Related papers: The Yield Curve as a Recession Leading Indicator. …

The notion of a credit spread curve is fundamental in fixed income investing, but in practice it is not `given' and needs to be constructed from bond prices either for a particular issuer, or for a sector rating-by-rating. Rather than…

With uncertain changes of the economic environment, macroeconomic downturns during recessions and crises can hardly be explained by a Gaussian structural shock. There is evidence that the distribution of macroeconomic variables is skewed…

Auxiliary information can increase the efficiency of survey estimators through an assisting model when the model captures some of the relationship between the auxiliary data and the study variables. Despite their superior properties,…

Structural break identification methods are an important tool for evaluating the effectiveness of climate change mitigation policies. In this paper, we introduce a unified probabilistic framework for detecting structural breaks with unknown…

Predicting the stock market trend has always been challenging since its movement is affected by many factors. Here, we approach the future trend prediction problem as a machine learning classification problem by creating tomorrow_trend…

In this paper, we analyze the diversity of term structure functions (e.g., yield curves, swap curves, credit curves) constructed in a process which complies with some admissible properties: arbitrage-freeness, ability to fit market quotes…

Monitoring machine learning models once they are deployed is challenging. It is even more challenging to decide when to retrain models in real-case scenarios when labeled data is beyond reach, and monitoring performance metrics becomes…

The advent of Scientific Machine Learning has heralded a transformative era in scientific discovery, driving progress across diverse domains. Central to this progress is uncovering scientific laws from experimental data through symbolic…

We develop a new approximative estimation method for conditional Shapley values obtained using a linear regression model. We develop a new estimation method and outperform existing methodology and implementations. Compared to the sequential…

Selecting input variables or design points for statistical models has been of great interest in adaptive design and active learning. Motivated by two scientific examples, this paper presents a strategy of selecting the design points for a…

SHAP (SHapley Additive exPlanation) values are one of the leading tools for interpreting machine learning models, with strong theoretical guarantees (consistency, local accuracy) and a wide availability of implementations and use cases.…

Given a dataset we quantify how many patterns must always exist in the dataset. Formally this is done through the lens of Ramsey theory of graphs, and a quantitative bound known as Goodman's theorem. Combining statistical tools with Ramsey…

We introduce a new regression method that relates the mean of an outcome variable to covariates, under the "adverse condition" that a distress variable falls in its tail. This allows to tailor classical mean regressions to adverse…

We propose a new method for decomposing seasonal data: STR (a Seasonal-Trend decomposition using Regression). Unlike other decomposition methods, STR allows for multiple seasonal and cyclic components, covariates, seasonal patterns that may…

This paper presents a methodological approach to financial time series analysis by combining causal discovery and uncertainty-aware forecasting. As a case study, we focus on four key U.S. macroeconomic indicators -- GDP, economic growth,…

We propose a high-dimensional structural vector autoregression framework with a factor structure in the error terms that accommodates a large number of linear inequality restrictions on both impact impulse responses and structural shocks.…

As opaque black-box predictive models become more prevalent, the need to develop interpretations for these models is of great interest. The concept of variable importance and Shapley values are interpretability measures that applies to any…

In this paper, we consider the problem of predicting survey response rates using a family of flexible and interpretable nonparametric models. The study is motivated by the US Census Bureau's well-known ROAM application, which uses a linear…

The paper describes the use of Bayesian regression for building time series models and stacking different predictive models for time series. Using Bayesian regression for time series modeling with nonlinear trend was analyzed. This approach…

Temporal data distribution shift is prevalent in the financial text. How can a financial sentiment analysis system be trained in a volatile market environment that can accurately infer sentiment and be robust to temporal data distribution…