Yu Wang

collaborators

4 papers

math.ST2024

Robust estimation for high-dimensional time series with heavy tails

Yu Wang, Guodong Li, Zhijie Xiao +2

We study in this paper the problem of least absolute deviation (LAD) regression for high-dimensional heavy-tailed time series which have finite $α$ -th moment with $α \in (1, 2]$ . To…

stat.ML2024

Error estimates between SGD with momentum and underdamped Langevin diffusion

Arnaud Guillin, Yu Wang, Lihu Xu +1

Stochastic gradient descent with momentum is a popular variant of stochastic gradient descent, which has recently been reported to have a close relationship with the underdamped La…

math.PR2024

Unbiased approximation of the ergodic measure for piecewise $α$ -stable Ornstein-Uhlenbeck processes arising in queueing networks

Xinghu Jin, Guodong Pang, Yu Wang +1

Piecewise $α$ -stable Ornstein-Uhlenbeck (OU) processes arising in queue networks usually do not have an explicit dissipation, which makes the related numerical methods such as Eule…

math.PR2024

Phase transition in the EM scheme of an SDE driven by $α$ -stable noises with $α \in (0, 2]$

Yu Wang, Yimin Xiao, Lihu Xu

We study in this paper the EM scheme for a family of well-posed critical SDEs with the drift $- x lo g (1 + ∣ x ∣)$ and $α$ -stable noises. Specifically, we find that when the SDE is drive…

Robust estimation for high-dimensional time series with heavy tails

Error estimates between SGD with momentum and underdamped Langevin diffusion

Unbiased approximation of the ergodic measure for piecewise α-stable Ornstein-Uhlenbeck processes arising in queueing networks

Phase transition in the EM scheme of an SDE driven by α-stable noises with α∈(0,2]

Unbiased approximation of the ergodic measure for piecewise $α$ -stable Ornstein-Uhlenbeck processes arising in queueing networks

Phase transition in the EM scheme of an SDE driven by $α$ -stable noises with $α \in (0, 2]$