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math.ST2004
Dynamics of Interest Rate Curve by Functional Auto-Regression
Vladislav Kargin, Alexei Onatski
The paper uses functional auto-regression to predict the dynamics of interest rate curve. It estimates the auto-regressive operator by extending methods of the reduced-rank auto-re…
math.ST2003
On the Chernoff bound for efficiency of quantum hypothesis testing
Vladislav Kargin
The paper estimates the Chernoff rate for the efficiency of quantum hypothesis testing. For both joint and separable measurements, approximate bounds for the rate are given if both…