Sparse Causal Dynamic Linear Regression
Journal of Time Series Analysis, EarlyView.ABSTRACT We develop a sparse causal dynamic regression framework for long multivariate time series. With very long time series, the potentially large number of lags and leads in a dynamic regression model often makes time‐domain estimation numerically unstable or intractable.
Rui Huang, Kung‐Sik Chan
wiley +1 more source
Molecular classification of hormone-sensitive and castration-resistant prostate cancer, using nonnegative matrix factorization molecular subtyping of primary and metastatic specimens. [PDF]
Prostate, 2022 Yuen KC +12 more
europepmc +1 more source
Identification and Estimation of Multi‐order Tensor Factor Models
Journal of Time Series Analysis, EarlyView.ABSTRACT We propose a novel framework in high‐dimensional factor models to simultaneously analyze multiple tensor time series, each with potentially different tensor orders and dimensionality. The connection between different tensor time series is through their global factors that are correlated with each other.
Zetai Cen
wiley +1 more source
Secured Secret Sharing of QR Codes Based on Nonnegative Matrix Factorization and Regularized Super Resolution Convolutional Neural Network. [PDF]
Sensors (Basel), 2022 Velumani R +5 more
europepmc +1 more source
Measure‐valued processes for energy markets
Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero +3 more
wiley +1 more source
UINMF performs mosaic integration of single-cell multi-omic datasets using nonnegative matrix factorization. [PDF]
Nat Commun, 2022 Kriebel AR, Welch JD.
europepmc +1 more source
Multilayer nonnegative matrix factorization
, 2006 : A multilayer approach to Nonnegative Matrix Factorization (NMF) algorithms is proposed. It considerably improves their performance; especially if a problem is ill-conditioned, or data are badly-scaled, and projected gradient algorithms are used.
R. Zdunek, A. Cichocki
core
Optimal Portfolio Choice With Cross‐Impact Propagators
Mathematical Finance, EarlyView.ABSTRACT We consider a class of optimal portfolio choice problems in continuous time where the agent's transactions create both transient cross‐impact driven by a matrix‐valued Volterra propagator, as well as temporary price impact. We formulate this problem as the maximization of a revenue‐risk functional, where the agent also exploits available ...
Eduardo Abi Jaber +2 more
wiley +1 more source
Reinforcement Learning for Jump‐Diffusions, With Financial Applications
Mathematical Finance, EarlyView.ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley +1 more source
Relative Arbitrage Opportunities With Interactions Among N Investors
Mathematical Finance, EarlyView.ABSTRACT The relative arbitrage portfolio outperforms a benchmark portfolio over a given time‐horizon with probability one. With market price of risk processes depending on the market portfolio and investors, this paper analyzes the multi‐agent optimization of relative arbitrage opportunities in the coupled system of market and wealth dynamics.
Tomoyuki Ichiba, Nicole Tianjiao Yang
wiley +1 more source