We consider relative model comparison for the parametric coefficients of a semiparametric ergodic L\'{e}vy driven model observed at high-frequency. Our asymptotics is based on the fully explicit two-stage Gaussian quasi-likelihood function (GQLF) of the Euler-approximation type. For selections of the scale and drift coefficients, we propose explicit Gaussian quasi-AIC (GQAIC) and Gaussian quasi-BIC (GQBIC) statistics through the stepwise inference procedure. In particular, we show that the mixed-rates structure of the joint GQLF, which does not emerge for the case of diffusions, gives rise to the non-standard forms of the regularization terms in the selection of the scale coefficient, quantitatively clarifying the relation between estimation precision and sampling frequency. Numerical experiments are given to illustrate our theoretical findings.
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We observe n possibly dependent random variables, the distribution of which is presumed to be stationary even though this might not be true, and we aim at estimating the stationary distribution. We establish a non-asymptotic deviation bound for the Hellinger distance between the target distribution and our estimator. If the dependence within the observations is small, the estimator performs as good as if the data were independent and identically distributed. In addition our estimator is robust to misspecification and contamination. If the dependence is too high but the observed process is mixing, we can select a subset of observations that is almost independent and retrieve results similar to what we have in the i.i.d. case. We apply our procedure to the estimation of the invariant distribution of a diffusion process and to finite state space hidden Markov models.
Several physical problems modeled by second-order partial differential equations can be efficiently solved using mixed finite elements of the Raviart-Thomas family for N-simplexes, introduced in the seventies. In case Neumann conditions are prescribed on a curvilinear boundary, the normal component of the flux variable should preferably not take up values at nodes shifted to the boundary of the approximating polytope in the corresponding normal direction. This is because the method's accuracy downgrades, which was shown in \cite{FBRT}. In that work an order-preserving technique was studied, based on a parametric version of these elements with curved simplexes. In this paper an alternative with straight-edged triangles for two-dimensional problems is proposed. The key point of this method is a Petrov-Galerkin formulation of the mixed problem, in which the test-flux space is a little different from the shape-flux space. After carrying out a well-posedness and stability analysis, error estimates of optimal order are proven.
Recent works have explored the fundamental role of depth estimation in multi-view stereo (MVS) and semantic scene completion (SSC). They generally construct 3D cost volumes to explore geometric correspondence in depth, and estimate such volumes in a single step relying directly on the ground truth approximation. However, such problem cannot be thoroughly handled in one step due to complex empirical distributions, especially in challenging regions like occlusions, reflections, etc. In this paper, we formulate the depth estimation task as a multi-step distribution approximation process, and introduce a new paradigm of modeling the Volumetric Probability Distribution progressively (step-by-step) following a Markov chain with Diffusion models (VPDD). Specifically, to constrain the multi-step generation of volume in VPDD, we construct a meta volume guidance and a confidence-aware contextual guidance as conditional geometry priors to facilitate the distribution approximation. For the sampling process, we further investigate an online filtering strategy to maintain consistency in volume representations for stable training. Experiments demonstrate that our plug-and-play VPDD outperforms the state-of-the-arts for tasks of MVS and SSC, and can also be easily extended to different baselines to get improvement. It is worth mentioning that we are the first camera-based work that surpasses LiDAR-based methods on the SemanticKITTI dataset.
We consider the problem of mixed sparse linear regression with two components, where two real $k$-sparse signals $\beta_1, \beta_2$ are to be recovered from $n$ unlabelled noisy linear measurements. The sparsity is allowed to be sublinear in the dimension, and additive noise is assumed to be independent Gaussian with variance $\sigma^2$. Prior work has shown that the problem suffers from a $\frac{k}{SNR^2}$-to-$\frac{k^2}{SNR^2}$ statistical-to-computational gap, resembling other computationally challenging high-dimensional inference problems such as Sparse PCA and Robust Sparse Mean Estimation; here $SNR$ is the signal-to-noise ratio. We establish the existence of a more extensive computational barrier for this problem through the method of low-degree polynomials, but show that the problem is computationally hard only in a very narrow symmetric parameter regime. We identify a smooth information-computation tradeoff between the sample complexity $n$ and runtime for any randomized algorithm in this hard regime. Via a simple reduction, this provides novel rigorous evidence for the existence of a computational barrier to solving exact support recovery in sparse phase retrieval with sample complexity $n = \tilde{o}(k^2)$. Our second contribution is to analyze a simple thresholding algorithm which, outside of the narrow regime where the problem is hard, solves the associated mixed regression detection problem in $O(np)$ time with square-root the number of samples and matches the sample complexity required for (non-mixed) sparse linear regression; this allows the recovery problem to be subsequently solved by state-of-the-art techniques from the dense case. As a special case of our results, we show that this simple algorithm is order-optimal among a large family of algorithms in solving exact signed support recovery in sparse linear regression.
