Related papers: Time-lagged marginal expected shortfall
Thermal Energy Storage (TES) devices, which leverage the constant-temperature thermal capacity of the latent heat of a Phase Change Material (PCM), provide benefits to a variety of thermal management systems by decoupling the absorption and…
Risk measures like Marginal Expected Shortfall and Marginal Mean Excess quantify conditional risk and in particular, aid in the understanding of systemic risk. In many such scenarios, models exhibiting heavy tails in the margins and…
The statistical tests that are commonly used for detecting mean or median treatment effects suffer from low power when the two distribution functions differ only in the upper (or lower) tail, as in the assessment of the Total Sharp Score…
To comply with increasingly stringent international standards in risk management and regulation, several approaches have been developed in the literature for forecasting tail-risk measures such as Value-at-Risk (VaR) and Expected Shortfall…
In statistical exercises where there are several candidate models, the traditional approach is to select one model using some data driven criterion and use that model for estimation, testing and other purposes, ignoring the variability of…
This paper aims to study the prediction of the bank stability index based on the Time Series Transformer model. The bank stability index is an important indicator to measure the health status and risk resistance of financial institutions.…
Time series foundation models (TSFMs) such as Lag-Llama, TimeGPT, Chronos, MOMENT, UniTS, and TimesFM have shown strong generalization and zero-shot capabilities for time series forecasting, anomaly detection, classification, and…
This paper proposes valid inference tools, based on self-normalization, in time series expected shortfall regressions and, as a corollary, also in quantile regressions. Extant methods for such time series regressions, based on a bootstrap…
Forecasts of product demand are essential for short- and long-term optimization of logistics and production. Thus, the most accurate prediction possible is desirable. In order to optimally train predictive models, the deviation of the…
This paper develops asymptotic theory for estimation of parameters in regression models for binomial response time series where serial dependence is present through a latent process. Use of generalized linear model (GLM) estimating…
Robustness to bit errors is a key requirement for the reliable use of neural networks (NNs) on emerging approximate computing platforms and error-prone memory technologies. A common approach to achieve bit error tolerance in NNs is…
This work proposes an event-triggered moving horizon estimation (ET-MHE) scheme for general nonlinear systems. The key components of the proposed scheme are a novel event-triggering mechanism (ETM) and the suitable design of the MHE cost…
Symbolic transfer entropy is a powerful non-parametric tool to detect lead-lag between time series. Because a closed expression of the distribution of Transfer Entropy is not known for finite-size samples, statistical testing is often…
Prediction based on Irregularly Sampled Time Series (ISTS) is of wide concern in the real-world applications. For more accurate prediction, the methods had better grasp more data characteristics. Different from ordinary time series, ISTS is…
In this short paper we propose to extend the ETAS model to micro-seismic events. For that we interpret the triggered events in an ETAS model as individual local clock advances of an independent background process. The solution of the ETAS…
This article proposes an online bootstrap scheme for nonparametric level estimation in nonstationary time series. Our approach applies to a broad class of level estimators expressible as weighted sample averages over time windows, including…
Prediction intervals are commonly used in meta-analysis with random-effects models. One widely used method, the Higgins-Thompson-Spiegelhalter prediction interval, replaces the heterogeneity parameter with its point estimate, but its…
Time-series imputation benchmarks employ uniform random masking and shape-agnostic metrics (MSE, RMSE), implicitly weighting evaluation by regime prevalence. In systems with a dominant attractor -- homeostatic physiology, nominal industrial…
A nonparametric procedure to estimate the conditional probability that a nonstationary geostatistical process exceeds a certain threshold value is proposed. The method consists of a bootstrap algorithm that combines conditional simulation…
This paper considers fixed effects (FE) estimation for linear panel data models under possible model misspecification when both the number of individuals, $n$, and the number of time periods, $T$, are large. We first clarify the probability…