Related papers: ECF identification of GARCH systems driven by L\'e…

This paper considers a semiparametric generalized autoregressive conditional heteroskedasticity (S-GARCH) model. For this model, we first estimate the time-varying long run component for unconditional variance by the kernel estimator, and…

In this work we apply the Method of Critical Fluctuations (MCF)on human Electrocardiogram (ECG) time-series. The method is able to reveal critical characteristics, in terms of physical behavior, in experimentally recorded signals. Using the…

This paper introduces a novel quantile approach to harness the high-frequency information and improve the daily conditional quantile estimation. Specifically, we model the conditional standard deviation as a realized GARCH model and employ…

We present an outline of the theory of certain L\'evy-driven, multivariate stochastic processes, where the processes are represented by rational transfer functions (Continuous-time AutoRegressive Moving Average or CARMA models) and their…

Latent factor GARCH models are difficult to estimate using Bayesian methods because standard Markov chain Monte Carlo samplers produce slowly mixing and inefficient draws from the posterior distributions of the model parameters. This paper…

We present procedures based on Bayesian statistics for estimating, from data, the parameters of effective field theories (EFTs). The extraction of low-energy constants (LECs) is guided by theoretical expectations in a quantifiable way…

For modelling geophysical systems, large-scale processes are described through a set of coarse-grained dynamical equations while small-scale processes are represented via parameterizations. This work proposes a method for identifying the…

Industrial financial systems operate on temporal event sequences such as transactions, user actions, and system logs. While recent research emphasizes representation learning and large language models, production systems continue to rely…

Left ventricular ejection fraction (LVEF) assessment depends on echocardiography, limiting access in primary care and resource-constrained settings. We developed a multimodal machine-learning framework that combines engineered 12-lead ECG…

Bayesian graphical models are a useful tool for understanding dependence relationships among many variables, particularly in situations with external prior information. In high-dimensional settings, the space of possible graphs becomes…

This paper develops tests for the correct specification of the conditional variance function in GARCH models when the true parameter may lie on the boundary of the parameter space. The test statistics considered are of Kolmogorov-Smirnov…

This paper investigates the Gaussian quasi-likelihood estimation of an exponentially ergodic multidimensional Markov process, which is expressed as a solution to a L\'{e}vy driven stochastic differential equation whose coefficients are…

Stochastic processes offer a flexible mathematical formalism to model and reason about systems. Most analysis tools, however, start from the premises that models are fully specified, so that any parameters controlling the system's dynamics…

It is common for long financial time series to exhibit gradual change in the unconditional volatility. We propose a new model that captures this type of nonstationarity in a parsimonious way. The model augments the volatility equation of a…

Time series are used in many domains including finance, engineering, economics and bioinformatics generally to represent the change of a measurement over time. Modeling techniques may then be used to give a synthetic representation of such…

We provide a simple method to estimate the parameters of multivariate stochastic volatility models with latent factor structures. These models are very useful as they alleviate the standard curse of dimensionality, allowing the number of…

We develop a new model selection method for the adaptive robust efficient nonparametric signal estimation observed with impulse noise which is defined by the general non Gaussian L\'evy processes. On the basis of the developed method, we…

The Hawkes process models self-exciting event streams, requiring a strictly non-negative and stable stochastic intensity. Standard identification methods enforce these properties using non-negative causal bases, yielding conservative…

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…

We consider the problem of modelling restricted interactions between continuously-observed time series as given by a known static graph (or network) structure. For this purpose, we define a parametric multivariate Graph Ornstein-Uhlenbeck…