21 citations · 51 across the 13 of their papers we have counts for
14 papers
An Entropic Factor Model for Robust Portfolio Replication
Argimiro Arratia, Henryk Gzyl
Portfolio replication, or the construction of a tradable basket of assets to match the risk-return profile of a target benchmark, is fundamentally an ill-posed inverse problem. Whe…
The Morgan-Pitman Test of Equality of Variances and its Application to Machine Learning Model Evaluation and Selection
Argimiro Arratia, Alejandra Cabaña, Ernesto Mordecki +1
Model selection in non-linear models often prioritizes performance metrics over statistical tests, limiting the ability to account for sampling variability. We propose the use of a…
Portfolio optimization in incomplete markets and price constraints determined by maximum entropy in the mean
Argimiro Arratia, Henryk Gzyl
A solution to a portfolio optimization problem is always conditioned by constraints on the initial capital and the price of the available market assets. If a risk neutral measure i…
Classification by Separating Hypersurfaces: An Entropic Approach
Argimiro Arratia, Mahmoud El Daou, Henryk Gzyl
We consider the following classification problem: Given a population of individuals characterized by a set of attributes represented as a vector in , the goal is to…
Identifying bias in cluster quality metrics
Martí Renedo-Mirambell, Argimiro Arratia
We study potential biases of popular cluster quality metrics, such as conductance or modularity. We propose a method that uses both stochastic and preferential attachment block mod…
Good distribution modelling with the R package good
Jordi Tur, David Moriña, Pedro Puig +3
Although models for count data with over-dispersion have been widely considered in the literature, models for under-dispersion -- the opposite phenomenon -- have received less atte…
Bayesian Synthetic Likelihood Estimation for Underreported Non-Stationary Time Series: Covid-19 Incidence in Spain
David Moriña, Amanda Fernández-Fontelo, Alejandra Cabaña +2
The problem of dealing with misreported data is very common in a wide range of contexts for different reasons. The current situation caused by the Covid-19 worldwide pandemic is a…
Estimating the real burden of disease under a pandemic situation: The SARS-CoV2 case
Amanda Fernández-Fontelo, David Moriña, Alejandra Cabaña +2
The present paper introduces a new model used to study and analyse the severe acute respiratory syndrome coronavirus 2 (SARS-CoV2) epidemic-reported-data from Spain. This is a Hidd…
Cumulated burden of Covid-19 in Spain from a Bayesian perspective
David Moriña, Amanda Fernández-Fontelo, Alejandra Cabaña +3
The main goal of this work is to estimate the actual number of cases of Covid-19 in Spain in the period 01-31-2020 / 06-01-2020 by Autonomous Communities. Based on these estimates,…
Classifier Selection with Permutation Tests
Marta Arias, Argimiro Arratia, Ariel Duarte-Lopez
This work presents a content-based recommender system for machine learning classifier algorithms. Given a new data set, a recommendation of what classifier is likely to perform bes…
Methods of Class Field Theory to Separate Logics over Finite Residue Classes and Circuit Complexity
Argimiro Arratia, Carlos E. Ortiz
Separations among the first order logic of finite residue class rings, its extensions with generalized quantifiers, and in the presence of a built-in order are…
Modeling stationary data by a class of generalised Ornstein-Uhlenbeck processes
Argimiro Arratia, Alejandra Cabaña, Enrique M. Cabaña
An Ornstein-Uhlenbeck (OU) process can be considered as a continuous time interpolation of the discrete time AR process. Departing from this fact, we analyse in this work the…
Tracing the temporal evolution of clusters in a financial stock market
Argimiro Arratia, Alejandra Cabaña
We propose a methodology for clustering financial time series of stocks' returns, and a graphical set-up to quantify and visualise the evolution of these clusters through time. The…
Ranking pages and the topology of the web
Argimiro Arratia, Carlos Marijuán
This paper presents our studies on the rearrangement of links from the structure of websites for the purpose of improving the valuation of a page or group of pages as established b…