fnets: An R Package for Network Estimation and Forecasting via Factor-Adjusted VAR Modelling

dom-owens-uob/fnets 27 Jan 2023

The package fnets for the R language implements the suite of methodologies proposed by Barigozzi et al. (2022) for the network estimation and forecasting of high-dimensional time series under a factor-adjusted vector autoregressive model, which permits strong spatial and temporal correlations in the data.

Computation 62-04

6
27 Jan 2023

Divide and Conquer Dynamic Programming: An Almost Linear Time Change Point Detection Methodology in High Dimensions

MountLee/DCDP 26 Jan 2023

In all three cases, we derive non-asymptotic bounds for the accuracy of the DCDP change point estimators.

Methodology

0
26 Jan 2023

Sequential Bayesian Learning for Hidden Semi-Markov Models

paschermayr/publish_sequentialhsmm 25 Jan 2023

In this paper, we explore the class of the Hidden Semi-Markov Model (HSMM), a flexible extension of the popular Hidden Markov Model (HMM) that allows the underlying stochastic process to be a semi-Markov chain.

Applications Econometrics Computation

0
25 Jan 2023

Think before you shrink: Alternatives to default shrinkage methods can improve prediction accuracy, calibration and coverage

markvdwiel/thinkbeforeshrink 24 Jan 2023

We show that usage of differential ridge penalties for covariate groups may enhance prediction accuracy, while calibration and coverage benefit from additional shrinkage of the penalties.

Methodology Applications

0
24 Jan 2023

A noisy-input generalised additive model for relative sea-level change along the Atlantic coast of North America

maeveupton/ni-gam 23 Jan 2023

We propose a Bayesian, noisy-input, spatial-temporal generalised additive model to examine regional relative sea-level (RSL) changes over time.

Applications Methodology

0
23 Jan 2023

Scalable Gaussian Process Inference with Stan

onnela-lab/gptools 21 Jan 2023

Gaussian processes (GPs) are sophisticated distributions to model functional data.

Methodology Computation

7
21 Jan 2023

Analysis of the 24-Hour Activity Cycle: An illustration examining the association with cognitive function in the Adult Changes in Thought (ACT) Study

yinxiangwu/24hac_illustrations 19 Jan 2023

The analytic results did not suggest that less time spent on SB and more in PA was associated with better cognitive function.

Applications

0
19 Jan 2023

Cross-validatory model selection for Bayesian autoregressions with exogenous regressors

kuperov/arx 19 Jan 2023

Existing large-sample results show that both specialized and generic methods are applicable to models of serially-dependent data.

Methodology

0
19 Jan 2023

Robust Chauvenet Rejection: Powerful, but Easy to Use Outlier Detection for Heavily Contaminated Data Sets

nickk124/RCR 19 Jan 2023

In Maples et al. (2018) we introduced Robust Chauvenet Outlier Rejection, or RCR, a novel outlier rejection technique that evolves Chauvenet's Criterion by sequentially applying different measures of central tendency and empirically determining the rejective sigma value.

Computation Instrumentation and Methods for Astrophysics

5
19 Jan 2023

Principal Stratification with Time-to-Event Outcomes

laubok/pstrata 18 Jan 2023

Principal stratification is a framework for causal inference in the presence of intercurrent events.

Methodology Applications

6
18 Jan 2023