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5 papers · 1 filter
Convergence of Sequential Quasi-Monte Carlo Smoothing Algorithms
Mathieu Gerber, Nicolas Chopin
Gerber and Chopin (2015) recently introduced Sequential quasi-Monte Carlo (SQMC) algorithms as an efficient way to perform filtering in state-space models. The basic idea is to rep…
Sharp minimax tests for large Toeplitz covariance matrices with repeated observations
Cristina Butucea, Rania Zgheib
We observe a sample of independent -dimensional Gaussian vectors with Toeplitz covariance matrix and . We consider the problem o…
Three discussions of the paper "sequential quasi-Monte Carlo sampling", by M. Gerber and N. Chopin
Julyan Arbel, Igor Prunster, Christian P. Robert +1
This is a collection of three written discussions of the paper "sequential quasi-Monte Carlo sampling" by M. Gerber and N. Chopin, following the presentation given before the Royal…
Almost-sure hedging with permanent price impact
B. Bouchard, G. Loeper, Y. Zou
We consider a financial model with permanent price impact. Continuous time trading dynamics are derived as the limit of discrete rebalancing policies. We then study the problem of…
Minimax estimation of linear and quadratic functionals on sparsity classes
Olivier Collier, Laëtitia Comminges, Alexandre B. Tsybakov
For the Gaussian sequence model, we obtain non-asymptotic minimax rates of estimation of the linear, quadratic and the L2-norm functionals on classes of sparse vectors and construc…