Closed-Form Likelihood Expansions for Multivariate Diffusions

This paper provides closed-form expansions for the transition density and likelihood function of arbitrary multivariate diffusions. The expansions are based on a Hermite series, whose coefficients are calculated explicitly by exploiting the special structure afforded by the diffusion hypothesis. Because the transition function for most diffusion models is not known explicitly, the expansions of this paper can help make maximum-likelihood a practical estimation method for discretely sampled multivariate diffusions. Examples of interest in financial econometrics are included.

Fisher's Information for Discretely Sampled Levy Processes

This paper studies the asymptotic behavior of the Fisher information for a Levy process discretely sampled at an increasing frequency. We show that it is possible to distinguish not only the continuous part of the process from its jumps part, but also different types of jumps, and derive the rates of convergence of efficient estimators.Comment: 17 novembre 200

Autonomous virulence adaptation improves coevolutionary optimization

A novel approach for the autonomous virulence adaptation (AVA) of competing populations in a coevolutionary optimization framework is presented. Previous work has demonstrated that setting an appropriate virulence, v, of populations accelerates coevolutionary optimization by avoiding detrimental periods of disengagement. However, since the likelihood of disengagement varies both between systems and over time, choosing the ideal value of v is problematic. The AVA technique presented here uses a machine learning approach to continuously tune v as system engagement varies. In a simple, abstract domain, AVA is shown to successfully adapt to the most productive values of v. Further experiments, in more complex domains of sorting networks and maze navigation, demonstrate AVA's efficiency over reduced virulence and the layered Pareto coevolutionary archive.A novel approach for the autonomous virulence adaptation (AVA) of competing populations in a coevolutionary optimization framework is presented. Previous work has demonstrated that setting an appropriate virulence, v, of populations accelerates coevolutionary optimization by avoiding detrimental periods of disengagement. However, since the likelihood of disengagement varies both between systems and over time, choosing the ideal value of v is problematic. The AVA technique presented here uses a machine learning approach to continuously tune v as system engagement varies. In a simple, abstract domain, AVA is shown to successfully adapt to the most productive values of v. Further experiments, in more complex domains of sorting networks and maze navigation, demonstrate AVA's efficiency over reduced virulence and the layered Pareto coevolutionary archive