Related papers: Gradient-Boosted Generalized Linear Models for Con…

Many single-target regression problems require estimates of uncertainty along with the point predictions. Probabilistic regression algorithms are well-suited for these tasks. However, the options are much more limited when the prediction…

We consider the problem of modeling the dependence among many time series. We build high dimensional time-varying copula models by combining pair-copula constructions (PCC) with stochastic autoregressive copula (SCAR) models to capture…

Recent advances in the literature have demonstrated that standard supervised learning algorithms are ill-suited for problems with endogenous explanatory variables. To correct for the endogeneity bias, many variants of nonparameteric…

Predicting the dependencies between observations from multiple time series is critical for applications such as anomaly detection, financial risk management, causal analysis, or demand forecasting. However, the computational and numerical…

We introduce a copula mixture model to perform dependency-seeking clustering when co-occurring samples from different data sources are available. The model takes advantage of the great flexibility offered by the copulas framework to extend…

In the last few decades, the study of ordinal data in which the variable of interest is not exactly observed but only known to be in a specific ordinal category has become important. In Psychometrics such variables are analysed under the…

We propose a general framework for non-normal multivariate data analysis called multivariate covariance generalized linear models (McGLMs), designed to handle multivariate response variables, along with a wide range of temporal and spatial…

Several gene-based association tests for time-to-event traits have been proposed recently, to detect whether a gene region (containing multiple variants), as a set, is associated with the survival outcome. However, for bivariate survival…

We show how to construct the implied copula process of response values from a Bayesian additive regression tree (BART) model with prior on the leaf node variances. This copula process, defined on the covariate space, can be paired with any…

Vine copula models have become highly popular practical tools for modeling multivariate dependencies. To maintain tractability, a commonly employed simplifying assumption is that conditional copulas remain unchanged by the conditioning…

We introduce a general framework for deriving effective dynamics from arbitrary time-dependent generators, based on a systematic operator cumulant expansion. Unlike traditional approaches, which typically assume periodic or adiabatic…

Conventional gradient descent methods compute the gradients for multiple variables through the partial derivative. Treating the coupled variables independently while ignoring the interaction, however, leads to an insufficient optimization…

In many applications of supervised learning, multiple classification or regression outputs have to be predicted jointly. We consider several extensions of gradient boosting to address such problems. We first propose a straightforward…

We introduce a new goodness-of-fit test for regular vine (R-vine) copula models. R-vine copulas are a very flexible class of multivariate copulas based on a pair-copula construction (PCC). The test arises from the information matrix…

Gradient boosting from the field of statistical learning is widely known as a powerful framework for estimation and selection of predictor effects in various regression models by adapting concepts from classification theory. Current…

This research is motivated by discovering and underpinning genetic causes for the progression of a bilateral eye disease, Age-related Macular Degeneration (AMD), of which the primary outcomes, progression times to late-AMD, are bivariate…

We consider a class of conditional forward-backward diffusion models for conditional generative modeling, that is, generating new data given a covariate (or control variable). To formally study the theoretical properties of these…

Vine copulas, constructed using bivariate copulas as building blocks, provide a flexible framework for modeling multi-dimensional dependencies. However, this flexibility is accompanied by rapidly increasing complexity as dimensionality…

Distributed lag models (DLMs) express the cumulative and delayed dependence between pairs of time-indexed response and explanatory variables. In practical application, users of DLMs examine the estimated influence of a series of lagged…

Factor models are a parsimonious way to explain the dependence of variables using several latent variables. In Gaussian 1-factor and structural factor models (such as bi-factor, oblique factor) and their factor copula counterparts, factor…