相关论文: Dynamic Term Structure Models with Nonlinearities …

The building of mathematical and computer models of cities has a long history. The core elements are models of flows (spatial interaction) and the dynamics of structural evolution. In this article, we develop a stochastic model of urban…

Gaussian process regression is a frequently used statistical method for flexible yet fully probabilistic non-linear regression modeling. A common obstacle is its computational complexity which scales poorly with the number of observations.…

Regression models are used for inference and prediction in a wide range of applications providing a powerful scientific tool for researchers and analysts from different fields. In many research fields the amount of available data as well as…

In this paper we introduce a simple continuous-time asset pricing framework, based on general multi-dimensional diffusion processes, that combines semi-analytic pricing with a nonlinear specification for the market price of risk. Our…

The paper addresses the problem of passivation of a class of nonlinear systems where the dynamics are unknown. For this purpose, we use the highly flexible, data-driven Gaussian process regression for the identification of the unknown…

We propose a deep learning approach to probabilistic forecasting of macroeconomic and financial time series. Being able to learn complex patterns from a data rich environment, our approach is useful for a decision making that depends on…

Neural population activity exhibits complex, nonlinear dynamics, varying in time, over trials, and across experimental conditions. Here, we develop Conditionally Linear Dynamical System (CLDS) models as a general-purpose method to…

This paper proposes a new Bayesian machine learning model that can be applied to large datasets arising in macroeconomics. Our framework sums over many simple two-component location mixtures. The transition between components is determined…

Spatio-temporal processes in environmental applications are often assumed to follow a Gaussian model, possibly after some transformation. However, heterogeneity in space and time might have a pattern that will not be accommodated by…

Standard GPs offer a flexible modelling tool for well-behaved processes. However, deviations from Gaussianity are expected to appear in real world datasets, with structural outliers and shocks routinely observed. In these cases GPs can fail…

Discrete data are abundant and often arise as counts or rounded data. These data commonly exhibit complex distributional features such as zero-inflation, over-/under-dispersion, boundedness, and heaping, which render many parametric models…

This paper presents a new fuel cycle benchmarking analysis methodology by coupling Gaussian process regression, a popular technique in Machine Learning, to dynamic time warping, a mechanism widely used in speech recognition. Together they…

This paper applies a recurrent neural network, the LSTM, to forecast inflation. This is an appealing model for time series as it processes each time step sequentially and explicitly learns dynamic dependencies. The paper also explores the…

Automating the customer analytics process is crucial for companies that manage distinct customer bases. In such data-rich and dynamic environments, visualization plays a key role in understanding events of interest. These ideas have led to…

State-space models have been successfully used for more than fifty years in different areas of science and engineering. We present a procedure for efficient variational Bayesian learning of nonlinear state-space models based on sparse…

Dynamic Linear Models (DLMs) are commonly employed for time series analysis due to their versatile structure, simple recursive updating, ability to handle missing data, and probabilistic forecasting. However, the options for count time…

This work considers estimation and forecasting in a multivariate, possibly high-dimensional count time series model constructed from a transformation of a latent Gaussian dynamic factor series. The estimation of the latent model parameters…

Graphical Transformation Models (GTMs) are introduced as a novel approach to effectively model multivariate data with intricate marginals and complex dependency structures semiparametrically, while maintaining interpretability through the…

In this article, it is described how to use statistical data analysis to obtain models directly from data. The focus is put on finding nonlinearities within a generalized additive model. These models are found by the means of backfitting…

We study a nonminimal derivative inflationary model in the presence of the Gauss-Bonnet term. To have a complete treatment of the model, we consider a general form of the nonminimal derivative function and also the Gauss-Bonnet coupling…