Related papers: Stationarity with Occasionally Binding Constraints
This paper generalizes results concerning strong convexity of two-stage mean-risk models with linear recourse to distortion risk measures. Introducing the concept of (restricted) partial strong convexity, we conduct an in-depth analysis of…
In this article, we study the asymptotic behaviour of the residual autocorrelations for periodic vector autoregressive time series models (PVAR henceforth) with uncorrelated but dependent innovations (i.e., weak PVAR). We then deduce the…
Strict stationarity is a common assumption used in the time series literature in order to derive asymptotic distributional results for second-order statistics, like sample autocovariances and sample autocorrelations. Focusing on weak…
The vector autoregression (VAR) has been widely used in system identification, econometrics, natural science, and many other areas. However, when the state dimension becomes large the parameter dimension explodes. So rank reduced modelling…
Matrix valued time series (MaTS) and global vector autoregressive (GVAR) models both impose restrictions on the general VAR for multidimensional data sets, in order to bring down the number of parameters. Both models are motivated from a…
Vector autoregressive (VAR) models assume linearity between the endogenous variables and their lags. This assumption might be overly restrictive and could have a deleterious impact on forecasting accuracy. As a solution, we propose…
We propose an approach termed ``qDAGx'' for Bayesian covariate-dependent quantile directed acyclic graphs (DAGs) where these DAGs are individualized, in the sense that they depend on individual-specific covariates. The individualized DAG…
We consider the problem of learning the causal MAG of a system from observational data in the presence of latent variables and selection bias. Constraint-based methods are one of the main approaches for solving this problem, but the…
The discrete-time multifactor Vasi\v{c}ek model is a tractable Gaussian spot rate model. Typically, two- or three-factor versions allow one to capture the dependence structure between yields with different times to maturity in an…
High-dimensional vector autoregressive (VAR) models provide a flexible framework for characterizing dynamic dependence in multivariate spatio-temporal systems, but their unrestricted estimation becomes infeasible when multiple variables are…
We provide new, mild conditions for strict stationarity and ergodicity of a class of BEKK processes. By exploiting that the processes can be represented as multivariate stochastic recurrence equations, we characterize the tail behavior of…
In several real-world applications involving decision making under uncertainty, the traditional expected value objective may not be suitable, as it may be necessary to control losses in the case of a rare but extreme event. Conditional…
We clarify relationships between conditional (CAR) and simultaneous (SAR) autoregressive models. We review the literature on this topic and find that it is mostly incomplete. Our main result is that a SAR model can be written as a unique…
Vector autoregressive (VAR) models are widely used in practical studies, e.g., forecasting, modelling policy transmission mechanism, and measuring connection of economic agents. To better capture the dynamics, this paper introduces a new…
For general panel data, by introducing network structure, network vector autoregressive (NVAR) model captured the linear inter dependencies among multiple time series. In this paper, we propose network vector autoregressive model for dyadic…
In multivariate time series, the estimation of the covariance matrix of the observation innovations plays an important role in forecasting as it enables the computation of the standardized forecast error vectors as well as it enables the…
We propose a new class of models specifically tailored for spatio-temporal data analysis. To this end, we generalize the spatial autoregressive model with autoregressive and heteroskedastic disturbances, i.e. SARAR(1,1), by exploiting the…
Single-index models or time-to-event models are frequently applied in empirical research. These models are non-identifiable in presence of unknown (dependent) censoring or competing risks and do not give informative results in empirical…
We consider linear random coefficient regression models, where the regressors are allowed to have a finite support. First, we investigate identifiability, and show that the means and the variances and covariances of the random coefficients…
In this follow up work to [45, 33, 32, 46] we introduce and study a notion of geodesic stability restricted to rays with prescribed singularity types. A number of notions of interest fit into this framework, in particular algebraic- and…