Related papers: A Class of Generalized Hyperbolic Continuous Time …

Probabilistic graphical models that encode an underlying Markov random field are fundamental building blocks of generative modeling to learn latent representations in modern multivariate data sets with complex dependency structures. Among…

Clustered observations are ubiquitous in controlled and observational studies and arise naturally in multi-centre trials or longitudinal surveys. We present a novel model for the analysis of clustered observations where the marginal…

We propose a general class of INteger-valued Generalized AutoRegressive Conditionally Heteroscedastic (INGARCH) processes by allowing time-varying mean and dispersion parameters, which we call time-varying dispersion INGARCH (tv-DINGARCH)…

The notion of belief likelihood function of repeated trials is introduced, whenever the uncertainty for individual trials is encoded by a belief measure (a finite random set). This generalises the traditional likelihood function, and…

We introduce a new class of continuous-time models of the stochastic volatility of asset prices. The models can simultaneously incorporate roughness and slowly decaying autocorrelations, including proper long memory, which are two stylized…

We develop an automated variational method for inference in models with Gaussian process (GP) priors and general likelihoods. The method supports multiple outputs and multiple latent functions and does not require detailed knowledge of the…

This PhD Thesis presents an investigation into the analysis of financial returns using mixture models, focusing on mixtures of generalized normal distributions (MGND) and their extensions. The study addresses several critical issues…

Selective inference methods are developed for group lasso estimators for use with a wide class of distributions and loss functions. The method includes the use of exponential family distributions, as well as quasi-likelihood modeling for…

We introduce a mixture of generalized hyperbolic distributions as an alternative to the ubiquitous mixture of Gaussian distributions as well as their near relatives of which the mixture of multivariate t and skew-t distributions are…

Likelihood profiling is an efficient and powerful frequentist approach for parameter estimation, uncertainty quantification and practical identifiablity analysis. Unfortunately, these methods cannot be easily applied for stochastic models…

We formulate a discrete-time Bayesian stochastic volatility model for high-frequency stock-market data that directly accounts for microstructure noise, and outline a Markov chain Monte Carlo algorithm for parameter estimation. The methods…

In this paper we investigate general linear stochastic volatility models with correlated Brownian noises. In such models the asset price satisfies a linear SDE with coefficient of linearity being the volatility process. This class contains…

Likelihood-free inference methods based on neural conditional density estimation were shown to drastically reduce the simulation burden in comparison to classical methods such as ABC. When applied in the context of any latent variable…

Generalized linear regressions, such as logistic regressions or Poisson regressions, are long-studied regression analysis approaches, and their applications are widely employed in various classification problems. Our study considers a…

This paper deals with the problem of model selection for a general class of integer-valued time series. We propose a penalized criterion based on the Poisson quasi-likelihood of the model. Under certain regularity conditions, the…

Gaussian process regression in its most simplified form assumes normal homoscedastic noise and utilizes analytically tractable mean and covariance functions of predictive posterior distribution using Gaussian conditioning. Its…

We propose an asymptotic theory for distribution forecasting from the log normal chain-ladder model. The theory overcomes the difficulty of convoluting log normal variables and takes estimation error into account. The results differ from…

Counting experiments often rely on Monte Carlo simulations for predictions of Poisson expectations. The accompanying uncertainty from the finite Monte Carlo sample size can be incorporated into parameter estimation by modifying the Poisson…

We introduce a novel GARCH model that integrates two sources of uncertainty to better capture the rich, multi-component dynamics often observed in the volatility of financial assets. This model provides a quasi closed-form representation of…

The main goal of this paper is an application of Bayesian model comparison, based on the posterior probabilities and posterior odds ratios, in testing the explanatory power of the set of competing GARCH (ang. Generalised Autoregressive…