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Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Estimating Time-Varying Networks for High-Dimensional Time Series
高维 时间序列 时变网络
2023/4/25
We explore time-varying networks for high-dimensional locally stationary time series, using the large VAR model framework with both the transition and (error) precision matrices evolving smoothly over...
Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data
噪声 异步高频 数据估算 因子 现货波动率 矩阵
2023/5/4
With noisy and asynchronous high-frequency data collected for an ultra-large number of assets, we estimate high-dimensional spot volatility matrices satisfying a low-rank plus sparse structure. A loca...
The state of a collection of phase-locked oscillators is determined by a single phase variable or cyclic
coordinate. This paper presents a computational method, Phaser, for estimating the phase of ph...
ASYMPTOTIC EQUIVALENCE OF ESTIMATING A POISSON INTENSITY AND A POSITIVE DIFFUSION DRIFT
ASYMPTOTIC EQUIVALENCE ESTIMATING A POISSON INTENSITY POSITIVE DIFFUSION DRIFT
2015/8/25
We consider a diffusion model of small variance type with positive drift density varying in a nonparametric set. We investigate Gaussian and Poisson approximations to this model in the sense of asympt...
Estimating Random Variables from Random Sparse Observations
Discrete random variable random function decoupling principle
2015/8/21
Let X1, . . . ,Xn be a collection of iid discrete random variables, and Y1, . . . , Ym a set of noisy observations of such variables. Assume each observation Ya to be a random function of some a rando...
ESTIMATING AND UNDERSTANDING EXPONENTIAL RANDOM GRAPH MODELS
Assessment understanding index random graph model
2015/7/7
ESTIMATING AND UNDERSTANDING EXPONENTIAL RANDOM GRAPH MODELS。
Bayesian Estimating Equation Based on Hilbert Space Method
Bayesian Estimating Equation Hilbert Space Method
2015/3/20
Bayesian Estimating Equation Based on Hilbert Space Method.
Bayesian Estimating Equation Based on Hilbert Space
Bayesian inference Hilbert space method
2015/3/18
This paper introduces and investigates the validity of Bayesian estimating equation derived from the Hilbert space method. A validity for Hilbertbased Bayesian estimating function is established via t...
Estimating the historical and future probabilities of large terrorist events
Estimating the historical future probabilities large terrorist events
2012/11/23
Quantities with right-skewed distributions are ubiquitous in complex social systems, including political conflict, economics and social networks, and these systems sometimes produce extremely large ev...
Estimating Hidden Population Size using Respondent-Driven Sampling Data
Respondent-Driven Sampling Data Estimating Hidden Population Size
2012/11/23
Respondent-Driven Sampling (RDS) is an approach to sampling design and inference in hard-to-reach human populations. Typically, a sampling frame is not available, and population members are difficult ...
Estimating Player Contribution in Hockey with Regularized Logistic Regression
Logistic Regression Regularization Lasso Bayesian Shrinkage Sports Analytics
2012/11/23
We present a regularized logistic regression model for evaluating player contributions in hockey. The traditional metric for this purpose is the plus-minus statistic, which allocates a single unit of ...
Estimating a Signal from a Magnitude Spectrogram via Convex Optimization
Estimating a Signal Magnitude Spectrogram Convex Optimization
2012/11/22
The problem of recovering a signal from the magnitude of its short-time Fourier transform (STFT) is a longstanding one in audio signal processing. Existing approaches rely on heuristics that often per...
Estimating Extremal Dependence in Univariate and Multivariate Time Series via the Extremogram
Extremogram extremal dependence stationary bootstrap financial time series
2011/10/9
Abstract: Davis and Mikosch [7] introduced the extremogram as a flexible quantitative tool for measuring various types of extremal dependence in a stationary time series. There we showed some standard...
Estimating Failure Probabilities
asymptotic normality exceedance probability failure set homogeneity multivariate extremes
2011/9/29
Abstract: In risk management often the probability must be estimated that a random vector falls into an extreme failure set. In the framework of bivariate extreme value theory, we construct an estimat...
Bounding and estimating an exceedance probability in output from monotonous computer codes
Exceedance probability Computer code Input uncertainty
2011/1/18
This article deals with the estimation of a probability pf of an undesirable event. Its occurence is formalized by the exceedance of a threshold reliability value by the unidimensional output of a com...