We consider the problem of estimating the roughness of the volatility in a stochastic volatility model that arises as a nonlinear function of fractional Brownian motion with drift. To this end, we introduce a new estimator that measures the so-called roughness exponent of a continuous trajectory, based on discrete observations of its antiderivative. We provide conditions on the underlying trajectory under which our estimator converges in a strictly pathwise sense. Then we verify that these conditions are satisfied by almost every sample path of fractional Brownian motion (with drift). As a consequence, we obtain strong consistency theorems in the context of a large class of rough volatility models. Numerical simulations show that our estimation procedure performs well after passing to a scale-invariant modification of our estimator.
Generative models can be categorized into two types: explicit generative models that define explicit density forms and allow exact likelihood inference, such as score-based diffusion models (SDMs) and normalizing flows; implicit generative models that directly learn a transformation from the prior to the data distribution, such as generative adversarial nets (GANs). While these two types of models have shown great success, they suffer from respective limitations that hinder them from achieving fast sampling and high sample quality simultaneously. In this paper, we propose a unified theoretic framework for SDMs and GANs. We shown that: i) the learning dynamics of both SDMs and GANs can be described as a novel SDE named Discriminator Denoising Diffusion Flow (DiffFlow) where the drift can be determined by some weighted combinations of scores of the real data and the generated data; ii) By adjusting the relative weights between different score terms, we can obtain a smooth transition between SDMs and GANs while the marginal distribution of the SDE remains invariant to the change of the weights; iii) we prove the asymptotic optimality and maximal likelihood training scheme of the DiffFlow dynamics; iv) under our unified theoretic framework, we introduce several instantiations of the DiffFLow that provide new algorithms beyond GANs and SDMs with exact likelihood inference and have potential to achieve flexible trade-off between high sample quality and fast sampling speed.
The framework of differential privacy protects an individual's privacy while publishing query responses on congregated data. In this work, a new noise addition mechanism for differential privacy is introduced where the noise added is sampled from a hybrid density that resembles Laplace in the centre and Gaussian in the tail. With a sharper centre and light, sub-Gaussian tail, this density has the best characteristics of both distributions. We theoretically analyze the proposed mechanism, and we derive the necessary and sufficient condition in one dimension and a sufficient condition in high dimensions for the mechanism to guarantee (${\epsilon}$,${\delta}$)-differential privacy. Numerical simulations corroborate the efficacy of the proposed mechanism compared to other existing mechanisms in achieving a better trade-off between privacy and accuracy.
Recently, symbolic regression (SR) has demonstrated its efficiency for discovering basic governing relations in physical systems. A major impact can be potentially achieved by coupling symbolic regression with asymptotic methodology. The main advantage of asymptotic approach involves the robust approximation to the sought for solution bringing a clear idea of the effect of problem parameters. However, the analytic derivation of the asymptotic series is often highly nontrivial especially, when the exact solution is not available. In this paper, we adapt SR methodology to discover asymptotic series. As an illustration we consider three problem in mechanics, including two-mass collision, viscoelastic behavior of a Kelvin-Voigt solid and propagation of Rayleigh-Lamb waves. The training data is generated from the explicit exact solutions of these problems. The obtained SR results are compared to the benchmark asymptotic expansions of the above mentioned exact solutions. Both convergent and divergent asymptotic series are considered. A good agreement between SR expansions and analytical results is observed. It is demonstrated that the proposed approach can be used to identify material parameters, e.g. Poisson's ratio, and has high prospects for utilizing experimental and numerical data.
We propose a new model for nonstationary integer-valued time series which is particularly suitable for data with a strong trend. In contrast to popular Poisson-INGARCH models, but in line with classical GARCH models, we propose to pick the conditional distributions from nearly scale invariant families where the mean absolute value and the standard deviation are of the same order of magnitude. As an important prerequisite for applications in statistics, we prove absolute regularity of the count process with exponentially decaying coefficients.
The conjoining of dynamical systems and deep learning has become a topic of great interest. In particular, neural differential equations (NDEs) demonstrate that neural networks and differential equation are two sides of the same coin. Traditional parameterised differential equations are a special case. Many popular neural network architectures, such as residual networks and recurrent networks, are discretisations. NDEs are suitable for tackling generative problems, dynamical systems, and time series (particularly in physics, finance, ...) and are thus of interest to both modern machine learning and traditional mathematical modelling. NDEs offer high-capacity function approximation, strong priors on model space, the ability to handle irregular data, memory efficiency, and a wealth of available theory on both sides. This doctoral thesis provides an in-depth survey of the field. Topics include: neural ordinary differential equations (e.g. for hybrid neural/mechanistic modelling of physical systems); neural controlled differential equations (e.g. for learning functions of irregular time series); and neural stochastic differential equations (e.g. to produce generative models capable of representing complex stochastic dynamics, or sampling from complex high-dimensional distributions). Further topics include: numerical methods for NDEs (e.g. reversible differential equations solvers, backpropagation through differential equations, Brownian reconstruction); symbolic regression for dynamical systems (e.g. via regularised evolution); and deep implicit models (e.g. deep equilibrium models, differentiable optimisation). We anticipate this thesis will be of interest to anyone interested in the marriage of deep learning with dynamical systems, and hope it will provide a useful reference for the current state of the art.
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