Classical univariate and multivariate time series models have problems to deal with the high variability of hourly electricity spot prices. We propose to model alternatively the daily mean electricity supply functions using a dynamic factor model. And to derive, subsequently, the hourly...

Estimation of longitudinal models of relationship status between all pairs of individuals (dyads) in social networks is challenging due to the complex inter-dependencies among observations and lengthy computation times. To reduce the computational burden of model estimation, a method is...

We consider the problem of estimating parameters of stochastic differential equations (SDEs) with discrete-time observations that are either completely or partially observed. The transition density between two observations is generally unknown. We propose an importance sampling approach with an...