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In this paper, we introduce a new approach to constructing unbiased estimators when computing expectations of path functionals associated with stochastic differential equations (SDEs). Our randomizati...
Test function: A new approach for covering the central subspace
Sufficient dimension reduction Central subspace Inverse regression
2011/7/5
In this paper we offer a complete methodology for sufficient dimension reduction called the test function (TF). TF provides a new family of methods for the estimation of the central subspace (CS) base...
SiZer for time series: A new approach to the analysis of trends
Autocovariance function estimation Local linear fit Scale-space method SiZer Time series
2009/9/16
Smoothing methods and SiZer are a useful statistical tool for discovering statistically significant structure in data. Based on scale space ideas originally developed in the computer vision literature...
State Tameness: A New Approach for Credit Constrains
arbitrage pricing of contingent claims continuous-time nancial markets tameness
2009/4/29
We propose a new definition for tameness within the model of security prices as Itô processes that is risk-aware. We give a new definition for arbitrage and characterize it. We then prove a t...
State Tameness: A New Approach for Credit Constrains
arbitrage pricing of contingent claims continuous-time nancial markets tame-ness
2009/4/28
We propose a new definition for tameness within the model of security prices as Itô processes that is risk-aware. We give a new definition for arbitrage and characterize it. We then prove a t...
A new approach to Cholesky-based covariance regularization in high dimensions
new approach Cholesky-based covariance regularization high dimensions
2010/3/18
In this paper we propose a new regression interpretation of the Cholesky factor of the covariance matrix, as opposed to the well known regression interpretation of the Cholesky factor of the inverse c...
A new concept of mutual pressure is introduced for potential functions on both
continuous and discrete compound spaces via discrete micro-states of permutations, and its
relations with the usual pre...
SiZer for time series：A new approach to the analysis of trends
Autocovariance function estimation Local linearfit Scale-space method Sizer Time series
2010/4/29
Smoothing methods and SiZer are a useful statistical tool for
discovering statistically significant structure in data. Based on scale space
ideas originally developed in the computer vision literatu...
A new expression as a certain asymptotic limit via “discrete microstates”
of permutations is provided to the mutual information of both continuous
and discrete random variables.