Dynamic Financial Index Models: Modeling Conditional Dependencies via Graphs

Semiparametric Estimation of Conditional Heteroscedasticity via Single-index Modeling.

We consider a single-index structure to study heteroscedasticity in regression with high-dimensional predictors. A general class of estimating equations is introduced, the resulting estimators remain consistent even when the structure of the variance function is misspecified. The proposed estimators also possess an adaptive property in an asymptotic sense. That is, they estimate the conditional...

Modeling Cancer Progression via Pathway Dependencies

Cancer is a heterogeneous disease often requiring a complexity of alterations to drive a normal cell to a malignancy and ultimately to a metastatic state. Certain genetic perturbations have been implicated for initiation and progression. However, to a great extent, underlying mechanisms often remain elusive. These genetic perturbations are most likely reflected by the altered expression of sets...

Conditional Independence Models via Filtrations

We formulate a novel approach to infer conditional independence models or Markov structure of a multivariate distribution. Specifically, our objective is to place informative prior distributions over decomposable graphs and sample efficiently from the induced posterior distribution. The key idea we develop in this paper is a parametrization of decomposable hypergraphs using the geometry of poin...

Conditional Differential Dependencies (CDDs)

Dynamic Financial Modeling- Issues and Approaches

291 Dynamic Financial Modeling-Issues and Approaches Daykin, Pentikainen, and Pesonen (as well as other authors) have described the elements that can comprise a dynamic financial model of a property/casualty insurer and have discussed options for several important elements where different approaches are reasonable. This paper further describes the issues which arise in designing and implementin...