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We characterise the long-term variability of European near-surface wind speeds using 142 years of data from the Twentieth Century Reanalysis (20CR), and consider the potential of such long-baseline climate data sets for wind energy…
Accurate prediction with multimodal data-encompassing tabular, textual, and visual inputs or outputs-is fundamental to advancing analytics in diverse application domains. Traditional approaches often struggle to integrate heterogeneous data…
Recurrent event time data arise in many studies, including biomedicine, public health, marketing, and social media analysis. High-dimensional recurrent event data involving many event types and observations have become prevalent with…
During the COVID-19 pandemic, a major driver of new surges has been the emergence of new variants. When a new variant emerges in one or more countries, other nations monitor its spread in preparation for its potential arrival. The impact of…
Data generation is a fundamental research problem in data management due to its diverse use cases, ranging from testing database engines to data-specific applications. However, real-world entities often involve complex interactions that…
The long-run convergence of developing economies toward advanced countries exhibits robust empirical regularities, yet the mechanisms underlying technological diffusion remain insufficiently specified in standard growth models. In this…
The Value-at-Risk (VaR) is a widely used instrument in financial risk management. The question of estimating the VaR of loss return distributions at extreme levels is an important question in financial applications, both from operational…
Many economic environments involve units linked by a network. I develop an econometric framework that derives the dynamics of cross-sectional variables from the lagged innovation transmission along bilateral links and that can accommodate…
This paper presents a novel hybrid approach for constricting probabilistic forecasts that combines both the Quantile Regression Averaging (QRA) method and the factor-based averaging scheme. The performance of the approach is evaluated on…
We present a new approach to factor rotation for functional data. This is achieved by rotating the functional principal components toward a predefined space of periodic functions designed to decompose the total variation into components…
Power grids must modernize to meet climate goals while maintaining reliable and stable operating conditions. Yet progress is hindered by a limited understanding of the stochastic processes underlying grid frequency and phase-angle…
Factor analysis is a flexible technique for assessment of multivariate dependence and codependence. Besides being an exploratory tool used to reduce the dimensionality of multivariate data, it allows estimation of common factors that often…
This paper develops a methodology for tracking in real time the impact of shocks (such as natural disasters, financial crises or pandemics) on gross domestic product (GDP) by analyzing high-frequency electricity market data. As an…
Reanalysis datasets have become indispensable tools for wind resource assessment and wind power simulation, offering long-term and spatially continuous wind fields across large regions. However, they inherently contain systematic wind speed…
We introduce a novel class of factor analysis methodologies for the joint analysis of multiple studies. The goal is to separately identify and estimate 1) common factors shared across multiple studies, and 2) study-specific factors. We…
We propose a modified time lag random matrix theory in order to study time lag cross-correlations in multiple time series. We apply the method to 48 world indices, one for each of 48 different countries. We find long-range power-law…
We propose a confirmatory dynamic factor model for a large number of stocks whose returns are observed daily across multiple time zones. The model has a global factor and a continental factor that both drive the individual stock return…
In recent years there has been a resurgence of interest in generation adequacy risk assessment, due to the need to include variable generation renewables within such calculations. This paper will describe new statistical approaches to…
This paper investigates the transmission of funding liquidity shocks, credit risk shocks and unconventional monetary policy within the Euro area. To this aim, we estimate a financial GVAR model for Germany, France, Italy and Spain on…
We consider the analysis of continuous repeated measurement outcomes that are collected through time, also known as longitudinal data. A standard framework for analysing data of this kind is a linear Gaussian mixed-effects model within…