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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…
This paper presents a novel approach to enhance sensing capabilities in UAV-enabled MIMO-OFDM ISAC systems by leveraging UAV mobility as a mono-static radar. By integrating uniform planar arrays (UPAs) and modeling the UAV dynamics in…
We present a novel model Graph Neural Stochastic Differential Equations (Graph Neural SDEs). This technique enhances the Graph Neural Ordinary Differential Equations (Graph Neural ODEs) by embedding randomness into data representation using…
This is the third part of a series of studies that model the target trajectory, which describes the target state evolution over continuous time, as a sample path of a stochastic process (SP). By adopting a deterministic-stochastic…
We propose a multivariate GARCH model for non-stationary health time series by modifying the variance of the observations of the standard state space model. The proposed model provides an intuitive way of dealing with heteroskedastic data…
We develop a new continuous-time stochastic gradient descent method for optimizing over the stationary distribution of stochastic differential equation (SDE) models. The algorithm continuously updates the SDE model's parameters using an…
The operational reliability of a high performance marine vessel depends critically on the health of its marine propulsion systems, which are increasingly subjected to diverse operational loads and environmental stressors. This paper…
In time-series analyses, particularly for finance, generalized autoregressive conditional heteroscedasticity (GARCH) models are widely applied statistical tools for modelling volatility clusters (i.e., periods of increased or decreased…
We study a stochastic game where one player tries to find a strategy such that the state process reaches a target of controlled-loss-type, no matter which action is chosen by the other player. We provide, in a general setup, a relaxed…
Machine learning models trained with \emph{stochastic} gradient descent (SGD) can generalize better than those trained with deterministic gradient descent (GD). In this work, we study SGD's impact on generalization through the lens of the…
Realised volatility has become increasingly prominent in volatility forecasting due to its ability to capture intraday price fluctuations. With a growing variety of realised volatility estimators, each with unique advantages and…
Multiscale stochastic dynamical systems have been widely adopted to a variety of scientific and engineering problems due to their capability of depicting complex phenomena in many real world applications. This work is devoted to…
This paper addresses the design and analysis of a multivariable gradient-based stochastic extremum-seeking control method for multi-input systems with arbitrary input delays. The approach accommodates systems with distinct time delays…
A new vehicular traffic flow model based on a stochastic jump process in vehicle acceleration and braking is introduced. It is based on a master equation for the single car probability density in space, velocity and acceleration with an…
Value-at-risk (VaR) and expected shortfall (ES) are two commonly utilized metrics for quantifying financial risk. In this study, we review the widely employed Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models. These…
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 explores and develops alternative statistical representations and estimation approaches for dynamic mortality models. The framework we adopt is to reinterpret popular mortality models such as the Lee-Carter class of models in a…
We introduce a novel metric for stochastic geometry based analysis of automotive radar networks called target {\it tracking probability}. Unlike the well-investigated detection probability (often termed as the success or coverage…
A systematic Bayesian framework is developed for physics constrained parameter inference ofstochastic differential equations (SDE) from partial observations. The physical constraints arederived for stochastic climate models but are…
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…