Sequential Monte Carlo smoothing for general state space hidden Markov models

Computing smoothing distributions, the distributions of one or more states conditional on past, present, and future observations is a recurring problem when operating on general hidden Markov models. The aim of this paper is to provide a foundation of particle-based approximation of such distributions and to analyze, in a common unifying framework, different schemes producing such approximations. In this setting, general convergence results, including exponential deviation inequalities and central limit theorems, are established. In particular, time uniform bounds on the marginal smoothing error are obtained under appropriate mixing conditions on the transition kernel of the latent chain. In addition, we propose an algorithm approximating the joint smoothing distribution at a cost that grows only linearly with the number of particles.Comment: Published in at http://dx.doi.org/10.1214/10-AAP735 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org). arXiv admin note: text overlap with arXiv:1012.4183 by other author

Projection Method for Moment Bounds on Order Statistics from Restricted Families I. Dependent Case

AbstractWe present a method of projections onto convex cones for establishing the sharp bounds in terms of the first two moments for the expectations ofL-estimates based on samples from restricted families. In this part, we consider the case of possibly dependent identically distributed parent random variables. For the classes of decreasing failure probability, DFR, and symmetric unimodal marginal distributions, we first determine parametric subclasses which contain the distributions attaining the extreme expectations for allL-estimates. Then we derive the bounds for single order statistics. The results provide some new characterizations of uniform and exponential distribution

Information bounds for Gaussian copulas

Often of primary interest in the analysis of multivariate data are the copula parameters describing the dependence among the variables, rather than the univariate marginal distributions. Since the ranks of a multivariate dataset are invariant to changes in the univariate marginal distributions, rank-based estimators are natural candidates for semiparametric copula estimation. Asymptotic information bounds for such estimators can be obtained from an asymptotic analysis of the rank likelihood, that is, the probability of the multivariate ranks. In this article, we obtain limiting normal distributions of the rank likelihood for Gaussian copula models. Our results cover models with structured correlation matrices, such as exchangeable or circular correlation models, as well as unstructured correlation matrices. For all Gaussian copula models, the limiting distribution of the rank likelihood ratio is shown to be equal to that of a parametric likelihood ratio for an appropriately chosen multivariate normal model. This implies that the semiparametric information bounds for rank-based estimators are the same as the information bounds for estimators based on the full data, and that the multivariate normal distributions are least favorable.Comment: Published in at http://dx.doi.org/10.3150/12-BEJ499 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm

Bounds on Aggregate Assets

Aggregating financial assets together to form a portfolio, commonly referred to as "asset pooling", is a standard practice in the banking and insurance industries. Determining a suitable probability distribution for this portfolio with each underlying asset is a challenging task unless several distributional assumptions are made. On the other hand, imposing assumptions on the distribution inhibits its ability to capture various idiosyncratic behaviors. It limits the model's usefulness in its ability to provide realistic risk metrics of the true portfolio distribution. In order to conquer this limitation, we propose two methods to model a pool of assets with much less assumptions on the correlation structure by way of finding analytical bounds. Our first method uses the Fréchet-Hoeffding copula bounds to calculate model-free upper and lower bounds for aggregate assets evaluation. For the copulas with specific constraints, we improve the Fréchet- Hoeffding copula bounds by providing bounds with narrower range. The improvements proposed are very robust for different types of constraints on the copula function. However, the lower copula bound does not exist for dimension three and above. Our second method tackles the open problem of finding lower bounds for higher dimensions by introducing the concept of Complete Mixability property. With such technique, we are able to find the lower bounds with specified constraints. Three theorems are proposed. The first theorem deals with the case where all marginal distributions are identical. The lower bound defined by the first theorem is sharp under some technical assumptions. The second theorem gives the lower bound in a more general setup without any restriction on the marginal distributions. However the bound achieved in this context is not sharp. The third theorem gives the sharp lower bound on Conditional VaR. Numerical results are provided for each method to demonstrate sharpness of the bounds. Finally, we point out some possible future research directions, such as looking for a general sharp lower bound for high dimensional correlation structures

Sharp Indistinguishability Bounds from Non-Uniform Approximations

We study the basic problem of distinguishing between two symmetric probability distributions over n bits by observing k bits of a sample, subject to the constraint that all (k-1)-wise marginal distributions of the two distributions are identical to each other. Previous works of Bogdanov et al. [Bogdanov et al., 2019] and of Huang and Viola [Huang and Viola, 2019] have established approximately tight results on the maximal possible statistical distance between the k-wise marginals of such distributions when k is at most a small constant fraction of n. Naor and Shamir [Naor and Shamir, 1994] gave a tight bound for all k in the special case k = n and when distinguishing with the OR function; they also derived a non-tight result for general k and n. Krause and Simon [Krause and Simon, 2000] gave improved upper and lower bounds for general k and n when distinguishing with the OR function, but these bounds are exponentially far apart when k = ?(n). In this work we provide sharp upper and lower bounds on the maximal statistical distance that hold for all k and n. Upper bounds on the statistical distance have typically been obtained by providing uniform low-degree polynomial approximations to certain higher-degree polynomials. This is the first work to construct suitable non-uniform approximations for this purpose; the sharpness and wider applicability of our result stems from this non-uniformity