finite-differences for noisy gradient estimation, often contain parameters that need to be properly chosen to balance impacts from the bias and the variance. While the optimal order of these parameters…
We describe and analyze a variance reduction approach for Monte Carlo (MC) sampling that accelerates the estimation of statistics of computationally expensive simulation models using an ensemble of models with lower cost. These lower cost…
We propose a novel estimation approach for the covariance matrix based on the $l_1$-regularized approximate factor model. Our sparse approximate factor (SAF) covariance estimator allows for the existence of weak factors and hence relaxes…
The recent growth in multi-fidelity uncertainty quantification has given rise to a large set of variance reduction techniques that leverage information from model ensembles to provide variance reduction for estimates of the statistics of a…
We consider the minimum spanning tree problem in a setting where the edge weights are stochastic from unknown distributions, and the only available information is a single sample of each edge's weight distribution. In this setting, we…
A network is represented as a graph consisting of nodes and edges. A cut set for a source-destination pair in a network is a set of elements that, when failed, cause the source-destination pair to lose connectivity. A Minimal Cut Set (MCS)…
In this paper, new results in random matrix theory are derived which allow us to construct a shrinkage estimator of the global minimum variance (GMV) portfolio when the shrinkage target is a random object. More specifically, the shrinkage…
Mean-reverting portfolios with volatility and sparsity constraints are of prime interest to practitioners in finance since they are both profitable and well-diversified, while also managing risk and minimizing transaction costs. Three main…