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Several phenomena are available representing market activity: volumes, number of trades, durations between trades or quotes, volatility - however measured - all share the feature to be represented as positive valued time series. When…
Tree Ensemble (TE) models, such as Gradient Boosted Trees, often achieve optimal performance on tabular datasets, yet their lack of transparency poses challenges for comprehending their decision logic. This paper introduces TE2Rules (Tree…
Heavy-tailed fluctuations and power law statistics pervade physics, finance, and economics, yet their origin is often ascribed to systems poised near criticality. Here we show that such behavior can emerge far from instability through a…
In this thesis we start by providing some detail regarding how we arrived at our present understanding of probabilities and how we manipulate them - the product and addition rules by Cox. We also discuss the modern view of entropy and how…
Understanding random open quantum systems is critical for characterizing the performance of large-scale quantum devices and exploring macroscopic quantum phenomena. Various features in these systems, including spectral distributions, gap…
In applications of Bayesian procedures, once a class of priors has been chosen, it may be tempting to fix the prior's hyperparameters from the data, in an empirical Bayes (EB) fashion, usually by their maximum marginal likelihood estimates…
Dense embeddings are fundamental to modern machine learning systems, powering Retrieval-Augmented Generation (RAG), information retrieval, and representation learning. While instruction-conditioning has become the dominant approach for…
The probability distribution P from which the history of our universe is sampled represents a theory of everything or TOE. We assume P is formally describable. Since most (uncountably many) distributions are not, this imposes a strong…
While designing inductive bias in neural architectures has been widely studied, we hypothesize that transformer networks are flexible enough to learn inductive bias from suitable generic tasks. Here, we replace architecture engineering by…
Average Treatment Effect (ATE) estimation is a well-studied problem in causal inference. However, it does not necessarily capture the heterogeneity in the data, and several approaches have been proposed to tackle the issue, including…
Maximum-entropy ensembles are key primitives in statistical mechanics from which thermodynamic properties can be derived. Over the decades, several approaches have been put forward in order to justify from minimal assumptions the use of…
Deep Neural Networks (DNNs) have achieved remarkable success in a variety of tasks, especially when it comes to prediction accuracy. However, in complex real-world scenarios, particularly in safety-critical applications, high accuracy alone…
This paper studies a continuous-time joint sampling-and-preemption problem, incorporating sampling and preemption penalties under general service-time distributions. We formulate the system as an impulse-controlled piecewise-deterministic…
This paper develops a unified estimation framework, the Maximum Ideal Likelihood Estimation (MILE), for general parametric models with latent variables. Unlike traditional approaches relying on the marginal likelihood of the observed data,…
The principle of maximum entropy (Maxent) is often used to obtain prior probability distributions as a method to obtain a Gibbs measure under some restriction giving the probability that a system will be in a certain state compared to the…
Thompson Sampling is a principled method for balancing exploration and exploitation, but its real-world adoption faces computational challenges in large-scale or non-conjugate settings. While ensemble-based approaches offer partial…
We study zeroth-order optimization where solutions must minimize a cost $d(s)$ while maintaining high probability under a complex generative prior $L(s)$ (e.g., a parameterized model). This reduces to sampling from a target distribution…
Motivated from the study of multiple ergodic average, the investigation of multiplicative shift spaces has drawn much of interest among researchers. This paper focuses on the relation of topologically mixing properties between…
Networked systems operating under intermittent adverse conditions and long memory can remain stable on average while exhibiting rare but extreme trajectory-level excursions. We study linear regime-switching network dynamics with…
We introduce a new class of mean regression estimators -- penalized maximum tangent likelihood estimation -- for high-dimensional regression estimation and variable selection. We first explain the motivations for the key ingredient, maximum…