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Volatility analysis plays a major role in finance and economics. It is the key input for many financial topics including risk management, option and derivative pricing. One pressing computational hurdle in high frequency financial statistics is the tremendous amount of data and the optimization procedures that require computing power beyond the currently available desktop systems. In this article,...
In this paper, we present a method to dynamically predict the failure of physiological subsystems from patients admitted to the Intensive Care Unit (ICU) using heterogeneous data. We model the probability of failure in each subsystem as a latent state that evolves over time. We propose a method using Generalized Linear Dynamic models to model this latent state which is updated each time new patient...
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