Related papers: Mixed difference integer-valued GARCH model for $ …
We develop misspecification tests for building additive time-varying (ATV-)GARCH models. In the model, the volatility equation of the GARCH model is augmented by a deterministic time-varying intercept modeled as a linear combination of…
We present a nonparametric Bayesian joint model for multivariate continuous and categorical variables, with the intention of developing a flexible engine for multiple imputation of missing values. The model fuses Dirichlet process mixtures…
The detection of serial dependence in binary or binomial valued time series is difficult using standard time series methods, particularly when there are regression effects to be modelled. In this paper we derive score-type tests for…
This paper proposes a flexible framework for inferring large-scale time-varying and time-lagged correlation networks from multivariate or high-dimensional non-stationary time series with piecewise smooth trends. Built on a novel and unified…
This paper focuses on variational inference with intractable likelihood functions that can be unbiasedly estimated. A flexible variational approximation based on Gaussian mixtures is developed, by adopting the mixture population Monte Carlo…
This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the…
We propose an adaptive algorithm for tracking of historical volatility. The algorithm is built under the assumption that the historical volatility function belongs to the Stone-Ibragimov-Khasminskii class of $k$ times differentiable…
Handling missing data in time series is a complex problem due to the presence of temporal dependence. General-purpose imputation methods, while widely used, often distort key statistical properties of the data, such as variance and…
We describe and analyze a broad class of mixture models for real-valued multivariate data in which the probability density of observations within each component of the model is represented as an arbitrary combination of basis functions.…
Recent research has established sufficient conditions for finite mixture models to be identifiable from grouped observations. These conditions allow the mixture components to be nonparametric and have substantial (or even total) overlap.…
The discrete-time GARCH methodology which has had such a profound influence on the modelling of heteroscedasticity in time series is intuitively well motivated in capturing many `stylized facts' concerning financial series, and is now…
We derive mixing properties for a broad class of Poisson count time series satisfying a certain contraction condition. Using specific coupling techniques, we prove absolute regularity at a geometric rate not only for stationary…
In this paper, we consider testing the martingale difference hypothesis for high-dimensional time series. Our test is built on the sum of squares of the element-wise max-norm of the proposed matrix-valued nonlinear dependence measure at…
This paper is devoted to the off-line multiple change-point detection in a semiparametric framework. The time series is supposed to belong to a large class of models including AR($\infty$), ARCH($\infty$), TARCH($\infty$),... models where…
Causal inference from observational data following the restricted structural causal models (SCM) framework hinges largely on the asymmetry between cause and effect from the data generating mechanisms, such as non-Gaussianity or…
This paper proposes a flexible Bayesian approach to multiple imputation using conditional Gaussian mixtures. We introduce novel shrinkage priors for covariate-dependent mixing proportions in the mixture models to automatically select the…
By treating intervals as inseparable sets, this paper proposes sparse machine learning regressions for high-dimensional interval-valued time series. With LASSO or adaptive LASSO techniques, we develop a penalized minimum distance…
Mixtures of linear mixed models are widely used for modelling longitudinal data for which observation times differ between subjects. In typical applications, temporal trends are described using a basis expansion, with basis coefficients…
The advantages of sequential Monte Carlo (SMC) are exploited to develop parameter estimation and model selection methods for GARCH (Generalized AutoRegressive Conditional Heteroskedasticity) style models. It provides an alternative method…
A key advantage of isogeometric discretizations is their accurate and well-behaved eigenfrequencies and eigenmodes. For degree two and higher, however, optical branches of spurious outlier frequencies and modes may appear due to boundaries…