Related papers: Sparse Bayesian time-varying covariance estimation…
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…
One important problem in genome science is to determine sets of co-regulated genes based on measurements of gene expression levels across samples, where the quantification of expression levels includes substantial technical and biological…
Estimating a sparse covariance matrix is a fundamental problem in high-dimensional statistics. However, thresholding methods developed for independent data are generally not directly applicable to high-dimensional time series, where…
High-dimensional spatially correlated covariates are common in regression models encountered in environmental sciences and other fields. In such models, the regression coefficients often exhibit a sparse structure with spatial dependence.…
Gaussian graphical models are used for determining conditional relationships between variables. This is accomplished by identifying off-diagonal elements in the inverse-covariance matrix that are non-zero. When the ratio of variables (p) to…
This paper discusses the efficient Bayesian estimation of a multivariate factor stochastic volatility (Factor MSV) model with leverage. We propose a novel approach to construct the sampling schemes that converges to the posterior…
We develop a variational Bayes approach for dynamic variable selection in high-dimensional regression models with time-varying parameters and predictors that exhibit a predefined group structure. Through comprehensive simulation studies, we…
This paper introduces a novel sparse latent factor modeling framework using sparse asymptotic Principal Component Analysis (APCA) to analyze the co-movements of high-dimensional panel data over time. Unlike existing methods based on sparse…
The proliferation of mobile devices has led to the collection of large amounts of population data. This situation has prompted the need to utilize this rich, multidimensional data in practical applications. In response to this trend, we…
In this chapter, we review variance selection for time-varying parameter (TVP) models for univariate and multivariate time series within a Bayesian framework. We show how both continuous as well as discrete spike-and-slab shrinkage priors…
The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure…
We propose a Machine Learning approach for optimal macroeconomic density forecasting in a high-dimensional setting where the underlying model exhibits a known group structure. Our approach is general enough to encompass specific forecasting…
We reconcile the two worlds of dense and sparse modeling by exploiting the positive aspects of both. We employ a factor model and assume {the dynamic of the factors is non-pervasive while} the idiosyncratic term follows a sparse vector…
Sparse functional/longitudinal data have attracted widespread interest due to the prevalence of such data in social and life sciences. A prominent scenario where such data are routinely encountered are accelerated longitudinal studies,…
This paper presents a new variable selection approach integrated with Gaussian process (GP) regression. We consider a sparse projection of input variables and a general stationary covariance model that depends on the Euclidean distance…
We propose a flexible yet interpretable model for high-dimensional data with time-varying second order statistics, motivated and applied to functional neuroimaging data. Motivated by the neuroscience literature, we factorize the covariances…
In high-dimensions, many variable selection methods, such as the lasso, are often limited by excessive variability and rank deficiency of the sample covariance matrix. Covariance sparsity is a natural phenomenon in high-dimensional…
In all areas of human knowledge, datasets are increasing in both size and complexity, creating the need for richer statistical models. This trend is also true for economic data, where high-dimensional and nonlinear/nonparametric inference…
We formulate a discrete-time Bayesian stochastic volatility model for high-frequency stock-market data that directly accounts for microstructure noise, and outline a Markov chain Monte Carlo algorithm for parameter estimation. The methods…
While covariance matrices have been widely studied in many scientific fields, relatively limited progress has been made on estimating conditional covariances that permits a large covariance matrix to vary with high-dimensional subject-level…