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This paper examines empirical methods for estimating the response of aggregated electricity demand to high-frequency price signals, the short-term elasticity of electricity demand. We investigate how the endogeneity of prices and the…
Many recent studies use individual longitudinal data to analyze job search behaviors. Such data allow the use of fixed-effects models, which supposedly address the issue of dynamic selection and make it possible to identify the structural…
The Effective Sample Size (ESS) and Integrated Autocorrelation Time (IACT) are two popular criteria for comparing Markov Chain Monte Carlo (MCMC) algorithms and detecting their convergence. Our goal is to assess those two quantities in the…
Interventional effects for mediation analysis were proposed as a solution to the lack of identifiability of natural (in)direct effects in the presence of a mediator-outcome confounder affected by exposure. We present a theoretical and…
Interim analyses are vital in clinical trials for early decision-making. While frequentist implications are well-established, the consequences of repeated Bayesian interim monitoring for efficacy, specifically regarding multiplicity, remain…
Electric Network Frequency (ENF) fluctuations constitute a powerful tool in multimedia forensics. An efficient approach for ENF estimation is introduced with temporal windowing based on the filter-bank Capon spectral estimator. A type of…
Discrimination between non-stationarity and long-range dependency is a difficult and long-standing issue in modelling financial time series. This paper uses an adaptive spectral technique which jointly models the non-stationarity and…
Hierarchical data with multiple observations per group is ubiquitous in empirical sciences and is often analyzed using mixed-effects regression. In such models, Bayesian inference gives an estimate of uncertainty but is analytically…
Accurate electricity price forecasting (EPF) is crucial for effective decision-making in power trading on the spot market. While recent advances in generative artificial intelligence (GenAI) and pre-trained large language models (LLMs) have…
We develop a new tool, the time inhomogeneous Poisson equation in the whole space and with a terminal condition at infinity, to study the asymptotic behavior of the non-autonomous multi-scale stochastic system with irregular coefficients,…
We discuss efficient Bayesian estimation of dynamic covariance matrices in multivariate time series through a factor stochastic volatility model. In particular, we propose two interweaving strategies (Yu and Meng, Journal of Computational…
Time-series analysis is critical for a diversity of applications in science and engineering. By leveraging the strengths of modern gradient descent algorithms, the Fourier transform, multi-resolution analysis, and Bayesian spectral…
In environmental applications of extreme value statistics, the underlying stochastic process is often modeled either as a max-stable process in continuous time/space or as a process in the domain of attraction of such a max-stable process.…
This brief, aimed at practitioners, offers an analysis of the effect of sampling-time jitter, i. e., the error produced by execution-time inaccuracies. We propose reinterpreting jitter-afflicted linear time-invariant systems through…
Externally controlled single-arm trials are critical to assess treatment efficacy across therapeutic indications for which randomized controlled trials are not feasible. A closely-related research design, the unanchored indirect treatment…
Safety analyses in terms of adverse events (AEs) are an important aspect of benefit-risk assessments of therapies. Compared to efficacy analyses AE analyses are often rather simplistic. The probability of an AE of a specific type is…
Accurately selecting and estimating smooth functional effects in additive models with potentially many functions is a challenging task. We introduce a novel Demmler-Reinsch basis expansion to model the functional effects that allows us to…
This paper presents a method for forecasting limit order book durations using a self-exciting flexible residual point process. High-frequency events in modern exchanges exhibit heavy-tailed interarrival times, posing a significant challenge…
This paper examines estimation of skill formation models, a critical component in understanding human capital development and its effects on individual outcomes. Existing estimators are either based on moment conditions and only applicable…
We introduce an elementary method for proving the absolute continuity of the time marginals of one-dimensional processes. It is based on a comparison between the Fourier transform of such time marginals with those of the one-step Euler…