Related papers: Successive one-sided Hodrick-Prescott filter with …
The Hodrick-Prescott (HP) filter is one of the most widely used econometric methods in applied macroeconomic research. Like all nonparametric methods, the HP filter depends critically on a tuning parameter that controls the degree of…
The Hodrick-Prescott filter represents one of the most popular method for trend-cycle extraction in macroeconomic time series. In this paper we provide a multivariate generalization of the Hodrick-Prescott filter, based on the seemingly…
We propose new methods for detecting multiple change points in time series, specifically designed for random walk processes, where stationarity and variance changes present challenges. Our approach combines two trend estimation methods: the…
A time series is a collection of measurements in chronological order. Discovering patterns from time series is useful in many domains, such as stock analysis, disease detection, and weather forecast. To discover patterns, existing methods…
We consider a smoothed online convex optimization (SOCO) problem with predictions, where the learner has access to a finite lookahead window of time-varying stage costs, but suffers a switching cost for changing its actions at each stage.…
It is crucially important to estimate unknown parameters in earth system models by integrating observation and numerical simulation. For many applications in earth system sciences, an optimization method which allows parameters to…
This paper proposes strategies to detect time reversibility in stationary stochastic processes by using the properties of mixed causal and noncausal models. It shows that they can also be used for non-stationary processes when the trend…
This paper presents a new algorithm for online estimation of a sequence of homographies applicable to image sequences obtained from robotic vehicles equipped with vision sensors. The approach taken exploits the underlying Special Linear…
In simulation-based inferences for partially observed Markov process models (POMP), the by-product of the Monte Carlo filtering is an approximation of the log likelihood function. Recently, iterated filtering [14, 13] has originally been…
The aim of this paper is to provide a variational interpretation of the nonlinear filter in continuous time. A time-stepping procedure is introduced, consisting of successive minimization problems in the space of probability densities. The…
The problem of $H_{\infty}$ filtering for attitude estimation using rotation matrices and vector measurements is studied. Starting from a storage function on the Special Orthogonal Group $SO(3)$, a dissipation inequality is considered, and…
For assessing in real time the short-term trend of major economic indicators, official statistical agencies generally rely on asymmetric filters that were developed by Musgrave in 1964. However, the use of the latter introduces revisions as…
In this paper a new hp-adaptive strategy for elliptic problems based on refinement history is proposed, which chooses h-, p- or hp-refinement on individual elements according to a posteriori error estimate, as well as smoothness estimate of…
In this paper we consider the problem of exact recovery of a fixed sparse vector with the measurement matrices sequentially arriving along with corresponding measurements. We propose an extension of the iterative hard thresholding (IHT)…
The Analytic Hierarchy Process (AHP) is a much discussed method in ranking business alternatives based on empirical and judgemental information. We focus here upon the key component of deducing efficient vectors for a reciprocal matrix of…
Temporal Point Processes (TPPs), especially Hawkes Process are commonly used for modeling asynchronous event sequences data such as financial transactions and user behaviors in social networks. Due to the strong fitting ability of neural…
The global financial crisis and Covid recession have renewed discussion concerning trend-cycle discovery in macroeconomic data, and boosting has recently upgraded the popular HP filter to a modern machine learning device suited to data-rich…
In this work we revisit the Hopfield-Tank algorithm for the traveling salesman problem (TSP) and report encouraging results, with a different dynamics, that makes the algorithm more efficient finding better solutions in much less…
Ambiguity is inherently present in many machine learning tasks, but especially for sequential models seldom accounted for, as most only output a single prediction. In this work we propose an extension of the Multiple Hypothesis Prediction…
In this paper, we develop a drift homotopy implicit particle filter method. The methodology of our approach is to adopt the concept of drift homotopy in the resampling procedure of the particle filter method for solving the nonlinear…