Related papers: Asset correlation estimation for inhomogeneous exp…
Time series anomaly detection (TSAD) is an evolving area of research motivated by its critical applications, such as detecting seismic activity, sensor failures in industrial plants, predicting crashes in the stock market, and so on. Across…
We provide a comprehensive examination of the predictive performance of panel forecasting methods based on individual, pooling, fixed effects, and empirical Bayes estimation, and propose optimal weights for forecast combination schemes. We…
With continuous outcomes, the average causal effect is typically defined using a contrast of expected potential outcomes. However, in the presence of skewed outcome data, the expectation may no longer be meaningful. In practice the typical…
It is shown that the axioms for coherent risk measures imply that whenever there is an asset in a portfolio that dominates the others in a given sample (which happens with finite probability even for large samples), then this portfolio…
The impact of a stress scenario of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. While it is conceptually easy to estimate loss distributions…
The estimation of the correlation between time series is often hampered by the asynchronicity of the signals. Cumulating data within a time window suppresses this source of noise but weakens the statistics. We present a method to estimate…
Missing data theory deals with the statistical methods in the occurrence of missing data. Missing data occurs when some values are not stored or observed for variables of interest. However, most of the statistical theory assumes that data…
For credit risk management purposes in general, and for allocation of regulatory capital by banks in particular (Basel II), numerical assessments of the credit-worthiness of borrowers are indispensable. These assessments are expressed in…
Global feature effects such as partial dependence (PD) and accumulated local effects (ALE) plots are widely used to interpret black-box models. However, they are only estimates of true underlying effects, and their reliability depends on…
We show that results from the theory of random matrices are potentially of great interest to understand the statistical structure of the empirical correlation matrices appearing in the study of price fluctuations. The central result of the…
If the probability of default parameters (PDs) fed as input into a credit portfolio model are estimated as through-the-cycle (TTC) PDs stressed market conditions have little impact on the results of the capital calculations conducted with…
In industrial data analytics, one of the fundamental problems is to utilize the temporal correlation of the industrial data to make timely predictions in the production process, such as fault prediction and yield prediction. However, the…
It is common practice for methods that use galaxy clustering to constrain the galaxy-halo relationship, such as the halo occupation distribution (HOD) and/or conditional luminosity function (CLF), to assume that halo mass alone suffices to…
This article revisits an analysis on inaccuracies of time series averaging under dynamic time warping conducted by \cite{Niennattrakul2007}. The authors presented a correctness-criterion and introduced drift-outs of averages from clusters.…
Excessive leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be…
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and…
This chapter provides various perspective on an important challenge in data assimilation: model error. While the overall goal is to understand the implication of model error of any type in data assimilation, we emphasize on the effect of…
Reference data collected to validate land cover maps are generally considered free of errors. In practice, however, they contain errors despite all efforts to minimise them. These errors then propagate up to the accuracy assessment stage…
The standard approach for constructing a Mean-Variance portfolio involves estimating parameters for the model using collected samples. However, since the distribution of future data may not resemble that of the training set, the…
A simple graphical model for correlated defaults is proposed, with explicit formulas for the loss distribution. Algebraic geometry techniques are employed to show that this model is well posed for default dependence: it represents any given…