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Estimating how well a machine learning model performs during inference is critical in a variety of scenarios (for example, to quantify uncertainty, or to choose from a library of available models). However, the standard accuracy estimate of…
HYGARCH model is basically used to model long-range dependence in volatility. We propose Markov switch smooth-transition HYGARCH model, where the volatility in each state is a time-dependent convex combination of GARCH and FIGARCH. This…
First-passage probability estimation of high-dimensional nonlinear stochastic systems is a significant task to be solved in many science and engineering fields, but remains still an open challenge. The present paper develops a novel…
First-order methods are often analyzed via their continuous-time models, where their worst-case convergence properties are usually approached via Lyapunov functions. In this work, we provide a systematic and principled approach to find and…
Accurate forecasting is one of the fundamental focus in the literature of econometric time-series. Often practitioners and policy makers want to predict outcomes of an entire time horizon in the future instead of just a single $k$-step…
Stochastic mathematical models are essential tools for understanding and predicting complex phenomena. The purpose of this work is to study the exit times of a stochastic dynamical system-specifically, the mean exit time and the…
This paper studies some temporal dependence properties and addresses the issue of parametric estimation for a class of state-dependent autoregressive models for nonlinear time series in which we assume a stochastic autoregressive…
This paper introduces a new periodic fractional autoregressive process (PFAR) driven by fractional Gaussian noise (fGn) to model time series of precipitation evapotranspiration. Compared with the similar model in [\emph{Water Resources…
Graphical models describe associations between variables through the notion of conditional independence. Gaussian graphical models are a widely used class of such models where the relationships are formalized by non-null entries of the…
Longitudinal binary or count functional data are common in neuroscience, but are often too large to analyze with existing functional regression methods. We propose one-step penalized generalized estimating equations that supports…
Traffic forecasting is a challenging task due to the complex spatio-temporal correlations among traffic series. In this paper, we identify an underexplored problem in multivariate traffic series prediction: extreme events. Road congestion…
Orthogonal Generalized Autoregressive Conditional Heteroskedasticity model (OGARCH) is widely used in finance industry to produce volatility and correlation forecasts. We show that the classic OGARCH model, nevertheless, tends to be too…
Recognizing the need for explainable AI (XAI) approaches to enable the successful integration of AI-based ECG prediction models (AI-ECG) into clinical practice, we introduce a framework generating \textbf{Co}unter\textbf{F}actual…
We propose autoregressive Bayesian semi-parametric models for waiting times between recurrent events. The aim is two-fold: inference on the effect of possibly time-varying covariates on the gap times and clustering of individuals based on…
While deep learning-based classification is generally tackled using standardized approaches, a wide variety of techniques are employed for regression. In computer vision, one particularly popular such technique is that of confidence-based…
The steady-state Bayesian vector autoregression (BVAR) makes it possible to incorporate prior information about the long-run mean of the process. This has been shown in many studies to substantially improve forecasting performance, and the…
We propose a semi-partitioned Generalized Method of Moments (GMM) framework for analyzing longitudinal data with time-dependent covariates, within a marginal modeling paradigm. This approach addresses limitations of both aggregated and…
Gradient Boosting Machines (GBM) are hugely popular for solving tabular data problems. However, practitioners are not only interested in point predictions, but also in probabilistic predictions in order to quantify the uncertainty of the…
This paper introduces a boosted conformal procedure designed to tailor conformalized prediction intervals toward specific desired properties, such as enhanced conditional coverage or reduced interval length. We employ machine learning…
When considering the problem of forecasting a continuous-time stochastic process over an entire time-interval in terms of its recent past, the notion of Autoregressive Hilbert space processes (ARH) arises. This model can be seen as a…