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It is a market practice to express market-implied volatilities in some parametric form. The most popular parametrizations are based on or inspired by an underlying stochastic model, like the Heston model (SVI method) or the SABR model (SABR…
Eigensystem Realization Algorithm (ERA) is a tool that can produce a reduced order model (ROM) from just input-output data of a given system. ERA creates the ROM while keeping the number of internal states to a minimum level. This was first…
A new robust and statistically efficient estimator for ARMA models called the bounded influence propagation (BIP) {\tau}-estimator is proposed. The estimator incorporates an auxiliary model, which prevents the propagation of outliers.…
In this paper, we consider estimating spot/instantaneous volatility matrices of high-frequency data collected for a large number of assets. We first combine classic nonparametric kernel-based smoothing with a generalised shrinkage technique…
We develop novel estimation procedures with supporting econometric theory for a dynamic latent-factor model with high-dimensional asset characteristics, that is, the number of characteristics is on the order of the sample size. Utilizing…
In this study, we generate a large number of implied volatilities for the Stochastic Alpha Beta Rho (SABR) model using a graphics processing unit (GPU) based simulation and enable an extensive neural network to learn them. This model does…
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…
We propose identification robust statistics for testing hypotheses on the risk premia in dynamic affine term structure models. We do so using the moment equation specification proposed for these models in Adrian et al. (2013). We extend the…
In this paper, we propose a novel variable selection approach in the framework of sparse high-dimensional GLARMA models. It consists in combining the estimation of the autoregressive moving average (ARMA) coefficients of these models with…
We investigate the high-dimensional properties of robust regression estimators in the presence of heavy-tailed contamination of both the covariates and response functions. In particular, we provide a sharp asymptotic characterisation of…
The doubly robust (DR) estimator, which consists of two nuisance parameters, the conditional mean outcome and the logging policy (the probability of choosing an action), is crucial in causal inference. This paper proposes a DR estimator for…
This paper presents a systematic theoretical performance analysis of the Real-Valued root-MUSIC (RV-root-MUSIC) algorithm under non-asymptotic conditions. A well-known limitation of RV-root-MUSIC is the estimation ambiguity caused by mirror…
Time-series anomaly detection (TSAD) is a critical component in monitoring complex systems, yet modern deep learning-based detectors are often highly sensitive to localized input corruptions and structured noise. We propose ARTA…
We derive a nonparametric test for constant beta over a fixed time interval from high-frequency observations of a bivariate \Ito semimartingale. Beta is defined as the ratio of the spot continuous covariation between an asset and a risk…
The autoregressive moving average (ARMA) model is one of the most important models in time series analysis.We consider the Bayesian estimation of an unknown spectral density in the ARMA model.In the i.i.d. cases, Komaki showed that Bayesian…
Parametric analysis is a powerful tool for designing modern embedded systems, because it permits to explore the space of design parameters, and to check the robustness of the system with respect to variations of some uncontrollable…
Nonparametric kernel density and local polynomial regression estimators are very popular in Statistics, Economics, and many other disciplines. They are routinely employed in applied work, either as part of the main empirical analysis or as…
Doubly robust (DR) estimation is a crucial technique in causal inference and missing data problems. We propose a novel Propensity score Augmentved Doubly robust (PAD) estimator to enhance the commonly used DR estimator for average treatment…
Sample average approximation (SAA) is a widely popular approach to data-driven decision-making under uncertainty. Under mild assumptions, SAA is both tractable and enjoys strong asymptotic performance guarantees. Similar guarantees,…
This paper addresses the estimation of a time- varying parameter in a network. A group of agents sequentially receive noisy signals about the parameter (or moving target), which does not follow any particular dynamics. The parameter is not…