Related papers: Augmented GARCH sequences: Dependence structure an…
The discrete-time GARCH methodology which has had such a profound influence on the modelling of heteroscedasticity in time series is intuitively well motivated in capturing many `stylized facts' concerning financial series, and is now…
We propose a class of estimators for the parameters of a GARCH(p,q) sequence. We show that our estimators are consistent and asymptotically normal under mild conditions. The quasi-maximum likelihood and the likelihood estimators are…
Complex multivariate time series arise in many fields, ranging from computer vision to robotics or medicine. Often we are interested in the independent underlying factors that give rise to the high-dimensional data we are observing. While…
Probabilistic dependency graphs (PDGs) are a flexible class of probabilistic graphical models, subsuming Bayesian Networks and Factor Graphs. They can also capture inconsistent beliefs, and provide a way of measuring the degree of this…
We consider the problem of inferring a latent function in a probabilistic model of data. When dependencies of the latent function are specified by a Gaussian process and the data likelihood is complex, efficient computation often involve…
Multi-output regression models must exploit dependencies between outputs to maximise predictive performance. The application of Gaussian processes (GPs) to this setting typically yields models that are computationally demanding and have…
The most popular approach in extreme value statistics is the modelling of threshold exceedances using the asymptotically motivated generalised Pareto distribution. This approach involves the selection of a high threshold above which the…
Graphical Markov models combine conditional independence constraints with graphical representations of stepwise data generating processes.The models started to be formulated about 40 years ago and vigorous development is ongoing.…
Galaxy redshift surveys encode a wealth of information generated by nonlinear gravitational evolution, galaxy bias, and redshift-space distortions, only part of which is accessible through standard two-point statistics. Motivated by the…
The log returns of financial time series are usually modeled by means of the stationary GARCH(1,1) stochastic process or its generalizations which can not properly describe the nonstationary deterministic components of the original series.…
A time-varying zero-inflated serially dependent Poisson process is proposed. The model assumes that the intensity of the Poisson Process evolves according to a generalized autoregressive conditional heteroscedastic (GARCH) formulation. The…
In a mixed generalized linear model, the goal is to learn multiple signals from unlabeled observations: each sample comes from exactly one signal, but it is not known which one. We consider the prototypical problem of estimating two…
We study the behavior of a real-valued and unobservable process (Y_t) under an extreme event of a related process (X_t) that is observable. Our analysis is motivated by the well-known GARCH model which represents two such sequences, i.e.…
In this paper we develop inference for high dimensional linear models, with serially correlated errors. We examine Lasso under the assumption of strong mixing in the covariates and error process, allowing for fatter tails in their…
Let $G$ be a directed graph on finitely many vertices and edges, and assign a positive weight to each edge on $G$. Fix vertices $u$ and $v$ and consider the set of paths that start at $u$ and end at $v$, self-intersecting in any number of…
We propose a novel probabilistic model to facilitate the learning of multivariate tail dependence of multiple financial assets. Our method allows one to construct from known random vectors, e.g., standard normal, sophisticated joint…
We propose a method for inference in generalised linear mixed models (GLMMs) and several extensions of these models. First, we extend the GLMM by allowing the distribution of the random components to be non-Gaussian, that is, assuming an…
We derive a nonparametric higher-order asymptotic expansion for small-time changes of conditional characteristic functions of It\^o semimartingale increments. The asymptotics setup is of joint type: both the length of the time interval of…
Count time series data are frequently analyzed by modeling their conditional means and the conditional variance is often considered to be a deterministic function of the corresponding conditional mean and is not typically modeled…
The dynamics of systems of many degrees of freedom evolving on multiple scales are often modeled in terms of stochastic differential equations. Usually the structural form of these equations is unknown and the only manifestation of the…