arXiv Machine Learning By David Breazu

Nonlinear Factor Decomposition via Kolmogorov-Arnold Networks: A Spectral Approach to Asset Return Analysis

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arXiv:2603. 28257v2 Announce Type: replace-cross Abstract: KAN-PCA is an autoencoder that uses a KAN as encoder and a linear map as decoder.

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arXiv Machine Learning
Sep 3

Robust Streaming PCA

The paper studies streaming principal component analysis under a robust setting where the covariance matrix can vary within a temporal uncertainty set, rather than being fixed. It establishes fundamental convergence limits for any algorithm that recovers principal components and analyzes the noisy power method and Oja's algorithm, showing that the noisy power method achieves rate‑optimal convergence in this setting. Numerical experiments on synthetic and real‑world data confirm the theoretical findings.

By Daniel Bienstock, Minchan Jeong, Apurv Shukla, Se-Young Yun
arXiv Machine Learning
Jul 27

Heavy-Tailed Principal Component Analysis

arXiv:2603. 11308v3 Announce Type: replace Abstract: Principal Component Analysis (PCA) is a cornerstone of dimensionality reduction, yet its classical formulation relies critically on second-order moments and is therefore fragile in the presence of heavy-tailed data and impulsive noise.

By Mario Sayde, Christopher Khater, Jihad Fahs, Ibrahim Abou-Faycal
arXiv Machine Learning
Jun 30

Large and Deep Factor Models

arXiv:2402. 06635v3 Announce Type: replace-cross Abstract: We show that a deep neural network (DNN) trained to construct a stochastic discount factor (SDF) admits an additive decomposition separating nonlinear characteristic discovery from the pricing rule that aggregates them.

By Bryan Kelly, Boris Kuznetsov, Semyon Malamud, Yuan Zhang
arXiv Machine Learning
Aug 11

A solvable high-dimensional model where nonlinear autoencoders learn structure invisible to PCA while test loss misaligns with generalization

arXiv:2602. 10680v2 Announce Type: replace-cross Abstract: Many real-world datasets contain hidden structure that cannot be detected by simple linear correlations between input features.

By Vicente Conde Mendes, Lorenzo Bardone, C\'edric Koller, Jorge Medina Moreira, Vittorio Erba, Emanuele Troiani, Lenka Zdeborov\'a