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Tracking the build-up of financial vulnerabilities is a key component of financial stability policy. Due to the complexity of the financial system, this task is daunting, and there have been several proposals on how to manage this goal. One…
We introduce a statistical framework for combining data from multiple large longitudinal cardiovascular cohorts to enable the study of long-term cardiovascular health starting in early adulthood. Using data from seven cohorts belonging to…
In this paper, we set up the theoretical foundations for a high-dimensional functional factor model approach in the analysis of large cross-sections (panels) of functional time series (FTS). We first establish a representation result…
A way to assess rare aircraft incidents (e.g., runway excursion) is to identify contributing factors (e.g., late braking, long landing, inappropriate flare, unstable approach) and to build a dependency tree (e.g., long landing may be the…
Mortality forecasting plays a pivotal role in insurance and financial risk management of life insurers, pension funds, and social securities. Mortality data is usually high-dimensional in nature and favors factor model approaches to…
We consider forecasting a single time series when there is a large number of predictors and a possible nonlinear effect. The dimensionality was first reduced via a high-dimensional (approximate) factor model implemented by the principal…
To meet the Basel II regulatory requirements for the Advanced Measurement Approaches, the bank's internal model must include the use of internal data, relevant external data, scenario analysis and factors reflecting the business environment…
The asset pricing literature emphasizes factor models that minimize pricing errors but overlooks unselected candidate factors that could enhance the performance of test assets. This paper proposes a framework for factor model selection and…
De-Rating or Vulnerability Factors are a major feature of failure analysis efforts mandated by today's Functional Safety requirements. Determining the Functional De-Rating of sequential logic cells typically requires computationally…
Approach-level models were developed to accommodate the diversity of approaches within the same intersection. A random effect term, which indicates the intersection-specific effect, was incorporated into each crash type model to deal with…
A significant amount of people die in road accidents due to driver errors. To reduce fatalities, developing intelligent driving systems assisting drivers to identify potential risks is in an urgent need. Risky situations are generally…
Volatilities, in high-dimensional panels of economic time series with a dynamic factor structure on the levels or returns, typically also admit a dynamic factor decomposition. We consider a two-stage dynamic factor model method recovering…
Integrating inspection processes with testing processes promises to deliver several benefits, including reduced effort for quality assurance or higher defect detection rates. Systematic integration of these processes requires knowledge…
Medical errors are leading causes of death in the US and as such, prevention of these errors is paramount to promoting health care. Patient Safety Event reports are narratives describing potential adverse events to the patients and are…
Ensuring safe operation of safety-critical complex systems interacting with their environment poses significant challenges, particularly when the system's world model relies on machine learning algorithms to process the perception input. A…
Macroeconomic factors have a critical impact on banking credit risk, which cannot be directly controlled by banks, and therefore, there is a need for an early credit risk warning system based on the macroeconomy. By comparing different…
We consider statistical inference in factor analysis for ergodic and non-ergodic diffusion processes from discrete observations. Factor model based on high frequency time series data has been mainly discussed in the field of high…
Effective IT change management is important for businesses that depend on software and services, particularly in highly regulated sectors such as finance, where operational reliability, auditability, and explainability are essential. A…
With the rapid development of urbanization, the boom of vehicle numbers has resulted in serious traffic accidents, which led to casualties and huge economic losses. The ability to predict the risk of traffic accident is important in the…
Risk management is particularly concerned with extreme events, but analysing these events is often hindered by the scarcity of data, especially in a multivariate context. This data scarcity complicates risk management efforts. Various tools…