Related papers: ECF identification of GARCH systems driven by L\'e…
Stochastic variational inference algorithms are derived for fitting various heteroskedastic time series models. We examine Gaussian, t, and skew-t response GARCH models and fit these using Gaussian variational approximating densities. We…
This work is devoted to the study of modeling geophysical and financial time series. A class of volatility models with time-varying parameters is presented to forecast the volatility of time series in a stationary environment. The modeling…
Price range contains important information about the asset volatility, and has long been considered an important indicator for it. In this paper, we propose to jointly model the [low, high] price range as a random interval and introduce an…
This paper proposes a novel conditional heteroscedastic time series model by applying the framework of quantile regression processes to the ARCH(\infty) form of the GARCH model. This model can provide varying structures for conditional…
In this paper we study the simple semi-L\'evy driven continuous-time generalized autoregressive conditionally heteroscedastic (SS-COGARCH) process. The statistical properties of this process are characterized. This process has the potential…
This paper explores the theory behind the rich and robust family of {\alpha}-stable distributions to estimate parameters from financial asset log-returns data. We discuss four-parameter estimation methods including the quantiles,…
Markov chains are simple yet powerful mathematical structures to model temporally dependent processes. They generally assume stationary data, i.e., fixed transition probabilities between observations/states. However, live, real-world…
Low left ventricular ejection fraction (LEF) frequently remains undetected until progression to symptomatic heart failure, underscoring the need for scalable screening strategies. Although artificial intelligence-enabled electrocardiography…
A new approach for signal parametrization, which consists of a specific regression model incorporating a discrete hidden logistic process, is proposed. The model parameters are estimated by the maximum likelihood method performed by a…
This paper offers a new approach for estimating and forecasting the volatility of financial time series. No assumption is made about the parametric form of the processes. On the contrary, we only suppose that the volatility can be…
This paper develops a Bayesian framework for the realized exponential generalized autoregressive conditional heteroskedasticity (realized EGARCH) model, which can incorporate multiple realized volatility measures for the modelling of a…
We propose Neural GARCH, a class of methods to model conditional heteroskedasticity in financial time series. Neural GARCH is a neural network adaptation of the GARCH 1,1 model in the univariate case, and the diagonal BEKK 1,1 model in the…
The Gaussian graphical model (GGM) incorporates an undirected graph to represent the conditional dependence between variables, with the precision matrix encoding partial correlation between pair of variables given the others. To achieve…
We investigate the properties of a continuous time GARCH process as the solution to a L\'evy driven stochastic functional integral equation. This process occurs as a weak limit of a sequence of discrete time GARCH processes as the time…
Generalized autoregressive conditionally heteroskedastic (GARCH) processes are widely used for modelling features commonly found in observed financial returns. The extremal properties of these processes are of considerable interest for…
We consider goodness-of-fit methods for multivariate symmetric and asymmetric stable Paretian random vectors in arbitrary dimension. The methods are based on the empirical characteristic function and are implemented both in the i.i.d.…
Exponential random graph models (ERGMs) are a widely used framework for network data, enabling hypothesis testing on the structural mechanisms underlying observed networks. Bayesian ERGMs provide principled uncertainty quantification and…
Graphs are an intuitive way to represent relationships between variables in fields such as finance and neuroscience. However, these graphs often need to be inferred from data. In this paper, we propose a novel framework to infer a latent…
The Laplacian-constrained Gaussian Markov Random Field (LGMRF) is a common multivariate statistical model for learning a weighted sparse dependency graph from given data. This graph learning problem can be formulated as a maximum likelihood…
Deriving Bayesian inference for exponential random graph models (ERGMs) is a challenging "doubly intractable" problem as the normalizing constants of the likelihood and posterior density are both intractable. Markov chain Monte Carlo (MCMC)…