英文标题：
《Non-Euclidean Conditional Expectation and Filtering》
---
作者：
Anastasis Kratsios and Cody B. Hyndman
---
最新提交年份：
2018
---
英文摘要：
A non-Euclidean generalization of conditional expectation is introduced and characterized as the minimizer of expected intrinsic squared-distance from a manifold-valued target. The computational tractable formulation expresses the non-convex optimization problem as transformations of Euclidean conditional expectation. This gives computationally tractable filtering equations for the dynamics of the intrinsic conditional expectation of a manifold-valued signal and is used to obtain accurate numerical forecasts of efficient portfolios by incorporating their geometric structure into the estimates.
---
中文摘要：
引入条件期望的非欧几里德推广，并将其特征描述为距离流形值目标的期望内平方距离的最小值。计算可处理公式将非凸优化问题表示为欧氏条件期望的变换。这为流形值信号的内在条件期望的动力学提供了计算上易于处理的滤波方程，并通过将其几何结构合并到估计中来获得有效投资组合的精确数值预测。
---
分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
--
一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
--
一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
--
一级分类：Statistics 统计学
二级分类：Machine Learning
机器学习
分类描述：Covers machine learning papers (supervised, unsupervised, semi-supervised learning, graphical models, reinforcement learning, bandits, high dimensional inference, etc.) with a statistical or theoretical grounding
覆盖机器学习论文（监督，无监督，半监督学习，图形模型，强化学习，强盗，高维推理等）与统计或理论基础
--
---
PDF下载：
-->
扫码加好友，拉您进群
全部版块
我的主页
收藏
