Search results for "Application"
showing 10 items of 5559 documents
A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps
2021
We develop a new nonparametric approach for estimating the risk-neutral density of asset prices and reformulate its estimation into a double-constrained optimization problem. We evaluate our approach using the S\&P 500 market option prices from 1996 to 2015. A comprehensive cross-validation study shows that our approach outperforms the existing nonparametric quartic B-spline and cubic spline methods, as well as the parametric method based on the Normal Inverse Gaussian distribution. As an application, we use the proposed density estimator to price long-term variance swaps, and the model-implied prices match reasonably well with those of the variance future downloaded from the CBOE websi…
Alignment-free Genomic Analysis via a Big Data Spark Platform
2021
Abstract Motivation Alignment-free distance and similarity functions (AF functions, for short) are a well-established alternative to pairwise and multiple sequence alignments for many genomic, metagenomic and epigenomic tasks. Due to data-intensive applications, the computation of AF functions is a Big Data problem, with the recent literature indicating that the development of fast and scalable algorithms computing AF functions is a high-priority task. Somewhat surprisingly, despite the increasing popularity of Big Data technologies in computational biology, the development of a Big Data platform for those tasks has not been pursued, possibly due to its complexity. Results We fill this impo…
Binary jumbled string matching for highly run-length compressible texts
2012
The Binary Jumbled String Matching problem is defined as: Given a string $s$ over $\{a,b\}$ of length $n$ and a query $(x,y)$, with $x,y$ non-negative integers, decide whether $s$ has a substring $t$ with exactly $x$ $a$'s and $y$ $b$'s. Previous solutions created an index of size O(n) in a pre-processing step, which was then used to answer queries in constant time. The fastest algorithms for construction of this index have running time $O(n^2/\log n)$ [Burcsi et al., FUN 2010; Moosa and Rahman, IPL 2010], or $O(n^2/\log^2 n)$ in the word-RAM model [Moosa and Rahman, JDA 2012]. We propose an index constructed directly from the run-length encoding of $s$. The construction time of our index i…
Semantic Computing of Moods Based on Tags in Social Media of Music
2014
Social tags inherent in online music services such as Last.fm provide a rich source of information on musical moods. The abundance of social tags makes this data highly beneficial for developing techniques to manage and retrieve mood information, and enables study of the relationships between music content and mood representations with data substantially larger than that available for conventional emotion research. However, no systematic assessment has been done on the accuracy of social tags and derived semantic models at capturing mood information in music. We propose a novel technique called Affective Circumplex Transformation (ACT) for representing the moods of music tracks in an interp…
Statistical Performance Analysis of a Fast Super-Resolution Technique Using Noisy Translations.
2014
It is well known that the registration process is a key step for super-resolution reconstruction. In this work, we propose to use a piezoelectric system that is easily adaptable on all microscopes and telescopes for controlling accurately their motion (down to nanometers) and therefore acquiring multiple images of the same scene at different controlled positions. Then a fast super-resolution algorithm \cite{eh01} can be used for efficient super-resolution reconstruction. In this case, the optimal use of $r^2$ images for a resolution enhancement factor $r$ is generally not enough to obtain satisfying results due to the random inaccuracy of the positioning system. Thus we propose to take seve…
Determinantal sets, singularities and application to optimal control in medical imagery
2016
International audience; Control theory has recently been involved in the field of nuclear magnetic resonance imagery. The goal is to control the magnetic field optimally in order to improve the contrast between two biological matters on the pictures. Geometric optimal control leads us here to analyze mero-morphic vector fields depending upon physical parameters , and having their singularities defined by a deter-minantal variety. The involved matrix has polynomial entries with respect to both the state variables and the parameters. Taking into account the physical constraints of the problem, one needs to classify, with respect to the parameters, the number of real singularities lying in som…
A Unified SVM Framework for Signal Estimation
2013
This paper presents a unified framework to tackle estimation problems in Digital Signal Processing (DSP) using Support Vector Machines (SVMs). The use of SVMs in estimation problems has been traditionally limited to its mere use as a black-box model. Noting such limitations in the literature, we take advantage of several properties of Mercer's kernels and functional analysis to develop a family of SVM methods for estimation in DSP. Three types of signal model equations are analyzed. First, when a specific time-signal structure is assumed to model the underlying system that generated the data, the linear signal model (so called Primal Signal Model formulation) is first stated and analyzed. T…
Study design in causal models
2012
The causal assumptions, the study design and the data are the elements required for scientific inference in empirical research. The research is adequately communicated only if all of these elements and their relations are described precisely. Causal models with design describe the study design and the missing data mechanism together with the causal structure and allow the direct application of causal calculus in the estimation of the causal effects. The flow of the study is visualized by ordering the nodes of the causal diagram in two dimensions by their causal order and the time of the observation. Conclusions whether a causal or observational relationship can be estimated from the collect…
Quantum GestART: Identifying and Applying Correlations between Mathematics, Art, and Perceptual Organization
2020
Mathematics can help analyze the arts and inspire new artwork. Mathematics can also help make transformations from one artistic medium to another, considering exceptions and choices, as well as artists' individual and unique contributions. We propose a method based on diagrammatic thinking and quantum formalism. We exploit decompositions of complex forms into a set of simple shapes, discretization of complex images, and Dirac notation, imagining a world of "prototypes" that can be connected to obtain a fine or coarse-graining approximation of a given visual image. Visual prototypes are exchanged with auditory ones, and the information (position, size) characterizing visual prototypes is con…
The Max-Product Algorithm Viewed as Linear Data-Fusion: A Distributed Detection Scenario
2019
In this paper, we disclose the statistical behavior of the max-product algorithm configured to solve a maximum a posteriori (MAP) estimation problem in a network of distributed agents. Specifically, we first build a distributed hypothesis test conducted by a max-product iteration over a binary-valued pairwise Markov random field and show that the decision variables obtained are linear combinations of the local log-likelihood ratios observed in the network. Then, we use these linear combinations to formulate the system performance in terms of the false-alarm and detection probabilities. Our findings indicate that, in the hypothesis test concerned, the optimal performance of the max-product a…