This paper derives some exact finite sample distributions and characterizes the tail behavior of maximum likelihood estimators of the cointegrating coefficients in error correction models. It is shown that the reduced rank regression estimator has a distribution with Cauchy-like tails and no...

We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a conditional matrix Langevin distribution. The latent states correspond to time-varying reduced rank parameter matrices, like the loadings in dynamic factor models and the...

We develop novel multivariate state-space models wherein the latent states evolve on the Stiefel manifold and follow a conditional matrix Langevin distribution. The latent states correspond to time-varying reduced rank parameter matrices, like the loadings in dynamic factor models and the...

Convex optimization methods are used for many machine learning models such as support vector machine. However, the requirement of a convex formulation can place limitations on machine learning models. In recent years, a number of machine learning methods not requiring convexity have emerged. In...

In this article a method for joint estimation of the number of stochastic trends and the deterministic processes in a multivariate error correction model is presented. This approach takes advantage of the Laplace method of approximating integrals and, the second important contribution of the...

In this paper we present the Bayesian model selection procedure within the class of cointegrated processes. In order to make inference about the cointegration space we use the class of Matrix Angular Central Gaussian distributions. To carry out posterior simulations we use an alorithm based on...

Advances in data collection and storage have tremendously increased the presence of functional data, whose graphical representations are curves, images or shapes. As a new area of Statistics, functional data analysis extends existing methodologies and theories from the fields of functional...

In this note, we shall consider the existence of invariant measures for a class of infinite dimensional stochastic functional differential equations with delay whose driving semigroup is eventually norm continuous. The results obtained are applied to stochastic heat equations with distributed...