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stat.AP2026
Factor State Space Modelling of the Ornstein-Uhlenbeck Process with Measurement Error and its Application
Shanglun Li, Toby Kenney, Hong Gu
Standard Ornstein-Uhlenbeck (OU) models often yield biased parameter estimates when measurement error is ignored. While the Ornstein-Uhlenbeck State Space Model (OUSSM) addresses t…
stat.AP2022
Rank Selection for Non-negative Matrix Factorization
Yun Cai, Hong Gu, Toby Kenney
Non-Negative Matrix Factorization (NMF) is a widely used dimension reduction method that factorizes a non-negative data matrix into two lower dimensional non-negative matrices: One…