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We revisit macroeconomic time-varying parameter vector autoregressions (TVP-VARs), whose persistent coefficients may adapt too slowly to large, abrupt shifts such as those during major crises. We explore the performance of an…

In applications the properties of a stochastic feature often change gradually rather than abruptly, that is: after a constant phase for some time they slowly start to vary. In this paper we discuss statistical inference for the detection…

This work investigates a three-dimensional slow-fast stochastic system with quadratic nonlinearity and additive noise, inspired by fluid dynamics. The deterministic counterpart exhibits a periodic orbit and a slow manifold. We demonstrate…

Estimating a sparse covariance matrix is a fundamental problem in high-dimensional statistics. However, thresholding methods developed for independent data are generally not directly applicable to high-dimensional time series, where…

In various applications, we deal with high-dimensional positive-valued data that often exhibits sparsity. This paper develops a new class of continuous global-local shrinkage priors tailored to analyzing gamma-distributed observations where…

We propose sequential Monte Carlo based algorithms for maximum likelihood estimation of the static parameters in hidden Markov models with an intractable likelihood using ideas from approximate Bayesian computation. The static parameter…

We consider Markov chain Monte Carlo (MCMC) algorithms for Bayesian high-dimensional regression with continuous shrinkage priors. A common challenge with these algorithms is the choice of the number of iterations to perform. This is…

We develop a modeling framework for dynamic function-on-scalars regression, in which a time series of functional data is regressed on a time series of scalar predictors. The regression coefficient function for each predictor is allowed to…

Prior choice can strongly influence Bayesian Dirichlet ARMA (B-DARMA) inference for compositional time-series. Using simulations with (i) correct lag order, (ii) overfitting, and (iii) underfitting, we assess five priors:…

We study the time evolution of long quantum spin chains subjected to continuous monitoring via matrix product states (MPS) at fixed bond dimension, with the Time-Dependent Variational Principle (TDVP) algorithm. The latter gives an…

Point and interval estimation of future disability inception and recovery rates are predominantly carried out by combining generalized linear models (GLM) with time series forecasting techniques into a two-step method involving parameter…

We propose a flexible dual functional factor model for modelling high-dimensional functional time series. In this model, a high-dimensional fully functional factor parametrisation is imposed on the observed functional processes, whereas a…

We study a variance reduction strategy based on control variables for simulating the averaged macroscopic behavior of a stochastic slow-fast system. We assume that this averaged behavior can be written in terms of a few slow degrees of…

In all areas of human knowledge, datasets are increasing in both size and complexity, creating the need for richer statistical models. This trend is also true for economic data, where high-dimensional and nonlinear/nonparametric inference…

Completely random measures provide a principled approach to creating flexible unsupervised models, where the number of latent features is infinite and the number of features that influence the data grows with the size of the data set. Due…

We propose the Markov Switching Dynamic Shrinkage process (MSDSP), nesting the Dynamic Shrinkage Process (DSP) of Kowal et al. (2019). We revisit the Meese-Rogoff puzzle (Meese and Rogoff, 1983a,b, 1988) by applying the MSDSP to the…

This paper introduces a simple principle for robust high-dimensional statistical inference via an appropriate shrinkage on the data. This widens the scope of high-dimensional techniques, reducing the moment conditions from sub-exponential…

In this paper we propose a wide class of truncated stochastic approximation procedures with moving random bounds. While we believe that the proposed class of procedures will find its way to a wider range of applications, the main motivation…

The horseshoe prior has proven to be a noteworthy alternative for sparse Bayesian estimation, but has previously suffered from two problems. First, there has been no systematic way of specifying a prior for the global shrinkage…

We introduce a new class of distributions named log-adjusted shrinkage priors for the analysis of sparse signals, which extends the three parameter beta priors by multiplying an additional log-term to their densities. The proposed prior has…