4,788 research outputs found
Characteristic polynomials of random matrices at edge singularities
We have discussed earlier the correlation functions of the random variables
\det(\la-X) in which is a random matrix. In particular the moments of the
distribution of these random variables are universal functions, when measured
in the appropriate units of the level spacing. When the \la's, instead of
belonging to the bulk of the spectrum, approach the edge, a cross-over takes
place to an Airy or to a Bessel problem, and we consider here these modified
classes of universality.
Furthermore, when an external matrix source is added to the probability
distribution of , various new phenomenons may occur and one can tune the
spectrum of this source matrix to new critical points. Again there are
remarkably simple formulae for arbitrary source matrices, which allow us to
compute the moments of the characteristic polynomials in these cases as well.Comment: 22 pages, late
Nonparametric estimation of the mixing density using polynomials
We consider the problem of estimating the mixing density from i.i.d.
observations distributed according to a mixture density with unknown mixing
distribution. In contrast with finite mixtures models, here the distribution of
the hidden variable is not bounded to a finite set but is spread out over a
given interval. We propose an approach to construct an orthogonal series
estimator of the mixing density involving Legendre polynomials. The
construction of the orthonormal sequence varies from one mixture model to
another. Minimax upper and lower bounds of the mean integrated squared error
are provided which apply in various contexts. In the specific case of
exponential mixtures, it is shown that the estimator is adaptive over a
collection of specific smoothness classes, more precisely, there exists a
constant A\textgreater{}0 such that, when the order of the projection
estimator verifies , the estimator achieves the minimax rate
over this collection. Other cases are investigated such as Gamma shape mixtures
and scale mixtures of compactly supported densities including Beta mixtures.
Finally, a consistent estimator of the support of the mixing density is
provided
Uniform Asymptotics for Polynomials Orthogonal With Respect to a General Class of Discrete Weights and Universality Results for Associated Ensembles: Announcement of Results
We compute the pointwise asymptotics of orthogonal polynomials with respect
to a general class of pure point measures supported on finite sets as both the
number of nodes of the measure and also the degree of the orthogonal
polynomials become large. The class of orthogonal polynomials we consider
includes as special cases the Krawtchouk and Hahn classical discrete orthogonal
polynomials, but is far more general. In particular, we consider nodes that are
not necessarily equally spaced. The asymptotic results are given with error
bound for all points in the complex plane except for a finite union of discs of
arbitrarily small but fixed radii. These exceptional discs are the
neighborhoods of the so-called band edges of the associated equilibrium
measure. As applications, we prove universality results for correlation
functions of a general class of discrete orthogonal polynomial ensembles, and
in particular we deduce asymptotic formulae with error bound for certain
statistics relevant in the random tiling of a hexagon with rhombus-shaped
tiles.
The discrete orthogonal polynomials are characterized in terms of a a
Riemann-Hilbert problem formulated for a meromorphic matrix with certain pole
conditions. By extending the methods of [17, 22], we suggest a general and
unifying approach to handle Riemann-Hilbert problems in the situation when
poles of the unknown matrix are accumulating on some set in the asymptotic
limit of interest.Comment: 28 pages, 7 figure
Option Pricing with Orthogonal Polynomial Expansions
We derive analytic series representations for European option prices in
polynomial stochastic volatility models. This includes the Jacobi, Heston,
Stein-Stein, and Hull-White models, for which we provide numerical case
studies. We find that our polynomial option price series expansion performs as
efficiently and accurately as the Fourier transform based method in the nested
affine cases. We also derive and numerically validate series representations
for option Greeks. We depict an extension of our approach to exotic options
whose payoffs depend on a finite number of prices.Comment: forthcoming in Mathematical Finance, 38 pages, 3 tables, 7 figure
Stein's method for comparison of univariate distributions
We propose a new general version of Stein's method for univariate
distributions. In particular we propose a canonical definition of the Stein
operator of a probability distribution {which is based on a linear difference
or differential-type operator}. The resulting Stein identity highlights the
unifying theme behind the literature on Stein's method (both for continuous and
discrete distributions). Viewing the Stein operator as an operator acting on
pairs of functions, we provide an extensive toolkit for distributional
comparisons. Several abstract approximation theorems are provided. Our approach
is illustrated for comparison of several pairs of distributions : normal vs
normal, sums of independent Rademacher vs normal, normal vs Student, and
maximum of random variables vs exponential, Frechet and Gumbel.Comment: 41 page
Sequential Quantiles via Hermite Series Density Estimation
Sequential quantile estimation refers to incorporating observations into
quantile estimates in an incremental fashion thus furnishing an online estimate
of one or more quantiles at any given point in time. Sequential quantile
estimation is also known as online quantile estimation. This area is relevant
to the analysis of data streams and to the one-pass analysis of massive data
sets. Applications include network traffic and latency analysis, real time
fraud detection and high frequency trading. We introduce new techniques for
online quantile estimation based on Hermite series estimators in the settings
of static quantile estimation and dynamic quantile estimation. In the static
quantile estimation setting we apply the existing Gauss-Hermite expansion in a
novel manner. In particular, we exploit the fact that Gauss-Hermite
coefficients can be updated in a sequential manner. To treat dynamic quantile
estimation we introduce a novel expansion with an exponentially weighted
estimator for the Gauss-Hermite coefficients which we term the Exponentially
Weighted Gauss-Hermite (EWGH) expansion. These algorithms go beyond existing
sequential quantile estimation algorithms in that they allow arbitrary
quantiles (as opposed to pre-specified quantiles) to be estimated at any point
in time. In doing so we provide a solution to online distribution function and
online quantile function estimation on data streams. In particular we derive an
analytical expression for the CDF and prove consistency results for the CDF
under certain conditions. In addition we analyse the associated quantile
estimator. Simulation studies and tests on real data reveal the Gauss-Hermite
based algorithms to be competitive with a leading existing algorithm.Comment: 43 pages, 9 figures. Improved version incorporating referee comments,
as appears in Electronic Journal of Statistic
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