Powerful Backtests for Historical Simulation Expected Shortfall Models
Since 2016, the Basel Committee on Banking Supervision has regulated banks to switch from a Value-at-Risk (VaR) to an Expected Shortfall (ES) approach to measuring the market risk and calculating t…
Integrated Communications and Jamming : Toward Dual-Functional Wireless Netwo…
The multi-functional integrated systems have been emerging recently. This article proposes a generalized framework, named integrated communications and jamming (ICAJ), which has potential to enable…
Learning Human Activity Patterns Using Clustered Point Processes With Active …
Modeling event patterns is a central task in a wide range of disciplines. In applications such as studying human activity patterns, events often arrive clustered with sporadic and long periods of i…
Model-Based Microbiome Data Ordination : A Variational Approximation Approach
The coevolution between human and bacteria colonizing the human body has profound implications for heath and development, with a growing body of evidence linking the altered microbiome composition …
Graph-Assisted Inverse Regression for Count Data and Its Application to Seque…
Multivariate count data, such as sequencing reads in genomics, are often connected to a clinical phenotype of interest. We develop a flexible framework for dimension reduction in regression, with p…
Robust Inference for Nonstationary Time Series with Possibly Multiple Changin…
Motivated by two examples concerning global warming and monthly total import and export by China, we study time series that contain a nonparametric periodic component with an unknown period, a nonp…
Tipping Points in Seed Dispersal Mutualism Driven by Environmental Stochasticity
The mechanism of seed dispersal mutualism is fundamental to understanding vegetation diversity and its conservation. In this study, we propose a stochastic model that extends the classical framewor…
Structure Preserving Quaternion Biconjugate Gradient Method
This paper considers a novel structure-preserving method for solving non-Hermitian quaternion linear systems arising from color image deblurred problems. From the quaternion Lanczos biorthogonaliza…
A Zero-Inflated Logistic Normal Multinomial Model for Extracting Microbial Co…
High throughput sequencing data collected to study the microbiome provide information in the form of relative abundances and should be treated as compositions. Although many approaches including sc…
PinT Preconditioner for Forward-Backward Evolutionary Equations
Solving the linear system (KKT)-1b is often the major computational burden when a forward-backward evolutionary equation must be solved in a problem, where K is the so-called all-at-once matrix of …
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