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6 papers · 1 filter
Computation of Gaussian orthant probabilities in high dimension
James Ridgway
We study the computation of Gaussian orthant probabilities, i.e. the probability that a Gaussian falls inside a quadrant. The Geweke-Hajivassiliou-Keane (GHK) algorithm [Genz, 1992…
PAC-Bayesian AUC classification and scoring
James Ridgway, Pierre Alquier, Nicolas Chopin +1
We develop a scoring and classification procedure based on the PAC-Bayesian approach and the AUC (Area Under Curve) criterion. We focus initially on the class of linear score funct…
Long time asymptotics for fully nonlinear Bellman equations: a Backward SDE approach
Andrea Cosso, Marco Fuhrman, Huyen Pham
We study the large time behavior of solutions to fully nonlinear parabolic equations of Hamilton-Jacobi-Bellman type arising typically in stochastic control theory with control bot…
The Poisson transform for unnormalised statistical models
Simon Barthelmé, Nicolas Chopin
Contrary to standard statistical models, unnormalised statistical models only specify the likelihood function up to a constant. While such models are natural and popular, the lack…
Noisy Monte Carlo: Convergence of Markov chains with approximate transition kernels
P. Alquier, N. Friel, R. Everitt +1
Monte Carlo algorithms often aim to draw from a distribution by simulating a Markov chain with transition kernel such that is invariant under . However, there are ma…
Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling
Nicole El Karoui, Caroline Hillairet, Mohamed Mrad
The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule th…