In this work, we propose to define Gaussian Processes indexed by multidimensional distributions. In the framework where the distributions can be modeled as i.i.d realizations of a measure on the set of distributions, we prove that the kernel defined as the quadratic distance between the...

IV regression in the context of a re-sampling is considered in the work. Comparatively, the contribution in the development is a structural identication in the IV model. The work also contains a multiplier-bootstrap justication.

In this paper, we study the latent group structure in cryptocurrencies market by forming a dynamic return inferred network with coin attributions. We develop a dynamic covariate-assisted spectral clustering method to detect the communities in dynamic network framework and prove its uniform...

Cryptocurrencies are becoming an attractive asset class and are the focus of recent quantitative research. The joint dynamics of the cryptocurrency market yields information on network risk. Utilizing the adaptive LASSO approach, we build a dynamic network of cryptocurrencies and model the...