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Variational inference is becoming more and more popular for approximating intractable posterior distributions in Bayesian statistics and machine learning. Meanwhile, a few recent works have provided theoretical justification and new…

Multivariate stochastic volatility models with skew distributions are proposed. Exploiting Cholesky stochastic volatility modeling, univariate stochastic volatility processes with leverage effect and generalized hyperbolic skew…

Now that Bayesian Networks (BNs) have become widely used, an appreciation is developing of just how critical an awareness of the sensitivity and robustness of certain target variables are to changes in the model. When time resources are…

In this paper we investigate the impact of news to predict extreme financial returns using high frequency data. We consider several model specifications differing for the dynamic property of the underlying stochastic process as well as for…

The purpose of this paper is to propose a time-varying vector autoregressive model (TV-VAR) for forecasting multivariate time series. The model is casted into a state-space form that allows flexible description and analysis. The volatility…

We develop a Bayesian framework for variable selection in linear regression with autocorrelated errors, accommodating lagged covariates and autoregressive structures. This setting occurs in time series applications where responses depend on…

Despite the impressive success of deep neural networks in many application areas, neural network models have so far not been widely adopted in the context of volatility forecasting. In this work, we aim to bridge the conceptual gap between…

We consider a statistical model for pairs of traded assets, based on a Cointegrated Vector Auto Regression (CVAR) Model. We extend standard CVAR models to incorporate estimation of model parameters in the presence of price series level…

Few Bayesian methods for analyzing high-dimensional sparse survival data provide scalable variable selection, effect estimation and uncertainty quantification. Such methods often either sacrifice uncertainty quantification by computing…

The Dynamic Nelson--Siegel (DNS) model is a widely used framework for term structure forecasting. We propose a novel extension that models DNS residuals as a Gaussian random field, capturing dependence across both time and maturity. The…

The Generalized Extreme Value (GEV) distribution plays a critical role in risk assessment across various domains, such as hydrology, climate science, and finance. In this study, we investigate its application in analyzing intraday trading…

Multi-step stock price prediction over a long-term horizon is crucial for forecasting its volatility, allowing financial institutions to price and hedge derivatives, and banks to quantify the risk in their trading books. Additionally, most…

In Reinforcement Learning with Verifiable Rewards (RLVR), constructing a robust advantage baseline is critical for policy gradients, effectively guiding the policy model to reinforce desired behaviors. Recent research has introduced…

We introduce varbvs, a suite of functions written in R and MATLAB for regression analysis of large-scale data sets using Bayesian variable selection methods. We have developed numerical optimization algorithms based on variational…

This study introduces PV-RNN, a novel variational RNN inspired by the predictive-coding ideas. The model learns to extract the probabilistic structures hidden in fluctuating temporal patterns by dynamically changing the stochasticity of its…

Probabilistic context-free grammars (PCFGs) and dynamic Bayesian networks (DBNs) are widely used sequence models with complementary strengths and limitations. While PCFGs allow for nested hierarchical dependencies (tree structures), their…

Many real-world monitoring and surveillance applications require non-trivial anomaly detection to be run in the streaming model. We consider an incremental-learning approach, wherein a deep-autoencoding (DAE) model of what is normal is…

This report presents a comprehensive evaluation of three Value-at-Risk (VaR) modeling approaches: Historical Simulation (HS), GARCH with Normal approximation (GARCH-N), and GARCH with Filtered Historical Simulation (FHS), using both…

We propose a non-asymptotic convergence analysis of a two-step approach to learn a conditional value-at-risk (VaR) and a conditional expected shortfall (ES) using Rademacher bounds, in a non-parametric setup allowing for heavy-tails on the…

We propose a variational Bayesian (VB) approach to learning distributions of latent variables in deep neural network (DNN) models for cross-domain knowledge transfer, to address acoustic mismatches between training and testing conditions.…