Related papers: Quantile autoregressive moving average models for …
A multivariate quantile regression model with a factor structure is proposed to study data with many responses of interest. The factor structure is allowed to vary with the quantile levels, which makes our framework more flexible than the…
The spatio-temporal autoregressive moving average (STARMA) model is frequently used in several studies of multivariate time series data, where the assumption of stationarity is important, but it is not always guaranteed in practice. One way…
Recurrence quantification analysis (RQA) is a well established method of nonlinear data analysis. In this work we present a new strategy for an almost parameter-free RQA. The approach finally omits the choice of the threshold parameter by…
We establish the asymptotic theory in quantile autoregression when the model parameter is specified with respect to moderate deviations from the unit boundary of the form (1 + c / k) with a convergence sequence that diverges at a rate…
Continuous-time autoregressive and moving average (CARMA) models are extensively used to model high-frequency and irregularly sampled data. We study Whittle estimation for the model parameters when the process is observed at renewal times.…
We construct liquidity-adjusted return and volatility using purposely designed liquidity metrics (liquidity jump and liquidity diffusion) that incorporate additional liquidity information. Based on these measures, we introduce a…
Time series are ubiquitous in numerous science and engineering domains, e.g., signal processing, bioinformatics, and astronomy. Previous work has verified the efficacy of symbolic time series representation in a variety of engineering…
Strong consistency and asymptotic normality of the Quasi-Maximum Likelihood Estimator (QMLE) are given for a general class of multidimensional causal processes. For particular cases already studied in the literature (for instance univariate…
Multireference alignment (MRA) refers to the problem of recovering a signal from noisy samples subject to random circular shifts. Expectation--maximization (EM) and variational approaches use statistical modeling to achieve high accuracy at…
Large language models (LLMs) have demonstrated remarkable capabilities in various kinds of tasks, while the billion or even trillion parameters bring storage and efficiency bottlenecks for inference. Quantization, particularly…
Autoregressive models (ARMs) have become the workhorse for sequence generation tasks, since many problems can be modeled as next-token prediction. While there appears to be a natural ordering for text (i.e., left-to-right), for many data…
Quantile regression has been advocated in survival analysis to assess evolving covariate effects. However, challenges arise when the censoring time is not always observed and may be covariate-dependent, particularly in the presence of…
A nonparametric procedure for robust regression estimation and for quantile regression is proposed which is completely data-driven and adapts locally to the regularity of the regression function. This is achieved by considering in each…
A transformation relation between multivariate ARMA and CARMA processes is derived through a discretization procedure. This gives a direct relationship between the discrete time and continuous time analogues, serving as the basis for an…
In this paper, we propose a computationally valid and theoretically justified methods, the likelihood ratio scan method (LRSM), for estimating multiple change-points in a piecewise stationary generalized conditional integer-valued…
In this paper, we study nonparametric models allowing for locally stationary regressors and a regression function that changes smoothly over time. These models are a natural extension of time series models with time-varying coefficients. We…
This paper presents a novel norm-one-regularized, consensus-based imaging algorithm, based on the Alternating Direction Method of Multipliers (ADMM). This algorithm is capable of imaging composite dielectric and metallic targets by using…
A wide range of approaches for batch processes monitoring can be found in the literature. This kind of process generates a very peculiar data structure, in which successive measurements of many process variables in each batch run are…
Multiple rotation averaging (MRA) is a fundamental optimization problem in 3D vision and robotics that aims to recover globally consistent absolute rotations from noisy relative measurements. Established classical methods, such as L1-IRLS…
One simple, and often very effective, way to attenuate the impact of nuisance parameters on maximum likelihood estimation of a parameter of interest is to recenter the profile score for that parameter. We apply this general principle to the…