421 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- University College LondonGB63 papers
- Systemic Risk CentreGB48 papers
- University of OxfordGB20 papers
- University of WarwickGB18 papers
- King's College LondonGB16 papers
- London Mathematical LaboratoryGB12 papers
- University of Illinois Urbana-ChampaignUS12 papers
- Centre National de la Recherche ScientifiqueFR11 papers
- Queen Mary University of LondonGB11 papers
- The Open UniversityGB11 papers
- City, University of LondonGB10 papers
- ETH ZurichCH10 papers
47 papers · 1 filter
Simultaneous multiple change-point and factor analysis for high-dimensional time series
Matteo Barigozzi, Haeran Cho, Piotr Fryzlewicz
We propose the first comprehensive treatment of high-dimensional time series factor models with multiple change-points in their second-order structure. We operate under the most fl…
-player games and mean field games with absorption
Luciano Campi, Markus Fischer
We introduce a simple class of mean field games with absorbing boundary over a finite time horizon. In the corresponding -player games, the evolution of players' states is descr…
Chromatic Numbers of Exact Distance Graphs
Jan van den Heuvel, H. A. Kierstead, Daniel A. Quiroz
For any graph and positive integer , the exact distance- graph is the graph with vertex set , which has an edge between vertices and i…
Blow-up lemmas for sparse graphs
Peter Allen, Julia Böttcher, Hiep Hàn +2
The blow-up lemma states that a system of super-regular pairs contains all bounded degree spanning graphs as subgraphs that embed into a corresponding system of complete pairs. Thi…
High-dimensional variable selection via tilting
Haeran Cho, Piotr Fryzlewicz
The paper considers variable selection in linear regression models where the number of covariates is possibly much larger than the number of observations. High dimensionality of th…
Multiple-change-point detection for high dimensional time series via sparsified binary segmentation
Haeran Cho, Piotr Fryzlewicz
Time series segmentation, a.k.a. multiple change-point detection, is a well-established problem. However, few solutions are designed specifically for high-dimensional situations. I…
Multiscale interpretation of taut string estimation and its connection to Unbalanced Haar wavelets
Haeran Cho, Piotr Fryzlewicz
We compare two state-of-the-art non-linear techniques for nonparametric function estimation via piecewise constant approximation: the taut string and the Unbalanced Haar methods. W…
Modelling and forecasting daily electricity load curves: a hybrid approach
Haeran Cho, Yannig Goude, Xavier Brossat +1
We propose a hybrid approach for the modelling and the short-term forecasting of electricity loads. Two building blocks of our approach are (i) modelling the overall trend and seas…
On Wigner-Ville Spectra and the Unicity of Time-Varying Quantile-Based Spectral Densities
Stefan Birr, Holger Dette, Marc Hallin +2
The unicity of the time-varying quantile-based spectrum proposed in Birr et al. (2016) is established via an asymptotic representation result involving Wigner-Ville spectra.
Local M-estimation with Discontinuous Criterion for Dependent and Limited Observations
Myung Hwan Seo, Taisuke Otsu
This paper examines asymptotic properties of local M-estimators under three sets of high-level conditions. These conditions are sufficiently general to cover the minimum volume pre…
Extremes of the internal energy of the Potts model on cubic graphs
Ewan Davies, Matthew Jenssen, Will Perkins +1
We prove tight upper and lower bounds on the internal energy per particle (expected number of monochromatic edges per vertex) in the anti-ferromagnetic Potts model on cubic graphs…
Bounds for the normal approximation of the maximum likelihood estimator from m-dependent random variables
Andreas Anastasiou
The asymptotic normality of the Maximum Likelihood Estimator (MLE) is a long established result. Explicit bounds for the distributional distance between the distribution of the MLE…
Krigings Over Space and Time Based on Latent Low-Dimensional Structures
Da Huang, Qiwei Yao, Rongmao Zhang
We propose a new approach to represent nonparametrically the linear dependence structure of a spatio-temporal process in terms of latent common factors. Though it is formally simil…
Narrowest-Over-Threshold Detection of Multiple Change-points and Change-point-like Features
Rafal Baranowski, Yining Chen, Piotr Fryzlewicz
We propose a new, generic and flexible methodology for nonparametric function estimation, in which we first estimate the number and locations of any features that may be present in…
Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs
Christoph Czichowsky, Rémi Peyre, Walter Schachermayer +1
We continue the analysis of our previous paper (Czichowsky/Schachermayer/Yang 2014) pertaining to the existence of a shadow price process for portfolio optimisation under proportio…
Arrangements of homothets of a convex body
Márton Naszódi, János Pach, Konrad Swanepoel
Answering a question of Füredi and Loeb (1994), we show that the maximum number of pairwise intersecting homothets of a -dimensional centrally symmetric convex body , none of…
Testing for high-dimensional white noise using maximum cross-correlations
Jinyuan Chang, Qiwei Yao, Wen Zhou
We propose a new omnibus test for vector white noise using the maximum absolute auto-correlations and cross-correlations of the component series. Based on the newly established app…
Almost all trees are almost graceful
Anna Adamaszek, Peter Allen, Codrut Grosu +1
The Graceful Tree Conjecture of Rosa from 1967 asserts that the vertices of each tree T of order n can be injectively labelled by using the numbers {1,2,...,n} in such a way that t…
An Investment Model with Switching Costs and the Option to Abandon
Mihail Zervos, Carlos Oliveira, Kate Duckworth
We develop a complete analysis of a general entry-exit-scrapping model. In particular, we consider an investment project that operates within a random environment and yields a payo…
On sets defining few ordinary circles
Aaron Lin, Mehdi Makhul, Hossein Nassajian Mojarrad +3
An ordinary circle of a set of points in the plane is defined as a circle that contains exactly three points of . We show that if is not contained in a line or a cir…
Best-Response Dynamics in Combinatorial Auctions with Item Bidding
Paul Dütting, Thomas Kesselheim
In a combinatorial auction with item bidding, agents participate in multiple single-item second-price auctions at once. As some items might be substitutes, agents need to strategiz…
Beyond Lebesgue and Baire IV: Density topologies and a converse Steinhaus-Weil Theorem
N. H. Bingham, A. J. Ostaszewski
The theme here is category-measure duality, in the context of a topological group. One can often handle the (Baire) category case and the (Lebesgue, or Haar) measure cases together…
Replica approach to mean-variance portfolio optimization
Istvan Varga-Haszonits, Fabio Caccioli, Imre Kondor
We consider the problem of mean-variance portfolio optimization for a generic covariance matrix subject to the budget constraint and the constraint for the expected return, with th…
Effros, Baire, Steinhaus and Non-Separability
A. J. Ostaszewski
We give a short proof of an improved version of the Effros Open Mapping Principle via a shift-compactness theorem (also with a short proof), involving `sequential analysis' rather…