相关论文: Improved multivariate portmanteau test

We address the issue of model selection in beta regressions with varying dispersion. The model consists of two submodels, namely: for the mean and for the dispersion. Our focus is on the selection of the covariates for each submodel. Our…

Several disciplines, such as econometrics, neuroscience, and computational psychology, study the dynamic interactions between variables over time. A Bayesian nonparametric model known as the Wishart process has been shown to be effective in…

We engineer a new probabilistic Monte-Carlo algorithm for isomorphism testing. Most notably, as opposed to all other solvers, it implicitly exploits the presence of symmetries without explicitly computing them. We provide extensive…

For testing two random vectors for independence, we consider testing whether the distance of one vector from a center point is independent from the distance of the other vector from a center point by a univariate test. In this paper we…

The integrated conditional moment (ICM) test is a classical and widely used method for assessing the adequacy of regression models. Although it performs well in fixed-dimension settings, its behavior changes dramatically when the predictor…

This paper proposes a wavelet-based method for analysing periodic autoregressive moving average (PARMA) time series. Even though Fourier analysis provides an effective method for analysing periodic time series, it requires the estimation of…

Determinantal points processes are a promising but relatively under-developed tool in machine learning and statistical modelling, being the canonical statistical example of distributions with repulsion. While their mathematical formulation…

In statistics and machine learning, approximation of an intractable integration is often achieved by using the unbiased Monte Carlo estimator, but the variances of the estimation are generally high in many applications. Control variates…

This paper develops tests of the null hypothesis of linearity in the context of autoregressive models with Markov-switching means and variances. These tests are robust to the identification failures that plague conventional likelihood-based…

Bayesian analysis often concerns an evaluation of models with different dimensionality as is necessary in, for example, model selection or mixture models. To facilitate this evaluation, transdimensional Markov chain Monte Carlo (MCMC)…

The optimization of neural wave functions in variational Monte Carlo crucially relies on a robust convergence criterion. While the energy variance is theoretically a definitive measure, its practical application as a primary convergence…

Given the importance of continuous-time stochastic volatility models to describe the dynamics of interest rates, we propose a goodness-of-fit test for the parametric form of the drift and diffusion functions, based on a marked empirical…

Markov Chain Monte Carlo (MCMC) is a popular class of statistical methods for simulating autocorrelated draws from target distributions, including posterior distributions in Bayesian analysis. An important consideration in using simulated…

A time-domain test for the assumption of second order stationarity of a functional time series is proposed. The test is based on combining individual cumulative sum tests which are designed to be sensitive to changes in the mean, variance…

Generalized additive partial linear models (GAPLMs) are appealing for model interpretation and prediction. However, for GAPLMs, the covariates and the degree of smoothing in the nonparametric parts are often difficult to determine in…

Existing models for high-dimensional time series are overwhelmingly developed within the finite-order vector autoregressive (VAR) framework. However, the more flexible vector autoregressive moving averages (VARMA) have been much less…

In this paper, we propose a novel and efficient two-stage variable selection approach for sparse GLARMA models, which are pervasive for modeling discrete-valued time series. Our approach consists in iteratively combining the estimation of…

Motivated by recent work studying massive imaging data in the neuroimaging literature, we propose multivariate varying coefficient models (MVCM) for modeling the relation between multiple functional responses and a set of covariates. We…

High precision analytical approximation is proposed for variance-covariance based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Merton-type model with stochastic recovery is considered. The…

This paper investigates methods for estimating the optimal stochastic control policy for a Markov Decision Process with unknown transition dynamics and an unknown reward function. This form of model-free reinforcement learning comprises…