3,155 research outputs found
Entropies, convexity, and functional inequalities
Our aim is to provide a short and self contained synthesis which generalise
and unify various related and unrelated works involving what we call
Phi-Sobolev functional inequalities. Such inequalities related to Phi-entropies
can be seen in particular as an inclusive interpolation between Poincare and
Gross logarithmic Sobolev inequalities. In addition to the known material,
extensions are provided and improvements are given for some aspects. Stability
by tensor products, convolution, and bounded perturbations are addressed. We
show that under simple convexity assumptions on Phi, such inequalities hold in
a lot of situations, including hyper-contractive diffusions, uniformly strictly
log-concave measures, Wiener measure (paths space of Brownian Motion on
Riemannian Manifolds) and generic Poisson space (includes paths space of some
pure jumps Levy processes and related infinitely divisible laws). Proofs are
simple and relies essentially on convexity. We end up by a short parallel
inspired by the analogy with Boltzmann-Shannon entropy appearing in Kinetic
Gases and Information Theories.Comment: Formerly "On Phi-entropies and Phi-Sobolev inequalities". Author's
www homepage: http://www.lsp.ups-tlse.fr/Chafai
A continuous analogue of the tensor-train decomposition
We develop new approximation algorithms and data structures for representing
and computing with multivariate functions using the functional tensor-train
(FT), a continuous extension of the tensor-train (TT) decomposition. The FT
represents functions using a tensor-train ansatz by replacing the
three-dimensional TT cores with univariate matrix-valued functions. The main
contribution of this paper is a framework to compute the FT that employs
adaptive approximations of univariate fibers, and that is not tied to any
tensorized discretization. The algorithm can be coupled with any univariate
linear or nonlinear approximation procedure. We demonstrate that this approach
can generate multivariate function approximations that are several orders of
magnitude more accurate, for the same cost, than those based on the
conventional approach of compressing the coefficient tensor of a tensor-product
basis. Our approach is in the spirit of other continuous computation packages
such as Chebfun, and yields an algorithm which requires the computation of
"continuous" matrix factorizations such as the LU and QR decompositions of
vector-valued functions. To support these developments, we describe continuous
versions of an approximate maximum-volume cross approximation algorithm and of
a rounding algorithm that re-approximates an FT by one of lower ranks. We
demonstrate that our technique improves accuracy and robustness, compared to TT
and quantics-TT approaches with fixed parameterizations, of high-dimensional
integration, differentiation, and approximation of functions with local
features such as discontinuities and other nonlinearities
Quasi maximum likelihood estimation for strongly mixing state space models and multivariate L\'evy-driven CARMA processes
We consider quasi maximum likelihood (QML) estimation for general
non-Gaussian discrete-ime linear state space models and equidistantly observed
multivariate L\'evy-driven continuoustime autoregressive moving average
(MCARMA) processes. In the discrete-time setting, we prove strong consistency
and asymptotic normality of the QML estimator under standard moment assumptions
and a strong-mixing condition on the output process of the state space model.
In the second part of the paper, we investigate probabilistic and analytical
properties of equidistantly sampled continuous-time state space models and
apply our results from the discrete-time setting to derive the asymptotic
properties of the QML estimator of discretely recorded MCARMA processes. Under
natural identifiability conditions, the estimators are again consistent and
asymptotically normally distributed for any sampling frequency. We also
demonstrate the practical applicability of our method through a simulation
study and a data example from econometrics
Intraday forecasts of a volatility index: Functional time series methods with dynamic updating
As a forward-looking measure of future equity market volatility, the VIX
index has gained immense popularity in recent years to become a key measure of
risk for market analysts and academics. We consider discrete reported intraday
VIX tick values as realisations of a collection of curves observed sequentially
on equally spaced and dense grids over time and utilise functional data
analysis techniques to produce one-day-ahead forecasts of these curves. The
proposed method facilitates the investigation of dynamic changes in the index
over very short time intervals as showcased using the 15-second high-frequency
VIX index values. With the help of dynamic updating techniques, our point and
interval forecasts are shown to enjoy improved accuracy over conventional time
series models.Comment: 29 pages, 5 figures, To appear at the Annals of Operations Researc
Analytic urns
This article describes a purely analytic approach to urn models of the
generalized or extended P\'olya-Eggenberger type, in the case of two types of
balls and constant ``balance,'' that is, constant row sum. The treatment starts
from a quasilinear first-order partial differential equation associated with a
combinatorial renormalization of the model and bases itself on elementary
conformal mapping arguments coupled with singularity analysis techniques.
Probabilistic consequences in the case of ``subtractive'' urns are new
representations for the probability distribution of the urn's composition at
any time n, structural information on the shape of moments of all orders,
estimates of the speed of convergence to the Gaussian limit and an explicit
determination of the associated large deviation function. In the general case,
analytic solutions involve Abelian integrals over the Fermat curve x^h+y^h=1.
Several urn models, including a classical one associated with balanced trees
(2-3 trees and fringe-balanced search trees) and related to a previous study of
Panholzer and Prodinger, as well as all urns of balance 1 or 2 and a sporadic
urn of balance 3, are shown to admit of explicit representations in terms of
Weierstra\ss elliptic functions: these elliptic models appear precisely to
correspond to regular tessellations of the Euclidean plane.Comment: Published at http://dx.doi.org/10.1214/009117905000000026 in the
Annals of Probability (http://www.imstat.org/aop/) by the Institute of
Mathematical Statistics (http://www.imstat.org
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