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压缩贝叶斯张量回归AI 解读

To address the common problem of high dimensionality in tensor regressions, we introduce a generalized tensor random projection method that embeds high-dimensional tensor-valued covariates into low-dimensional subspaces with minimal loss of information about the responses. The method is flexible, allowing for tensor-wise, mode-wise, or combined random projections as special cases. A Bayesian inference framework is provided featuring the use of a hierarchical prior…

ARCH-m(X) 模型的非参数检验与变量选择AI 解读

We introduce the ARCH-m(X) model, a semiparametric extension of the ARCH-X framework in which the effect of a multivariate exogenous covariate vector X on the conditional variance is modeled through an unknown nonparametric function m(), accommodating complex nonlinear relationships between external predictors and financial volatility. Within this model, we develop a novel hypothesis test for the significance of covariates constructed with an artificial one-way ANOVA. Under…