相关论文: Novel Models for Multiple Dependent Heteroskedasti…

Count time series data are frequently analyzed by modeling their conditional means and the conditional variance is often considered to be a deterministic function of the corresponding conditional mean and is not typically modeled…

Multivariate time-series forecasting holds immense value across diverse applications, requiring methods to effectively capture complex temporal and inter-variable dynamics. A key challenge lies in uncovering the intrinsic patterns that…

The HGARCH model allows long-memory impact in volatilities. A new HGARCH model with time-varying amplitude is considered in this paper. We show the stability of the model as well. A score test is introduced to check the time-varying…

In the last two decades, functional magnetic resonance imaging (fMRI) has emerged as one of the most effective technologies in clinical research of the human brain. fMRI allows researchers to study healthy and pathological brains while they…

Resting-state functional MRI (rs-fMRI) is a rich imaging modality that captures spontaneous brain activity patterns, revealing clues about the connectomic organization of the human brain. While many rs-fMRI studies have focused on static…

Generalized autoregressive conditional heteroscedasticity (GARCH) models have long been considered as one of the most successful families of approaches for volatility modeling in financial return series. In this paper, we propose an…

A network-based approach is presented to investigate the cerebrovascular flow patterns during atrial fibrillation (AF) with respect to normal sinus rhythm (NSR). AF, the most common cardiac arrhythmia with faster and irregular beating, has…

This technical note presents a framework for investigating the underlying mechanisms of neurovascular coupling in the human brain using multi-modal magnetoencephalography (MEG) and functional magnetic resonance (fMRI) neuroimaging data.…

Multi-subject fMRI data analysis is an interesting and challenging problem in human brain decoding studies. The inherent anatomical and functional variability across subjects make it necessary to do both anatomical and functional alignment…

In time-series analyses, particularly for finance, generalized autoregressive conditional heteroscedasticity (GARCH) models are widely applied statistical tools for modelling volatility clusters (i.e., periods of increased or decreased…

Electronic health record (EHR) data is sparse and irregular as it is recorded at irregular time intervals, and different clinical variables are measured at each observation point. In this work, we propose a multi-view features integration…

Monitoring complex systems results in massive multivariate time series data, and anomaly detection of these data is very important to maintain the normal operation of the systems. Despite the recent emergence of a large number of anomaly…

In this paper, we show that the recent integration of statistical models with deep recurrent neural networks provides a new way of formulating volatility (the degree of variation of time series) models that have been widely used in time…

Functional magnetic resonance imaging (fMRI) time series data presents a unique opportunity to understand the behavior of temporal brain connectivity, and models that uncover the complex dynamic workings of this organ are of keen interest…

Functional magnetic resonance imaging (fMRI) data contain complex spatiotemporal dynamics, thus researchers have developed approaches that reduce the dimensionality of the signal while extracting relevant and interpretable dynamics. Models…

This work introduces a novel framework for dynamic factor model-based group-level analysis of multiple subjects time series data, called GRoup Integrative DYnamic factor (GRIDY) models. The framework identifies and characterizes…

Functional connectivity (FC) analysis of resting-state fMRI data provides a framework for characterizing brain networks and their association with participant-level covariates. Due to the high dimensionality of neuroimaging data, standard…

We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two…

We propose Neural GARCH, a class of methods to model conditional heteroskedasticity in financial time series. Neural GARCH is a neural network adaptation of the GARCH 1,1 model in the univariate case, and the diagonal BEKK 1,1 model in the…

Approximately 10% of newborns require assistance to initiate breathing at birth, and around 5% need ventilation support. Fetal heart rate (FHR) monitoring plays a crucial role in assessing fetal well-being during prenatal care, enabling the…