Related papers: Stochastic Volatility under Informative Missingnes…
The instrumental variables (IV) method is a method for making causal inferences about the effect of a treatment based on an observational study in which there are unmeasured confounding variables. The method requires a valid IV, a variable…
Turbulent dynamical systems characterized by both a high-dimensional phase space and a large number of instabilities are ubiquitous among many complex systems in science and engineering. The existence of a strange attractor in the turbulent…
Multiple imputation is a highly recommended technique to deal with missing data, but the application to longitudinal datasets can be done in multiple ways. When a new wave of longitudinal data arrives, we can treat the combined data of…
It is well known that ignoring the presence of stochastic disturbances in the identification of stochastic Wiener models leads to asymptotically biased estimators. On the other hand, optimal statistical identification, via likelihood-based…
Causal inference methods (instrumental variables, difference-in-differences, regression discontinuity, etc.) are primary tools used across many social science milieus. One area where their application has lagged however, is in the study of…
We consider stochastic volatility models using piecewise constant parameters. We suggest a hybrid optimization algorithm for fitting the models to a volatility surface and provide some numerical results. Finally, we provide an outlook on…
Missing data is a major challenge in clinical research. In electronic medical records, often a large fraction of the values in laboratory tests and vital signs are missing. The missingness can lead to biased estimates and limit our ability…
Missing data is a ubiquitous challenge in data analysis, often leading to biased and inaccurate results. Traditional imputation methods usually assume that the missingness mechanism is missing-at-random (MAR), where the missingness is…
We propose a copula based method to handle missing values in multivariate data of mixed types in multilevel data sets. Building upon the extended rank likelihood of \cite{hoff2007extending} and the multinomial probit model, our model is a…
The abstraction of dynamical systems is a powerful tool that enables the design of feedback controllers using a correct-by-design framework. We investigate a novel scheme to obtain data-driven abstractions of discrete-time stochastic…
The concept of stochastic Lagrangian and its use in statistical dynamics is illustrated theoretically, and with some examples. Dynamical variables undergoing stochastic differential equations are stochastic processes themselves, and their…
When we use simulation to evaluate the performance of a stochastic system, the simulation often contains input distributions estimated from real-world data; therefore, there is both simulation and input uncertainty in the performance…
Advanced measurement techniques and high performance computing have made large data sets available for a wide range of turbulent flows that arise in engineering applications. Drawing on this abundance of data, dynamical models can be…
For multi-source data, blocks of variable information from certain sources are likely missing. Existing methods for handling missing data do not take structures of block-wise missing data into consideration. In this paper, we propose a…
In the last couple of decades, there has been major advancements in the domain of missing data imputation. The techniques in the domain include amongst others: Expectation Maximization, Neural Networks with Evolutionary Algorithms or…
Background: Existing guidelines for handling missing data are generally not consistent with the goals of prediction modelling, where missing data can occur at any stage of the model pipeline. Multiple imputation (MI), often heralded as the…
A Bayesian procedure is developed for multivariate stochastic volatility, using state space models. An autoregressive model for the log-returns is employed. We generalize the inverted Wishart distribution to allow for different correlation…
In this paper, We propose a new style panel data factor stochastic volatility model with observable factors and unobservable factors based on the multivariate stochastic volatility model, which is mainly composed of three parts, such as the…
In this paper, we propose a data-driven robust safety verification framework for stochastic dynamical systems modeled as Markov decision processes with time-varying and uncertain transition probabilities. Rather than assuming access to the…
In recent years, the discovery of complex dynamic systems in various fields through data-driven methods has attracted widespread attention. This method has played the role of data and has become an advantageous tool for us to study complex…