Related papers: srvar-toolkit: A Python Implementation of Shadow-R…

nsEVDx is an open-source Python package for fitting stationary and nonstationary Extreme Value Distributions (EVDs) to extreme value data. It can be used to model extreme events in fields like hydrology, climate science, finance, and…

We develop a non-parametric multivariate time series model that remains agnostic on the precise relationship between a (possibly) large set of macroeconomic time series and their lagged values. The main building block of our model is a…

We introduce a class of generic spike-and-slab priors for high-dimensional linear regression with grouped variables and present a Coordinate-ascent Variational Inference (CAVI) algorithm for obtaining an optimal variational Bayes…

We introduce a multivariate stochastic volatility model for asset returns that imposes no restrictions to the structure of the volatility matrix and treats all its elements as functions of latent stochastic processes. When the number of…

We propose a general, flexible, and scalable framework dpart, an open source Python library for differentially private synthetic data generation. Central to the approach is autoregressive modelling -- breaking the joint data distribution to…

Learning vector autoregressive models from multivariate time series is conventionally approached through least squares or maximum likelihood estimation. These methods typically assume a fully connected model which provides no direct insight…

Techniques for reducing the variance of gradient estimates used in stochastic programming algorithms for convex finite-sum problems have received a great deal of attention in recent years. By leveraging dissipativity theory from control, we…

We develop stochastic variational inference, a scalable algorithm for approximating posterior distributions. We develop this technique for a large class of probabilistic models and we demonstrate it with two probabilistic topic models,…

I describe our team's development of the SpeX Prism Library Analysis Toolkit (SPLAT), a combined spectral data repository for over 2500 low-resolution spectra of very low mass dwarfs (late M, L and T dwarfs), and Python-based analysis…

We present a new package in R implementing Bayesian additive regression trees (BART). The package introduces many new features for data analysis using BART such as variable selection, interaction detection, model diagnostic plots,…

Bayesian additive regression trees (BART) is a non-parametric method to approximate functions. It is a black-box method based on the sum of many trees where priors are used to regularize inference, mainly by restricting trees' learning…

We introduce and test methods for the calibration of the diffusion term in Stochastic Partial Differential Equations (SPDEs) describing fluids. We take two approaches, one uses ideas from the singular value decomposition and the Biot-Savart…

Recently, we and several other authors have written about the possibilities of using stochastic approximation techniques for fitting variational approximations to intractable Bayesian posterior distributions. Naive implementations of…

We show that the mixed causal-noncausal Vector Autoregressive (VAR) processes satisfy the Markov property in both calendar and reverse time. Based on that property, we introduce closed-form formulas of forward and backward predictive…

Recent studies have demonstrated that large pretrained language models (LLMs) such as BERT and GPT-2 exhibit biases in token prediction, often inherited from the data distributions present in their training corpora. In response, a number of…

In this paper we propose a novel R package, called rsurv, developed for general survival data simulation purposes. The package is built under a new approach to simulate survival data that depends heavily on the use of dplyr verbs. The…

This paper introduces SpeeChain, an open-source Pytorch-based toolkit designed to develop the machine speech chain for large-scale use. This first release focuses on the TTS-to-ASR chain, a core component of the machine speech chain, that…

In this paper I describe the visualization toolkit Sator, which is designed to read, analyze and visualize simulation data of the moving-mesh code Arepo. It is written in Python and employs a graphical user interface based on the Tkinter…

Volatility is a key measure of risk in financial analysis. The high volatility of one financial asset today could affect the volatility of another asset tomorrow. These lagged effects among volatilities - which we call volatility spillovers…

This paper shows a novel machine learning model for realized volatility (RV) prediction using a normalizing flow, an invertible neural network. Since RV is known to be skewed and have a fat tail, previous methods transform RV into values…