相关论文: Consistent Estimation of Pricing Kernels from Nois…
Spherical radial-basis-based kernel interpolation abounds in image sciences including geophysical image reconstruction, climate trends description and image rendering due to its excellent spatial localization property and perfect…
We propose an optimum mechanism for providing monetary incentives to the data sources of a statistical estimator such as linear regression, so that high quality data is provided at low cost, in the sense that the sum of payments and…
We consider the problem of estimating the frequency components of a mixture of s complex sinusoids from a random subset of n regularly spaced samples. Unlike previous work in compressed sensing, the frequencies are not assumed to lie on a…
This paper discusses the solution of nonlinear integral equations with noisy integral kernels as they appear in nonparametric instrumental regression. We propose a regularized Newton-type iteration and establish convergence and convergence…
The use of kernels for nonlinear prediction is widespread in machine learning. They have been popularized in support vector machines and used in kernel ridge regression, amongst others. Kernel methods share three aspects. First, instead of…
We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks…
We first revisit the problem of estimating the spot volatility of an It\^o semimartingale using a kernel estimator. We prove a Central Limit Theorem with optimal convergence rate for a general two-sided kernel. Next, we introduce a new…
This paper is concerned with the fundamental problem of estimating chirp parameters from a mixture of linear chirp signals. Unlike most previous methods, which solve the problem by discretizing the parameter space and then estimating the…
We investigate nonparametric estimation of sliced inverse regression (SIR) via the $k$-nearest neighbors approach with a kernel. An estimator of the covariance matrix of the conditional expectation of the explanatory random vector given the…
Our main result shows that if a lower-semicontinuous kernel K satisfies some mild additional hypotheses, then asympotitically polarization optimal configurations are precisely those that are asymptotically distributed according to the…
Kernel ridge regression, in general, is expensive in memory allocation and computation time. This paper addresses low rank approximations and surrogates for kernel ridge regression, which bridge these difficulties. The fundamental…
Regression tasks, notably in safety-critical domains, require proper uncertainty quantification, yet the literature remains largely classification-focused. In this light, we introduce a family of measures for total, aleatoric, and epistemic…
In compressed sensing, one wishes to acquire an approximately sparse high-dimensional signal $x\in\mathbb{R}^n$ via $m\ll n$ noisy linear measurements, then later approximately recover $x$ given only those measurement outcomes. Various…
This paper proposes an efficient algorithm (HOLRR) to handle regression tasks where the outputs have a tensor structure. We formulate the regression problem as the minimization of a least square criterion under a multilinear rank…
The invariants of an attractor have been the most used resource to characterize a nonlinear dynamics. Their estimation is a challenging endeavor in short-time series and/or in presence of noise. In this article we present two new…
This paper considers the linear inverse problem where we wish to estimate a structured signal $x$ from its corrupted observations. When the problem is ill-posed, it is natural to make use of a convex function $f(\cdot)$ that exploits the…
We consider the problem of distributed estimation, where local processors observe independent samples conditioned on a common random parameter of interest, map the observations to a finite number of bits, and send these bits to a remote…
Recent years have seen the rise of convolutional neural network techniques in exemplar-based image synthesis. These methods often rely on the minimization of some variational formulation on the image space for which the minimizers are…
Language prediction is constrained by informational entropy intrinsic to language, such that there exists a limit to how accurate any language model can become and equivalently a lower bound to language compression. The most efficient…
Most inverse optimization models impute unspecified parameters of an objective function to make an observed solution optimal for a given optimization problem with a fixed feasible set. We propose two approaches to impute unspecified…