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Finite mixture models are powerful tools for modelling and analyzing heterogeneous data. Parameter estimation is typically carried out using maximum likelihood estimation via the Expectation-Maximization (EM) algorithm. Recently, the…
A reduced-rank mixed effects model is developed for robust modeling of sparsely observed paired functional data. In this model, the curves for each functional variable are summarized using a few functional principal components, and the…
Hybrid methods have been shown to outperform pure statistical and pure deep learning methods at both forecasting tasks, and at quantifying the uncertainty associated with those forecasts (prediction intervals). One example is Multivariate…
We propose a new approach to volatility modeling by combining deep learning (LSTM) and realized volatility measures. This LSTM-enhanced realized GARCH framework incorporates and distills modeling advances from financial econometrics, high…
This work introduces a novel probabilistic deep learning technique called deep Gaussian mixture ensembles (DGMEs), which enables accurate quantification of both epistemic and aleatoric uncertainty. By assuming the data generating process…
The Expectation-Maximization algorithm is perhaps the most broadly used algorithm for inference of latent variable problems. A theoretical understanding of its performance, however, largely remains lacking. Recent results established that…
Training with mixed data distributions is a common and important part of creating multi-task and instruction-following models. The diversity of the data distributions and cost of joint training makes the optimization procedure extremely…
Multivariate longitudinal data of mixed-type are increasingly collected in many science domains. However, algorithms to cluster this kind of data remain scarce, due to the challenge to simultaneously model the within- and between-time…
This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the…
Several studies have shown that deep learning models can provide more accurate volatility forecasts than the traditional methods used within this domain. This paper presents a composite model that merges a deep learning approach with…
The purpose of this article is to develop the dimension reduction techniques in panel data analysis when the number of individuals and indicators is large. We use Principal Component Analysis (PCA) method to represent large number of…
For two-component load-sharing systems, a doubly-flexible model is developed where the generalized Fruend bivariate (GFB) distribution is used for the baseline of the component lifetimes, and the generalized gamma (GG) family of…
This work aims to implement Long Short-Term Memory mixture density networks (LSTM-MDNs) for Value-at-Risk forecasting and compare their performance with established models (historical simulation, CMM, and GARCH) using a defined backtesting…
Difficulties may arise when analyzing longitudinal data using mixed-effects models if there are nonparametric functions present in the linear predictor component. This study extends the use of semiparametric mixed-effects modeling in cases…
Modeling of high-dimensional data is very important to categorize different classes. We develop a new mixture model called Multinomial cluster-weighted model (MCWM). We derive the identifiability of a general class of MCWM. We estimate the…
Stock market volatility forecasting is a task relevant to assessing market risk. We investigate the interaction between news and prices for the one-day-ahead volatility prediction using state-of-the-art deep learning approaches. The…
Finite mixture models have been widely used for the modelling and analysis of data from heterogeneous populations. Maximum likelihood estimation of the parameters is typically carried out via the Expectation-Maximization (EM) algorithm. The…
In this paper, we develop a hybrid approach to forecasting the volatility and risk of financial instruments by combining common econometric GARCH time series models with deep learning neural networks. For the latter, we employ Gated…
This paper introduces a novel multivariate volatility modeling framework, named Long Short-Term Memory enhanced BEKK (LSTM-BEKK), that integrates deep learning into multivariate GARCH processes. By combining the flexibility of recurrent…
The expectation-maximization (EM) algorithm and its variants are widely used in statistics. In high-dimensional mixture linear regression, the model is assumed to be a finite mixture of linear regression and the number of predictors is much…