Related papers: Autoregressive Kernels For Time Series

We consider the estimation of the transition matrix in the high-dimensional time-varying vector autoregression (TV-VAR) models. Our model builds on a general class of locally stationary VAR processes that evolve smoothly in time. We propose…

In finance, economics and many other fields, observations in a matrix form are often generated over time. For example, a set of key economic indicators are regularly reported in different countries every quarter. The observations at each…

Gaussian processes (GPs) produce good probabilistic models of functions, but most GP kernels require $O((n+m)n^2)$ time, where $n$ is the number of data points and $m$ the number of predictive locations. We present a new kernel that allows…

Analysis of multivariate time series is a common problem in areas like finance and economics. The classical tool for this purpose are vector autoregressive models. These however are limited to the modeling of linear and symmetric…

A class of multivariate periodic autoregressive models is proposed where coupling between time series is achieved through linear mean functions. Various response distributions with quadratic mean-variance relationships fit into the…

Recent results in coupled or temporal graphical models offer schemes for estimating the relationship structure between features when the data come from related (but distinct) longitudinal sources. A novel application of these ideas is for…

Existing models for high-dimensional time series are overwhelmingly developed within the finite-order vector autoregressive (VAR) framework. However, the more flexible vector autoregressive moving averages (VARMA) have been much less…

We consider the prediction problem of a continuous-time stochastic process on an entire time-interval in terms of its recent past. The approach we adopt is based on functional kernel nonparametric regression estimation techniques where…

We are concerned with nonparametric hypothesis testing of time series functionals. It is known that the popular autoregressive sieve bootstrap is, in general, not valid for statistics whose (asymptotic) distribution depends on moments of…

We present the R-package mgm for the estimation of k-order Mixed Graphical Models (MGMs) and mixed Vector Autoregressive (mVAR) models in high-dimensional data. These are a useful extensions of graphical models for only one variable type,…

We study the problem of learning the support of transition matrix between random processes in a Vector Autoregressive (VAR) model from samples when a subset of the processes are latent. It is well known that ignoring the effect of the…

We propose a factor network autoregressive (FNAR) model for time series with complex network structures. The coefficients of the model reflect many different types of connections between economic agents ("multilayer network"), which are…

We propose Significance-Offset Convolutional Neural Network, a deep convolutional network architecture for regression of multivariate asynchronous time series. The model is inspired by standard autoregressive (AR) models and gating…

We present in this work a new family of kernels to compare positive measures on arbitrary spaces $\Xcal$ endowed with a positive kernel $\kappa$, which translates naturally into kernels between histograms or clouds of points. We first cover…

We study the problem of automatically discovering Granger causal relations from observational multivariate time-series data.Vector autoregressive (VAR) models have been time-tested for this problem, including Bayesian variants and more…

Structural equation models (SEMs) and vector autoregressive models (VARMs) are two broad families of approaches that have been shown useful in effective brain connectivity studies. While VARMs postulate that a given region of interest in…

This paper considers a time-varying vector error-correction model that allows for different time series behaviours (e.g., unit-root and locally stationary processes) to interact with each other to co-exist. From practical perspectives, this…

The autoregressive moving average (ARMA) model is a classical, and arguably one of the most studied approaches to model time series data. It has compelling theoretical properties and is widely used among practitioners. More recent deep…

Generative models for multivariate time series are essential for data augmentation, simulation, and privacy preservation, yet current state-of-the-art diffusion-based approaches are slow and limited to fixed-length windows. We propose…

Vector AutoRegressive Moving Average (VARMA) models form a powerful and general model class for analyzing dynamics among multiple time series. While VARMA models encompass the Vector AutoRegressive (VAR) models, their popularity in…