Related papers: Adaptive inference for a semiparametric generalize…
L\'evy processes are widely used in financial mathematics, telecommunication, economics, queueing theory and natural sciences for modelling. We propose an essentially asymptotically efficient estimation method for the system parameters of…
In this paper, we aim to take one step forward to the scenario where an adaptive subspace detection framework is required to detect subspace signals in non-stationary environments. Despite the fact that this scenario is more realistic, the…
The cause of failure in cohort studies that involve competing risks is frequently incompletely observed. To address this, several methods have been proposed for the semiparametric proportional cause-specific hazards model under a missing at…
Through theoretical and experimental validation, unlike all existing adaptive methods like Adam which penalize frequently-changing parameters and are only applicable to sparse gradients, we propose the simplest SGD enhanced method,…
This paper is first devoted to study an adaptive wavelet based estimator of the long memory parameter for linear processes in a general semi-parametric frame. This is an extension of Bardet {\it et al.} (2008) which only concerned Gaussian…
Here, we use Machine Learning (ML) algorithms to update and improve the efficiencies of fitting GARCH model parameters to empirical data. We employ an Artificial Neural Network (ANN) to predict the parameters of these models. We present a…
HYGARCH process is the commonly used long memory process in modeling the long-rang dependence in volatility. Financial time series are characterized by transition between phases of different volatility levels. The smooth transition HYGARCH…
We study the class of semi-Levy driven continuous-time GARCH, denoted by SLD-COGARCH, process. The statistical properties of this process are characterized. We show that the state process of such process can be described by a random…
Conditional probabilistic graphical models provide a powerful framework for structured regression in spatio-temporal datasets with complex correlation patterns. However, in real-life applications a large fraction of observations is often…
The AutoRegressive Conditional Heteroskedasticity (ARCH) and its generalized version (GARCH) family of models have grown to encompass a wide range of specifications, each of them is designed to enhance the ability of the model to capture…
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 present a language model that combines a large parametric neural network (i.e., a transformer) with a non-parametric episodic memory component in an integrated architecture. Our model uses extended short-term context by caching local…
The quasi-maximum likelihood estimation is a commonly-used method for estimating GARCH parameters. However, such estimators are sensitive to outliers and their asymptotic normality is proved under the finite fourth moment assumption on the…
Semiparametric models are often considered for analyzing longitudinal data for a good balance between flexibility and parsimony. In this paper, we study a class of marginal partially linear quantile models with possibly varying…
Using Gretl, I apply ARMA, Vector ARMA, VAR, state-space model with a Kalman filter, transfer-function and intervention models, unit root tests, cointegration test, volatility models (ARCH, GARCH, ARCH-M, GARCH-M, Taylor-Schwert GARCH, GJR,…
This paper discusses asymptotic distributions of various estimators of the underlying parameters in some regression models with long memory (LM) Gaussian design and nonparametric heteroscedastic LM moving average errors. In the simple…
In this paper we study the asymptotic behavior of the Gaussian quasi maximum likelihood estimator of a stationary GARCH process with heavy-tailed innovations. This means that the innovations are regularly varying with index…
A new realized conditional autoregressive Value-at-Risk (VaR) framework is proposed, through incorporating a measurement equation into the original quantile regression model. The framework is further extended by employing various Expected…
This paper introduces an iterative algorithm for training nonparametric additive models that enjoys favorable memory storage and computational requirements. The algorithm can be viewed as the functional counterpart of stochastic gradient…
We develop inference procedures for longitudinal data where some of the measurements are censored by fixed constants. We consider a semi-parametric quantile regression model that makes no distributional assumptions. Our research is…