We define the notion of a Ricci curvature lower bound for parametrized statistical models. Following the seminal ideas of Lott–Sturm–Villani, we define this notion based on the geodesic convexity of the Kullback–Leibler divergence in a Wasserstein statistical manifold, that is, a manifold of probability distributions endowed with a Wasserstein metric tensor structure. Within these definitions, which are based on Fisher information matrix and Wasserstein Christoffel symbols, the Ricci curvature is related to both, information geometry and Wasserstein geometry. These definitions allow us to formulate bounds on the convergence rate of Wasserstein gradient flows and information functional inequalities in parameter space. We discuss examples of Ricci curvature lower bounds and convergence rates in exponential family models.

Factor models are a class of powerful statistical models that have been widely used to deal with dependent measurements that arise frequently from various applications from genomics and neuroscience to economics and finance. As data are collected at an ever-growing scale, statistical machine learning faces some new challenges: high dimensionality, strong dependence among observed variables, heavy-tailed variables and heterogeneity. High-dimensional robust factor analysis serves as a powerful toolkit to conquer these challenges.

The modern financial industry has been required to deal with large and diverse portfolios in a variety of asset classes often with limited market data available. Financial Signal Processing and Machine Learning unifies a number of recent advances made in signal processing and machine learning for the design and management of investment portfolios and financial engineering. This book bridges the gap between these disciplines, offering the latest information on key topics including characterizing statistical dependence and correlation in high dimensions, constructing effective and robust risk measures, and their use in portfolio optimization and rebalancing. The book focuses on signal processing approaches to model return, momentum, and mean reversion, addressing theoretical and implementation aspects. It highlights the connections between portfolio theory, sparse learning and compressed sensing, sparse eigen-portfolios, robust optimization, non-Gaussian data-driven risk measures, graphical models, causal analysis through temporal-causal modeling, and large-scale copula-based approaches. Key features: Highlights signal processing and machine learning as key approaches to quantitative finance. Offers advanced mathematical tools for high-dimensional portfolio construction, monitoring, and post-trade analysis problems. Presents portfolio theory, sparse learning and compressed sensing, sparsity methods for investment portfolios. including eigen-portfolios, model return, momentum, mean reversion and non-Gaussian data-driven risk measures with real-world applications of these techniques. Includes contributions from leading

Recovering low-rank structures via eigenvector perturbation analysis is a common problem in statistical machine learning, such as in factor analysis, community detection, ranking, matrix completion, among others. While a large variety of results provide tight bounds on the average errors between empirical and population statistics of eigenvectors, fewer results are tight for entrywise analyses, which are critical for a number of problems such as community detection and ranking.

A recent line of work has studied the statistical properties of neural networks to great success from a {\it mean field theory} perspective, making and verifying very precise predictions of neural network behavior and test time performance. In this paper, we build upon these works to explore two methods for taming the behaviors of random residual networks (with only fully connected layers and no batchnorm). The first method is {\it width variation (WV)}, ie varying the widths of layers as a function of depth. We show that width decay reduces gradient explosion without affecting the mean forward dynamics of the random network. The second method is {\it variance variation (VV)}, ie changing the initialization variances of weights and biases over depth. We show VV, used appropriately, can reduce gradient explosion of tanh and ReLU resnets from \exp (\Theta (\sqrt L)) and \exp (\Theta (\sqrt L)) respectively to constant \exp (\Theta (\sqrt L)) . A complete phase-diagram is derived for how variance decay affects different dynamics, such as those of gradient and activation norms. In particular, we show the existence of many phase transitions where these dynamics switch between exponential, polynomial, logarithmic, and even constant behaviors. Using the obtained mean field theory, we are able to track surprisingly well how VV at initialization time affects training and test time performance on MNIST after a set number of epochs: the level sets of test/train set accuracies coincide with the level sets of the expectations of certain gradient norms or of metric expressivity (as defined in\cite {yang_meanfield_2017}), a measure of expansion in a random neural network. Based on insights from past works in