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中国科学院数学与系统科学研究院机构知识库
KMS Of Academy of mathematics and systems sciences, CAS
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Coherence as uncertainty
期刊论文
PHYSICAL REVIEW A, 2021, 卷号: 103, 期号: 4, 页码: 9
Authors:
Sun, Yuan
;
Luo, Shunlong
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Submit date:2021/10/26
Sample average approximation of CVaR-based hedging problem with a deep-learning solution
期刊论文
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2021, 卷号: 56, 页码: 14
Authors:
Peng, Cheng
;
Li, Shuang
;
Zhao, Yanlong
;
Bao, Ying
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View/Download:27/0
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Submit date:2021/04/26
Conditional Value-at-Risk
Hedging strategies
Deep learning
Theoretical guarantee
Sample average approximation
Uniform convergence
Kernels of conditional determinantal measures and the Lyons-Peres completeness conjecture
期刊论文
JOURNAL OF THE EUROPEAN MATHEMATICAL SOCIETY, 2021, 卷号: 23, 期号: 5, 页码: 1477-1519
Authors:
Bufetov, Alexander, I
;
Qiu, Yanqi
;
Shamov, Alexander
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Submit date:2021/10/26
Determinantal point processes
Lyons-Peres completeness conjecture
conditional measures
tail triviality
measure-valued martingales
operator-valued martingales
Stock Market Volatility and Return Analysis: A Systematic Literature Review
期刊论文
ENTROPY, 2020, 卷号: 22, 期号: 5, 页码: 18
Authors:
Bhowmik, Roni
;
Wang, Shouyang
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View/Download:34/0
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Submit date:2020/09/23
stock returns
volatility
GARCH family model
complexity in market volatility forecasting
Energy conditional measures and 2D turbulence
期刊论文
JOURNAL OF MATHEMATICAL PHYSICS, 2020, 卷号: 61, 期号: 1, 页码: 22
Authors:
Flandoli, Franco
;
Luo, Dejun
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Submit date:2020/05/24
Likelihood ratio-type tests in weighted composite quantile regression of DTARCH models
期刊论文
SCIENCE CHINA-MATHEMATICS, 2019, 卷号: 62, 期号: 12, 页码: 2571-2590
Authors:
Liu, Xiaoqian
;
Song, Xinyuan
;
Zhou, Yong
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Submit date:2020/05/24
DTARCH model
quantile
weighted composite quantile regression
modified likelihood ratio test
restricted WCQR estimators
unrestricted WCQR estimators
Semiparametric estimation of differences in treatment-specific recurrent event means with a terminal event
期刊论文
STATISTICS AND ITS INTERFACE, 2019, 卷号: 12, 期号: 1, 页码: 1-9
Authors:
Sun, Xiaowei
;
Sun, Liuquan
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Submit date:2020/01/10
Additive models
Marginal mean
Recurrent events
Semiparametric method
Terminal event
Treatment effect
Equivalence of Palm measures for determinantal point processes governed by Bergman kernels
期刊论文
PROBABILITY THEORY AND RELATED FIELDS, 2018, 卷号: 172, 期号: 1-2, 页码: 31-69
Authors:
Bufetov, Alexander I.
;
Fan, Shilei
;
Qiu, Yanqi
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Submit date:2018/11/16
Bergman kernel
Determinantal point process
Conditional measure
Deletion and insertion tolerance
Palm equivalence
Monotone coupling
Model-free feature screening for ultrahigh-dimensional data conditional on some variables
期刊论文
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2018, 卷号: 70, 期号: 2, 页码: 283-301
Authors:
Liu, Yi
;
Wang, Qihua
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Submit date:2018/07/30
Conditional distance correlation
Feature selection
Sure screening property
High-dimensional data
Testing Association between Mixed Type Outcomes and Covariates Jointly by the Use of a Latent Variable
期刊论文
SCIENTIFIC REPORTS, 2017, 卷号: 7, 期号: 8006, 页码: 10
Authors:
Zhu, Jiayan
;
Zhang, Wei
;
Li, Qizhai
;
Li, Zhengbang
;
Zhu, Jiayan
;
Zhang, Wei
;
Li, Qizhai
;
Li, Zhengbang
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Submit date:2018/07/30