2 papers
stat.ME2018
Score-Matching Representative Approach for Big Data Analysis with Generalized Linear Models
Keren Li, Jie Yang
We propose a fast and efficient strategy, called the representative approach, for big data analysis with generalized linear models, especially for distributed data with localizatio…
q-fin.PR2018
A New Nonparametric Estimate of the Risk-Neutral Density with Applications to Variance Swaps
Liyuan Jiang, Shuang Zhou, Keren Li +2
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 ev…