Related papers: Semiparametric time series models driven by latent…

The analysis of diffusion processes in real-world propagation scenarios often involves estimating variables that are not directly observed. These hidden variables include parental relationships, the strengths of connections between nodes,…

We propose a semiparametric framework for causal inference with right-censored survival outcomes and many weak invalid instruments, motivated by Mendelian randomization in biobank studies where classical methods may fail. We adopt an…

We consider a discrete time semi-Markov process where the characteristics defining the process depend on a small perturbation parameter. It is assumed that the state space consists of one finite communicating class of states and, in…

We seek to narrow the gap between parametric and nonparametric modelling of stationary time series processes. The approach is inspired by recent advances in focused inference and model selection techniques. The paper generalises and extends…

We study semiparametric inference in some linear regression models with time-varying coefficients, dependent regressors and dependent errors. This problem, which has been considered recently by Zhang and Wu (2012) under the functional…

We propose a likelihood ratio based inferential framework for high dimensional semiparametric generalized linear models. This framework addresses a variety of challenging problems in high dimensional data analysis, including incomplete…

Time series subject to change in regime have attracted much interest in domains such as econometry, finance or meteorology. For discrete-valued regimes, some models such as the popular Hidden Markov Chain (HMC) describe time series whose…

We propose a structure of a semiparametric two-component mixture model when one component is parametric and the other is defined through L-moments conditions. Estimation of a two-component mixture model with an unknown component is very…

This paper presents an estimator for semiparametric models that uses a feed-forward neural network to fit the nonparametric component. Unlike many methodologies from the machine learning literature, this approach is suitable for…

Interval-censored competing risks data arise when each study subject may experience an event or failure from one of several causes and the failure time is not observed exactly but rather known to lie in an interval between two successive…

We propose a recurrent neural network for a "model-free" simulation of a dynamical system with unknown parameters without prior knowledge. The deep learning model aims to jointly learn the nonlinear time marching operator and the effects of…

This paper is concerned with modeling the dependence structure of two (or more) time-series in the presence of a (possible multivariate) covariate which may include past values of the time series. We assume that the covariate influences…

Multivariate spatio-temporal data arise more and more frequently in a wide range of applications; however, there are relatively few general statistical methods that can readily use that incorporate spatial, temporal and variable…

I study peer effects that arise from irreversible decisions in the absence of a standard social equilibrium. I model a latent sequence of decisions in continuous time and obtain a closed-form expression for the likelihood, which allows to…

We formulate nonparametric and semiparametric hypothesis testing of multivariate stationary linear time series in a unified fashion and propose new test statistics based on estimators of the spectral density matrix. The limiting…

This paper deals with the factor modeling for high-dimensional time series based on a dimension-reduction viewpoint. Under stationary settings, the inference is simple in the sense that both the number of factors and the factor loadings are…

We introduce a Gaussian process-based model for handling of non-stationarity. The warping is achieved non-parametrically, through imposing a prior on the relative change of distance between subsequent observation inputs. The model allows…

This paper obtains asymptotic results for parametric inference using prediction-based estimating functions when the data are high frequency observations of a diffusion process with an infinite time horizon. Specifically, the data are…

The complexity of semiparametric models poses new challenges to statistical inference and model selection that frequently arise from real applications. In this work, we propose new estimation and variable selection procedures for the…

In this work we deal with correlated failure time (age at onset) data arising from population-based case-control studies, where case and control probands are selected by population-based sampling and an array of risk factor measures is…