Related papers: Efficient Modelling & Forecasting with range based…

The ensemble Kalman filter (EnKF) is widely used for nonlinear and high-dimensional state estimation because it replaces complex covariance propagation with simple ensemble statistics. However, conventional EnKF implementations can become…

We combine high-dimensional factor models with fractional integration methods and derive models where nonstationary, potentially cointegrated data of different persistence is modelled as a function of common fractionally integrated factors.…

The expectation-maximization (EM) algorithm is an iterative computational method to calculate the maximum likelihood estimators (MLEs) from the sample data. It converts a complicated one-time calculation for the MLE of the incomplete data…

In today's era, Neural Networks (NN) are applied in various scientific fields such as robotics, medicine, engineering, etc. However, the predictions of neural networks themselves contain a degree of uncertainty that must always be taken…

Probabilistic electricity price forecasting (PEPF) is subject of increasing interest, following the demand for proper quantification of prediction uncertainty, to support the operation in complex power markets with increasing share of…

Chain Event Graphs (CEGs) are a widely applicable class of probabilistic graphical model that can represent context-specific independence statements and asymmetric unfoldings of events in an easily interpretable way. Existing model…

Random Fourier Features (RFF) is among the most popular and broadly applicable approaches for scaling up kernel methods. In essence, RFF allows the user to avoid costly computations on a large kernel matrix via a fast randomized…

This paper develops a unified estimation framework, the Maximum Ideal Likelihood Estimation (MILE), for general parametric models with latent variables. Unlike traditional approaches relying on the marginal likelihood of the observed data,…

We present a general approach for collaborative filtering (CF) using spectral regularization to learn linear operators from "users" to the "objects" they rate. Recent low-rank type matrix completion approaches to CF are shown to be special…

To address model uncertainty under flexible loss functions in prediction problems, we propose a model averaging method that accommodates various loss functions, including asymmetric linear and quadratic loss functions, as well as many other…

Deep neural networks are in the limelight of machine learning with their excellent performance in many data-driven applications. However, they can lead to inaccurate predictions when queried in out-of-distribution data points, which can…

Modeling and forecasting of dynamically varying covariances have received much attention in the literature. The two most widely used conditional covariances and correlations models are BEKK and DCC. In this paper, we advance a new method to…

Value-at-Risk (VaR) and Expected Shortfall (ES) are widely used in the financial sector to measure the market risk and manage the extreme market movement. The recent link between the quantile score function and the Asymmetric Laplace…

We investigate how to improve efficiency using regression adjustments with covariates in covariate-adaptive randomizations (CARs) with imperfect subject compliance. Our regression-adjusted estimators, which are based on the doubly robust…

We explore a method of statistical estimation called Maximum Entropy on the Mean (MEM) which is based on an information-driven criterion that quantifies the compliance of a given point with a reference prior probability measure. At the core…

Trial-based cost-effectiveness analyses (CEAs) are an important source of evidence in the assessment of health interventions. In these studies, cost and effectiveness outcomes are commonly measured at multiple time points, but some…

Traditional model-free feature selection methods treat each feature independently while disregarding the interrelationships among features, which leads to relatively poor performance compared with the model-aware methods. To address this…

Empirical risk minimization (ERM) with a computationally feasible surrogate loss is a widely accepted approach for classification. Notably, the convexity and calibration (CC) properties of a loss function ensure consistency of ERM in…

Treatment non-compliance, where individuals deviate from their assigned experimental conditions, frequently complicates the estimation of causal effects. To address this, we introduce a novel learning framework based on a mixture of experts…

To achieve high performance of a machine learning (ML) task, a deep learning-based model must implicitly capture the entire distribution from data. Thus, it requires a huge amount of training samples, and data are expected to fully present…