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We propose a novel approach to the statistical analysis of stochastic simulation models and, especially, agent-based models (ABMs). Our main goal is to provide fully automated, model-independent and tool-supported techniques and algorithms…
Despite recent advancements in deep learning, deep neural networks continue to suffer from performance degradation when applied to new data that differs from training data. Test-time adaptation (TTA) aims to address this challenge by…
Test-time adaptation (TTA) enhances the zero-shot robustness under distribution shifts by leveraging unlabeled test data during inference. Despite notable advances, several challenges still limit its broader applicability. First, most…
We propose a discrete-time econometric model that combines autoregressive filters with factor regressions to predict stock returns for portfolio optimisation purposes. In particular, we test both robust linear regressions and general…
This paper develops a non-Bayesian methodology to analyze the time-varying structure of international linkages and market efficiency in G7 countries. We consider a non-Bayesian time-varying vector autoregressive (TV-VAR) model, and apply it…
Motivated by the application to German interest rates, we propose a timevarying autoregressive model for short and long term prediction of time series that exhibit a temporary non-stationary behavior but are assumed to mean revert in the…
We propose a confirmatory dynamic factor model for a large number of stocks whose returns are observed daily across multiple time zones. The model has a global factor and a continental factor that both drive the individual stock return…
Multivariate time series forecasting involves predicting future values based on historical observations. However, existing approaches primarily rely on predefined single-scale patches or lack effective mechanisms for multi-scale feature…
We consider fixed effects binary choice models with a fixed number of periods $T$ and regressors without a large support. If the time-varying unobserved terms are i.i.d. with known distribution $F$, \cite{chamberlain2010} shows that the…
Test-time adaptation has proven effective in adapting a given trained model to unseen test samples with potential distribution shifts. However, in real-world scenarios, models are usually deployed on resource-limited devices, e.g., FPGAs,…
Set invariance techniques such as control barrier functions (CBFs) can be used to enforce time-varying constraints such as keeping a safe distance from dynamic objects. However, existing methods for enforcing time-varying constraints often…
Continual test-time domain adaptation (CTTA) aims to adjust models so that they can perform well over time across non-stationary environments. While previous methods have made considerable efforts to optimize the adaptation process, a…
We propose a dynamic factor model (DFM) where the latent factors are linked to observed variables with unknown and potentially nonlinear functions. The key novelty and source of flexibility of our approach is a nonparametric observation…
The reproduction of realistic dynamics in financial markets is of great significance, as it enhances our understanding of market evolution beyond other physical processes, and facilitates the development and backtesting of investment…
Many existing mortality models follow the framework of classical factor models, such as the Lee-Carter model and its variants. Latent common factors in factor models are defined as time-related mortality indices (such as $\kappa_t$ in the…
Dynamic graph embedding has emerged as an important technique for modeling complex time-evolving networks across diverse domains. While transformer-based models have shown promise in capturing long-range dependencies in temporal graph data,…
In this paper, we define and analyze a subclass of (time-invariant) Control Barrier Functions (CBF) that have favorable properties for the construction of uniformly timevarying CBFs and thereby for the satisfaction of uniformly time-varying…
Prudent management of insurance investment portfolios requires competent asset pricing of fixed-income assets with time-to-event contingent cash flows, such as consumer asset-backed securities (ABS). Current market pricing techniques for…
This paper considers the estimation and inference of the low-rank components in high-dimensional matrix-variate factor models, where each dimension of the matrix-variates ($p \times q$) is comparable to or greater than the number of…
Software systems that run for long periods often suffer from software aging, which is typically caused by Aging-Related Bugs (ARBs). To mitigate the risk of ARBs early in the development phase, ARB prediction has been introduced into…