Related papers: High-Dimensional Sparse Multivariate Stochastic Vo…

In this article, we propose a penalized high dimensional semiparametric model average quantile prediction approach that is robust for forecasting the conditional quantile of the response. We consider a two-step estimation procedure. In the…

We consider the problem of estimating parameters of stochastic differential equations (SDEs) with discrete-time observations that are either completely or partially observed. The transition density between two observations is generally…

This work is devoted to the study of modeling geophysical and financial time series. A class of volatility models with time-varying parameters is presented to forecast the volatility of time series in a stationary environment. The modeling…

High-dimensional sparse modeling with censored survival data is of great practical importance, as exemplified by modern applications in high-throughput genomic data analysis and credit risk analysis. In this article, we propose a class of…

We consider Bayesian variable selection for binary outcomes under a probit link with a spike-and-slab prior on the regression coefficients. Motivated by the computational challenges encountered by Markov chain Monte Carlo (MCMC) samplers in…

In this paper, we price European Call three different option pricing models, where the volatility is dynamically changing i.e. non constant. In stochastic volatility (SV) models for option pricing a closed form approximation technique is…

In this paper, we introduce efficient ensemble Markov Chain Monte Carlo (MCMC) sampling methods for Bayesian computations in the univariate stochastic volatility model. We compare the performance of our ensemble MCMC methods with an…

By the asymptotic oracle property, non-convex penalties represented by minimax concave penalty (MCP) and smoothly clipped absolute deviation (SCAD) have attracted much attentions in high-dimensional data analysis, and have been widely used…

We propose a new framework for modeling stochastic local volatility, with potential applications to modeling derivatives on interest rates, commodities, credit, equity, FX etc., as well as hybrid derivatives. Our model extends the…

We study the computational complexity of Markov chain Monte Carlo (MCMC) methods for high-dimensional Bayesian linear regression under sparsity constraints. We first show that a Bayesian approach can achieve variable-selection consistency…

This article introduces a dynamic spatiotemporal stochastic volatility (SV) model with explicit terms for the spatial, temporal, and spatiotemporal spillover effects. Moreover, the model includes time-invariant site-specific constant…

We consider the problem of sparse estimation in a factor analysis model. A traditional estimation procedure in use is the following two-step approach: the model is estimated by maximum likelihood method and then a rotation technique is…

Identifying important features linked to a response variable is a fundamental task in various scientific domains. This article explores statistical inference for simulated Markov random fields in high-dimensional settings. We introduce a…

This paper presents a study using the Bayesian approach in stochastic volatility models for modeling financial time series, using Hamiltonian Monte Carlo methods (HMC). We propose the use of other distributions for the errors in the…

In this paper, the line spectral estimation (LSE) problem with multiple measurement vectors (MMVs) is studied utilizing the Bayesian methods. Motivated by the recently proposed variational line spectral estimation (VALSE) method, we develop…

We present a scalable approach to performing approximate fully Bayesian inference in generic state space models. The proposed method is an alternative to particle MCMC that provides fully Bayesian inference of both the dynamic latent states…

An efficient simulation-based methodology is proposed for the rolling window estimation of state space models, called particle rolling Markov chain Monte Carlo (MCMC) with double block sampling. In our method, which is based on Sequential…

Spatially varying coefficient (SVC) models are a type of regression model for spatial data where covariate effects vary over space. If there are several covariates, a natural question is which covariates have a spatially varying effect and…

In this paper, we propose a new stochastic optimization algorithm for Bayesian inference based on multilevel Monte Carlo (MLMC) methods. In Bayesian statistics, biased estimators of the model evidence have been often used as stochastic…

We propose a new sparsity-smoothness penalty for high-dimensional generalized additive models. The combination of sparsity and smoothness is crucial for mathematical theory as well as performance for finite-sample data. We present a…