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
44 papers · 1 filter
Long term behavior of dynamic equilibria in fluid queuing networks
Roberto Cominetti, José Correa, Neil Olver
A fluid queuing network constitutes one of the simplest models in which to study flow dynamics over a network. In this model we have a single source-sink pair and each link has a p…
A Short Proof of Convexity of Step-out Step-in Sequencing Games
Coulter Beeson, Neil Olver
The Step out-Step in sequencing game is a particular example of a game from the sequencing game framework of Curiel, Perderzoli, and Tijs, where coalitions of players in a queue ma…
Modelling matrix time series via a tensor CP-decomposition
Jinyuan Chang, Jing He, Lin Yang +1
We consider to model matrix time series based on a tensor CP-decomposition. Instead of using an iterative algorithm which is the standard practice for estimating CP-decompositions,…
Latent Network Models to Account for Noisy, Multiply-Reported Social Network Data
Caterina De Bacco, Martina Contisciani, Jonathan Cardoso-Silva +10
Social network data are often constructed by incorporating reports from multiple individuals. However, it is not obvious how to reconcile discordant responses from individuals. The…
Edge differentially private estimation in the -model via jittering and method of moments
Jinyuan Chang, Qiao Hu, Eric D. Kolaczyk +2
A standing challenge in data privacy is the trade-off between the level of privacy and the efficiency of statistical inference. Here we conduct an in-depth study of this trade-off…
Non-dimensional Newton-Puiseux Expansions
C. J. Chapman, H. P. Wynn, M. A. Atherton +1
Recent results in the theory and application of Newton-Puiseux expansions, i.e. fractional power series solutions of equations, suggest further developments within a more abstract…
An Online Sequential Test for Qualitative Treatment Effects
Chengchun Shi, Shikai Luo, Hongtu Zhu +1
Tech companies (e.g., Google or Facebook) often use randomized online experiments and/or A/B testing primarily based on the average treatment effects to compare their new product w…
Factor-augmented tree ensembles
Filippo Pellegrino
This manuscript proposes to extend the information set of time-series regression trees with latent stationary factors extracted via state-space methods. In doing so, this approach…
Jump Interval-Learning for Individualized Decision Making
Hengrui Cai, Chengchun Shi, Rui Song +1
An individualized decision rule (IDR) is a decision function that assigns each individual a given treatment based on his/her observed characteristics. Most of the existing works in…
Continuity, Uniqueness and Long-Term Behavior of Nash Flows Over Time
Neil Olver, Leon Sering, Laura Vargas Koch
We consider a dynamic model of traffic that has received a lot of attention in the past few years. Users control infinitesimal flow particles aiming to travel from an origin to a d…
Single-Sample Prophet Inequalities via Greedy-Ordered Selection
Constantine Caramanis, Paul Dütting, Matthew Faw +6
We study single-sample prophet inequalities (SSPIs), i.e., prophet inequalities where only a single sample from each prior distribution is available. Besides a direct, and optimal,…
Heterogenous criticality in high frequency finance: a phase transition in flash crashes
Jeremy Turiel, Tomaso Aste
Flash crashes in financial markets have become increasingly important attracting attention from financial regulators, market makers as well as from the media and the broader audien…
DIF Statistical Inference without Knowing Anchoring Items
Yunxiao Chen, Chengcheng Li, Jing Ouyang +1
Establishing the invariance property of an instrument is a key step for establishing its measurement validity. Measurement invariance is typically assessed by differential item fun…
Numeraire-invariant quadratic hedging and mean--variance portfolio allocation
Aleš Černý, Christoph Czichowsky, Jan Kallsen
The paper investigates quadratic hedging in a semimartingale market that does not necessarily contain a risk-free asset. An equivalence result for hedging with and without numerair…
Tracking the national and regional COVID-19 epidemic status in the UK using directed Principal Component Analysis
Ben Swallow, Wen Xiang, Jasmina Panovska-Griffiths
One of the difficulties in monitoring an ongoing pandemic is deciding on the metric that best describes its status when multiple intercorrelated measurements are available. Having…
A Case Study of Agent-Based Models for Evolutionary Game Theory
Jacobus Smit, Ed Plumb
Evolutionary game theory is a mathematical toolkit to analyse the interactions that an individual agent has in a population and how the composition of strategies in this population…
Regression Discontinuity Design with Potentially Many Covariates
Yoichi Arai, Taisuke Otsu, Myung Hwan Seo
This paper studies the case of possibly high-dimensional covariates in the regression discontinuity design (RDD) analysis. In particular, we propose estimation and inference method…
The Sylvester equation in Banach algebras
Amol Sasane
Let be a unital complex semisimple Banach algebra, and denote its maximal ideal space. For a matrix , …
Revisiting Event Study Designs: Robust and Efficient Estimation
Kirill Borusyak, Xavier Jaravel, Jann Spiess
We develop a framework for difference-in-differences designs with staggered treatment adoption and heterogeneous causal effects. We show that conventional regression-based estimato…
Pure Exploration and Regret Minimization in Matching Bandits
Flore Sentenac, Jialin Yi, Clément Calauzènes +2
Finding an optimal matching in a weighted graph is a standard combinatorial problem. We consider its semi-bandit version where either a pair or a full matching is sampled sequentia…
A look into the future of the COVID-19 pandemic in Europe: an expert consultation
Emil Nafis Iftekhar, Viola Priesemann, Rudi Balling +31
How will the coronavirus disease 2019 (COVID-19) pandemic develop in the coming months and years? Based on an expert survey, we examine key aspects that are likely to influence COV…
Nonparametric, tuning-free estimation of S-shaped functions
Oliver Y. Feng, Yining Chen, Qiyang Han +2
We consider the nonparametric estimation of an S-shaped regression function. The least squares estimator provides a very natural, tuning-free approach, but results in a non-convex…
Nonparametric Statistical Inference via Metric Distribution Function in Metric Spaces
Xueqin Wang, Jin Zhu, Wenliang Pan +2
Distribution function is essential in statistical inference, and connected with samples to form a directed closed loop by the correspondence theorem in measure theory and the Glive…
On complete classes of valuated matroids
Edin Husić, Georg Loho, Ben Smith +1
We characterize a rich class of valuated matroids, called R-minor valuated matroids that includes the indicator functions of matroids, and is closed under operations such as taking…