5 papers
Using Perturbation to Improve Goodness-of-Fit Tests based on Kernelized Stein Discrepancy
Xing Liu, Andrew B. Duncan, Axel Gandy
Kernelized Stein discrepancy (KSD) is a score-based discrepancy widely used in goodness-of-fit tests. It can be applied even when the target distribution has an unknown normalising…
Age-stratified epidemic model using a latent marked Hawkes process
Stamatina Lamprinakou, Axel Gandy
We extend the unstructured homogeneously mixing epidemic model introduced by Lamprinakou et al. [arXiv:2208.07340] considering a finite population stratified by age bands. We model…
Can a latent Hawkes process be used for epidemiological modelling?
Stamatina Lamprinakou, Axel Gandy, Emma McCoy
Understanding the spread of COVID-19 has been the subject of numerous studies, highlighting the significance of reliable epidemic models. Here, we introduce a novel epidemic model…
A Lévy-driven rainfall model with applications to futures pricing
Ragnhild C. Noven, Almut E. D. Veraart, Axel Gandy
We propose a parsimonious stochastic model for characterising the distributional and temporal properties of rainfall. The model is based on an integrated Ornstein-Uhlenbeck process…
Optimality of Non-Restarting CUSUM charts
F. Din-Houn Lau, Axel Gandy
We show optimality, in a well-defined sense, using cumulative sum (CUSUM) charts for detecting changes in distributions. We consider a setting with multiple changes between two kno…