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Current modularity-based community detection algorithms attempt to find cluster memberships that maximize modularity within a fixed graph topology. Diverging from this conventional approach, our work introduces a novel strategy that employs…
Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally heteroscedastic models like ARCH, GARCH, IGARCH and FIGARCH, inter…
Graphical models with High Order Potentials (HOPs) have received considerable interest in recent years. While there are a variety of approaches to inference in these models, nearly all of them amount to solving a linear program (LP)…
Polynomial chaos expansions (PCE) have seen widespread use in the context of uncertainty quantification. However, their application to structural reliability problems has been hindered by the limited performance of PCE in the tails of the…
Large scale Gaussian process (GP) regression is infeasible for larger data sets due to cubic scaling of flops and quadratic storage involved in working with covariance matrices. Remedies in recent literature focus on divide-and-conquer,…
While classical time series forecasting considers individual time series in isolation, recent advances based on deep learning showed that jointly learning from a large pool of related time series can boost the forecasting accuracy. However,…
The estimation problem in a high regression model with structured sparsity is investigated. An algorithm using a two steps block thresholding procedure called GR-LOL is provided. Convergence rates are produced: they depend on simple…
Concept Factorization (CF) and its variants may produce inaccurate representation and clustering results due to the sensitivity to noise, hard constraint on the reconstruction error and pre-obtained approximate similarities. To improve the…
Hierarchical probabilistic models, such as mixture models, are used for cluster analysis. These models have two types of variables: observable and latent. In cluster analysis, the latent variable is estimated, and it is expected that…
This paper presents a novel machine learning approach to GDP prediction that incorporates volatility as a model weight. The proposed method is specifically designed to identify and select the most relevant macroeconomic variables for…
This paper introduces a flexible time-varying network vector autoregressive model framework for large-scale time series. A latent group structure is imposed on the heterogeneous and node-specific time-varying momentum and network spillover…
We develop a novel framework to accelerate Gaussian process regression (GPR). In particular, we consider localization kernels at each data point to down-weigh the contributions from other data points that are far away, and we derive the GPR…
Well-calibrated probabilistic regression models are a crucial learning component in robotics applications as datasets grow rapidly and tasks become more complex. Unfortunately, classical regression models are usually either probabilistic…
Sparse structure learning in high-dimensional Gaussian graphical models is an important problem in multivariate statistical signal processing; since the sparsity pattern naturally encodes the conditional independence relationship among…
The fundamental theorem behind financial markets is that stock prices are intrinsically complex and stochastic. One of the complexities is the volatility associated with stock prices. Volatility is a tendency for prices to change…
A multiscale optimization framework for problems over a space of Lipschitz continuous functions is developed. The method solves a coarse-grid discretization followed by linear interpolation to warm-start project gradient descent on…
We conduct a simulation study of Local Projection (LP) and Vector Autoregression (VAR) estimators of structural impulse responses across thousands of data generating processes, designed to mimic the properties of the universe of U.S.…
This paper intends to meet recent claims for the attainment of more rigorous statistical methodology within the econophysics literature. To this end, we consider an econometric approach to investigate the outcomes of the log-periodic model…
Estimating conditional quantiles of financial time series is essential for risk management and many other applications in finance. It is well-known that financial time series display conditional heteroscedasticity. Among the large number of…
We propose a continuous-time Markov-switching generalized autoregressive conditional heteroskedasticity (COMS-GARCH) process for handling irregularly spaced time series (TS) with multiple volatilities states. We employ a Gibbs sampler in…