#### Filter Results:

- Full text PDF available (5)

#### Publication Year

2006

2012

- This year (0)
- Last 5 years (1)
- Last 10 years (3)

#### Publication Type

#### Co-author

#### Journals and Conferences

#### Key Phrases

Learn More

- Jiming Yu, Sergio Verdú
- IEEE Transactions on Information Theory
- 2006

We develop adaptive schemes for bidirectional modeling of unknown discrete stationary sources. These algorithms can be applied to statistical inference problems such as noncausal universal discrete denoising that exploit bidirectional dependencies. Efficient algorithms for constructing those models are developed and we compare their performance to that of… (More)

Erasure entropy rate (introduced recently by Verdu and Weissman) differs from Shannon's entropy rate in that the conditioning occurs with respect to both the past and the future, as opposed to only the past (or the future). In this paper, universal algorithms for estimating erasure entropy rate are proposed based on the basic and extended context-tree… (More)

JIMING YU is a vice president at a large financial institution in New York, NY. The risk return relation is a staple of modern finance. When risk is measured by volatility, it is well known that option prices convey risk. One of the more inf luential ideas in the last twenty years is that the conditional volatility of an asset price can also be inferred… (More)

- Jiming Yu, Sergio Verdú
- IEEE Transactions on Information Theory
- 2009

Erasure entropy rate differs from Shannon's entropy rate in that the conditioning occurs with respect to both the past and the future, as opposed to only the past (or the future). In this paper, consistent universal algorithms for estimating erasure entropy rate are proposed based on the basic and extended context-tree weighting (CTW) algorithms. Simulation… (More)

- Jiming Yu, Sergio Verdú
- IEEE Transactions on Information Theory
- 2008

A source <i>X</i> goes through an erasure channel whose output is <i>Z</i>. The goal is to compress losslessly <i>X</i> when the compressor knows <i>X</i> and <i>Z</i> and the decompressor knows <i>Z</i>. We propose a universal algorithm based on context-tree weighting (CTW), parameterized by a memory-length parameter. We show that if the erasure channel is… (More)

- ‹
- 1
- ›