Automatic differentiation (AD) is a popular method of computing exact derivatives in complex sensitivity analyses and optimisation routines that lack closed-form solutions, posing challenges for analytical and numerical alternatives. This paper introduces a vectorised version of AD that builds...

The capture ratio is a widely-used investment performance measure. We study the statistical problem of estimating the capture ratio based on a finite number of observations of a fund's returns. We derive the asymptotic distribution of the estimator and use it for testing whether one fund has a...

This paper examines the econometric causal model for policy analysis developed by the seminal ideas of Ragnar Frisch and Trygve Haavelmo. We compare the econometric causal model with two popular causal frameworks: Neyman-Holland causal model and the do-calculus. The Neyman-Holland causal model...

Many researchers investigate the sharing economy effect using panel regressions that assume a constant coefficient over space and time, but without testing whether this is the case. Using the Airbnb data in Barron et al. (2021), we find that the logarithms of both predictor and response...

Distributed sensor networks with hundreds of antenna arrays are widely utilized for radar detection systems. When observations of network nodes are correlated, an optimal copula-based fusion (termed CBF) rule is designed for correlated binary decisions under the Neyman-Pearson (NP) framework....

In this work, we develop a multi-fidelity Bayesian experimental design framework to efficiently quantify the extreme-event statistics of an input-to-response (ItR) system with given input probability and expensive function evaluations. The key idea here is to leverage low-fidelity samples whose...

This paper proposes a novel event-based simulation model for assessing the explicit demand response potential of electric vehicle (EV) charging networks. The model utilizes multivariate copulas in generation of realistic artificial charging events that retain the complex dependency structures...

This paper studies how to construct and compare various optimal portfolio frame-works for investors in the context of the Vietnamese stock market. The aim of the study is to help investors to find solutions for constructing an optimal portfolio strategy using modern investment frameworks in the...

A new Archimedean copula family is presented that was derived from the SAHARA utility function introduced in the economic literature in 2011. Its properties are discussed, and its flexibility and versatility are demonstrated. It is left tail decreasing or right tail increasing, but unlike...