Related papers: Rank-based estimation for all-pass time series mod…

Reduced-rank regressions are powerful tools used to identify co-movements within economic time series. However, this task becomes challenging when we observe matrix-valued time series, where each dimension may have a different co-movement…

In observational studies with time-to-event outcomes, the g-formula can be used to estimate a treatment effect in the presence of confounding factors. However, the asymptotic distribution of the corresponding stochastic process is…

We consider a class of doubly weighted rank-based estimating methods for the transformation (or accelerated failure time) model with missing data as arise, for example, in case-cohort studies. The weights considered may not be predictable…

Under a partially linear models we study a family of robust estimates for the regression parameter and the regression function when some of the predictor variables take values on a Riemannian manifold. We obtain the consistency and the…

Linear models that contain a time-dependent response and explanatory variables have attracted much interest in recent years. The most general form of the existing approaches is of a linear regression model with autoregressive moving average…

In the setting of additive regression model for continuous time process, we establish the optimal uniform convergence rates and optimal asymptotic quadratic error of additive regression. To build our estimate, we use the marginal…

The paper introduces a new estimation method for the standard linear regression model. The procedure is not driven by the optimisation of any objective function rather, it is a simple weighted average of slopes from observation pairs. The…

The processes of the averaged regression quantiles and of their modifications provide useful tools in the regression models when the covariates are not fully under our control. As an application we mention the probabilistic risk assessment…

We propose an iterative estimating equations procedure for analysis of longitudinal data. We show that, under very mild conditions, the probability that the procedure converges at an exponential rate tends to one as the sample size…

We study generalized additive partial linear models, proposing the use of polynomial spline smoothing for estimation of nonparametric functions, and deriving quasi-likelihood based estimators for the linear parameters. We establish…

We develop an adaptive monotone shrinkage estimator for regression models with the following characteristics: i) dense coefficients with small but important effects; ii) a priori ordering that indicates the probable predictive importance of…

In this paper, we propose a class of low-rank panel quantile regression models which allow for unobserved slope heterogeneity over both individuals and time. We estimate the heterogeneous intercept and slope matrices via nuclear norm…

In two influential contributions, Rosenbaum (2005, 2020) advocated for using the distances between component-wise ranks, instead of the original data values, to measure covariate similarity when constructing matching estimators of average…

Our work aimed at experimentally assessing the benefits of model ensembling within the context of neural methods for passage reranking. Starting from relatively standard neural models, we use a previous technique named Fast Geometric…

Motivated by the application to German interest rates, we propose a timevarying autoregressive model for short and long term prediction of time series that exhibit a temporary non-stationary behavior but are assumed to mean revert in the…

We develop a new methodology for the fitting of nonstationary time series that exhibit nonlinearity, asymmetry, local persistence and changes in location scale and shape of the underlying distribution. In order to achieve this goal, we…

The modeling of time-varying graph signals as stationary time-vertex stochastic processes permits the inference of missing signal values by efficiently employing the correlation patterns of the process across different graph nodes and time…

System identification of autoregressive processes on Stiefel and Grassmann manifolds are presented and studied. We define the system parameters as elements in the orthogonal group and we show that the system can be estimated by averaging…

Series of univariate distributions indexed by equally spaced time points are ubiquitous in applications and their analysis constitutes one of the challenges of the emerging field of distributional data analysis. To quantify such…

We consider data-adaptive wavelet estimation of a trend function in a time series model with strongly dependent Gaussian residuals. Asymptotic expressions for the optimal mean integrated squared error and corresponding optimal smoothing and…