1 citations · 1 across the 5 of their papers we have counts for
5 papers
Arbitrage-Free Pricing with Diffusion-Dependent Jumps
Hamza Virk, Yihren Wu, Majnu John
Standard jump-diffusion models assume independence between jumps and diffusion components. We develop a multi-type jump-diffusion model where jump occurrence and magnitude depend o…
A Simple Illustration of Interleaved Learning using Kalman Filter for Linear Least Squares
Majnu John, Yihren Wu
Interleaved learning in machine learning algorithms is a biologically inspired training method with promising results. In this short note, we illustrate the interleaving mechanism…
Weak-consistent dynamic correlation estimators for Brownian motion pairs and for Geometric Brownian motion pairs
Majnu John, Yihren Wu
Estimating dynamic correlation between a pair of time series is of importance in many applications. We present new estimators for the dynamic correlation between a pair of correlat…
Adaptation of the visibility graph algorithm to find the time lag between hydrogeological time series
Rahul John, Majnu John
Estimating the time lag between two hydrogeologic time series (e.g. precipitation and water levels in an aquifer) is of significance for a hydrogeologist-modeler. In this paper, we…
Confidence Intervals for Finite Difference Solutions
Majnu John, Yihren Wu
Although applications of Bayesian analysis for numerical quadrature problems have been considered before, it's only very recently that statisticians have focused on the connections…