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High-frequency financial data can be collected as a sequence of curves over time; for example, as intra-day price, currently one of the topics of greatest interest in finance. The Functional Data Analysis framework provides a suitable tool…
The two key issues of modern Bayesian statistics are: (i) establishing principled approach for distilling statistical prior that is consistent with the given data from an initial believable scientific prior; and (ii) development of a…
We suggest a new approach to hypothesis testing for ergodic and stationary processes. In contrast to standard methods, the suggested approach gives a possibility to make tests, based on any lossless data compression method even if the…
This paper studies alpha testing in a high-dimensional conditional time-varying factor model with temporally dependent observations. Both factor loadings and alpha processes are allowed to vary smoothly over time, and the cross-sectional…
The global sensitivity analysis of time-dependent processes requires history-aware approaches. We develop for that purpose a variance-based method that leverages the correlation structure of the problems under study and employs surrogate…
We introduce circulance, a scalar measure for classifying time series of dynamical systems. Circulance captures the extent of temporal regularity or irregularity that is encoded in the topology of a directed ordinal pattern transition…
Stochastic comparisons of series and parallel systems are important in many areas of engineering, operations research and reliability analysis. These comparisons allow for the evaluation of the performance and reliability of systems under…
Linear Response theory aims to predict how added forcing alters the statistical properties of an unforced system. These kinds of questions have been studied predominantly for autonomous dynamical systems, yet many systems in the physical,…
Continuous-time Markov decision processes are an important class of models in a wide range of applications, ranging from cyber-physical systems to synthetic biology. A central problem is how to devise a policy to control the system in order…
We consider a regression model with errors that are a.s. negative. Thus the regression function is not the expected value of the observations but the right endpoint of their support. We develop two goodness-of-fit tests for the hypotheses…
In the era of rapidly increasing amounts of time series data, classification of variable objects has become the main objective of time-domain astronomy. Classification of irregularly sampled time series is particularly difficult because the…
This paper shows that the problem of testing hypotheses in moment condition models without any assumptions about identification may be considered as a problem of testing with an infinite-dimensional nuisance parameter. We introduce a…
Recovering and distinguishing between the strict-preference, indifference and/or indecisiveness parts of a decision maker's preferences is a challenging task but also important for testing theory and conducting welfare analysis. This paper…
Traditional credibility analysis of risks in insurance is based on the random effects model, where the heterogeneity across the policyholders is assumed to be time-invariant. One popular extension is the dynamic random effects (or…
We study randomized experiments in a service system when stochastic congestion can arise from temporarily limited supply or excess demand. Such congestion gives rise to cross-unit interference between the waiting customers, and analytic…
A preferential domain is a collection of sets of preferences which are linear orders over a set of alternatives. These domains have been studied extensively in social choice theory due to both its practical importance and theoretical…
Let $(Y,(X_i)_{i\in\mathcal{I}})$ be a zero mean Gaussian vector and $V$ be a subset of $\mathcal{I}$. Suppose we are given $n$ i.i.d. replications of the vector $(Y,X)$. We propose a new test for testing that $Y$ is independent of…
Sequential modelling entails making sense of sequential data, which naturally occurs in a wide array of domains. One example is systems that interact with users, log user actions and behaviour, and make recommendations of items of potential…
Building resilience into today's complex infrastructures is critical to the daily functioning of society and its ability to withstand and recover from natural disasters, epidemics, and cyber-threats. This study proposes quantitative…
We develop a new goodness fit test for Rayleigh distribution for complete as well as right censored data. We use U-Statistic theory to derive the test statistic. First we develop a test for complete data and then discuss, how right censored…