Spanning and Independence Properties of Finite Frames

Finite Frames ◽  
2013 ◽  
pp. 109-139
Author(s):  
Peter G. Casazza ◽  
Darrin Speegle
2015 ◽  
Vol 42 (3) ◽  
pp. 721-756
Author(s):  
Alice Z.-Y. Chan ◽  
Martin S. Copenhaver ◽  
Sivaram K. Narayan ◽  
Logan Stokols ◽  
Allison Theobold

2013 ◽  
Vol 1 ◽  
pp. 75-81
Author(s):  
Ivica Terzić ◽  
Marko Milojević

The purpose of this paper is to evaluate performance of value-at-risk (VaR) produced by two risk models: historical simulation and Risk Metrics. We perform three backtest: unconditional coverage, independence and conditional coverage. We present results on both VaR 1% and VaR 5% on a one-day horizon for the following indices: S&P 500, DAX, SAX, PX and Belex 15. Our results show that Historical simulation 500 days rolling window approach satisfies unconditional coverage for all tested indices, while Risk Metrics has many rejection cases. On the other hand Risk Metrics model satisfies independence backtest for three indices, while Historical simulation has rejected more times. Based on our strong criteria to accept accuracy of VaR models only if both unconditional coverage and independence properties are satisfied, results indicate that during the crisis period all tested VaR models underestimate the true level of market risk exposure.


1978 ◽  
Vol 26 (1) ◽  
pp. 31-45 ◽  
Author(s):  
J. H. Loxton ◽  
A. J. van der Poorten

AbstractWe consider algebraic independence properties of series such as We show that the functions fr(z) are algebraically independent over the rational functions Further, if αrs (r = 2, 3, 4, hellip; s = 1, 2, 3, hellip) are algebraic numbers with 0 < |αrs|, we obtain an explicit necessary and sufficient condition for the algebraic independence of the numbers fr(αrs) over the rationals.


Finite Frames ◽  
2013 ◽  
pp. 141-170 ◽  
Author(s):  
Jameson Cahill ◽  
Nate Strawn

COMBINATORICA ◽  
1997 ◽  
Vol 17 (3) ◽  
pp. 369-391 ◽  
Author(s):  
Jeff Kahn ◽  
P. Mark Kayll

2019 ◽  
Vol 23 ◽  
pp. 176-216
Author(s):  
Sylvain Delattre ◽  
Nicolas Fournier

We consider a deterministic game with alternate moves and complete information, of which the issue is always the victory of one of the two opponents. We assume that this game is the realization of a random model enjoying some independence properties. We consider algorithms in the spirit of Monte-Carlo Tree Search, to estimate at best the minimax value of a given position: it consists in simulating, successively, n well-chosen matches, starting from this position. We build an algorithm, which is optimal, step by step, in some sense: once the n first matches are simulated, the algorithm decides from the statistics furnished by the n first matches (and the a priori we have on the game) how to simulate the (n + 1)th match in such a way that the increase of information concerning the minimax value of the position under study is maximal. This algorithm is remarkably quick. We prove that our step by step optimal algorithm is not globally optimal and that it always converges in a finite number of steps, even if the a priori we have on the game is completely irrelevant. We finally test our algorithm, against MCTS, on Pearl’s game [Pearl, Artif. Intell. 14 (1980) 113–138] and, with a very simple and universal a priori, on the game Connect Four and some variants. The numerical results are rather disappointing. We however exhibit some situations in which our algorithm seems efficient.


Sign in / Sign up

Export Citation Format

Share Document