相关论文: The matrix rate of return

This review article provides an overview of random matrix theory (RMT) with a focus on its growing impact on the formulation and inference of statistical models and methodologies. Emphasizing applications within high-dimensional statistics,…

Define the weight of a matrix to be the number of non-zero entries. One would like to count $m$ by $n$ matrices over a finite field by their weight and rank. This is equivalent to determining the probability distribution of the weight while…

In multi-state life insurance, an adequate balance between analytic tractability, computational efficiency, and statistical flexibility is of great importance. This might explain the popularity of Markov chain modelling, where matrix…

This course, intended for undergraduates familiar with elementary calculus and linear algebra, introduces the extension of differential calculus to functions on more general vector spaces, such as functions that take as input a matrix and…

Matrix completion is a class of machine learning methods that concerns the prediction of missing entries in a partially observed matrix. This paper studies matrix completion for mixed data, i.e., data involving mixed types of variables…

This study presents an analytical approach to sector rotation, leveraging both factor models and fundamental metrics. We initiate with a systematic classification of sectors, followed by an empirical investigation into their returns.…

The computation of matrix functions is a well-studied problem. Of special importance are the exponential and the logarithm of a matrix, where the latter also raises existence and uniqueness questions. This is particularly relevant in the…

We introduce the concept of matrix liberation process, a random matrix counterpart of the liberation process in free probability, and prove a large deviation upper bound for its empirical distribution with several properties on its rate…

Traversals are commonly seen in tree data structures, and performance-enhancing transformations between tree traversals are critical for many applications. Existing approaches to reasoning about tree traversals and their transformations are…

Models characterized by autoregressive structure and random coefficients are powerful tools for the analysis of high-frequency, high-dimensional and volatile time series. The available literature on such models is broad, but also sectorial,…

This paper studies a continuous-time market {under stochastic environment} where an agent, having specified an investment horizon and a target terminal mean return, seeks to minimize the variance of the return with multiple stocks and a…

We continue the analysis in [3] of matrix convex functions of a fixed order defined in a real interval by differential methods as opposed to the characterization in terms of divided differences given by Kraus [5]. We amend and improve some…

Density matrix perturbation theory [Phys. Rev. Lett. Vol. 92, 193001 (2004)] provides an efficient framework for the linear scaling computation of response properties [Phys. Rev. Lett. Vol. 92, 193002 (2004)]. In this article, we generalize…

In this study, we introduce the concept of commutative quaternions and commutative quaternion matrices. Firstly, we give some properties of commutative quaternions and their Hamilton matrices. After that we investigate commutative…

This paper builds on recent research that focuses on regression modeling of continuous bounded data, such as proportions measured on a continuous scale. Specifically, it deals with beta regression models with mixed effects from a Bayesian…

The exact parameter values of mathematical models are often uncertain or even unknown. Nevertheless, we may have access to crude information about the parameters, e.g., that some of them are nonzero. Such information can be captured by…

We derive analytic expressions for infinite products of random 2x2 matrices. The determinant of the target matrix is log-normally distributed, whereas the remainder is a surprisingly complicated function of a parameter characterizing the…

Reichel (2025) defined the bariance as a pairwise-difference measure that can be rewritten in linear time using only scalar sums. We extend this idea to the covariance matrix by showing that the standard matrix expression involving the…

This paper proposes a new methodological framework for estimating inferential models with latent variables. It also introduces a new latent variable regression model called LARX: an extension of the ubiquitous autoregressive model with…

This paper focuses on modeling the dynamic attributes of a dynamic network with a fixed number of vertices. These attributes are considered as time series which dependency structure is influenced by the underlying network. They are modeled…