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math.ST2025
Algebraic Constraints for Linear Acyclic Causal Models
Cole Gigliotti, Elina Robeva
In this paper we study the space of second- and third-order moment tensors of random vectors which satisfy a Linear Non-Gaussian Acyclic Model (LiNGAM). In such a causal model each…
math.ST2025
Path-Dependent SDEs: Solutions and Parameter Estimation
Pardis Semnani, Vincent Guan, Elina Robeva +1
We develop a consistent method for estimating the parameters of a rich class of path-dependent SDEs, called signature SDEs, which can model general path-dependent phenomena. Path s…