Related papers: Corrected portmanteau tests for VAR models with ti…

The generalized least square (GLS) is one of the most basic tools in regression analyses. A major issue in implementing the GLS is estimation of the conditional variance function of the error term, which typically requires a restrictive…

Quantile regression provides a consistent approach to investigating the association between covariates and various aspects of the distribution of the response beyond the mean. When the regression covariates are measured with errors,…

Direct sampling from a Slater determinant is combined with an autoregressive deep neural network as a Jastrow factor into a fully autoregressive Slater-Jastrow ansatz for variational quantum Monte Carlo, which allows for uncorrelated…

This paper presents a goal-oriented a posteriori error estimation framework for linear functionals in the stabilized finite element discretization of the stationary convection-diffusion-reaction (CDR) equation. The theoretical framework for…

We develop a class of tests for semiparametric vector autoregressive (VAR) models with unspecified innovation densities, based on the recent measure-transportation-based concepts of multivariate {\it center-outward ranks} and {\it signs}.…

Multicointegration is traditionally defined as a particular long run relationship among variables in a parametric vector autoregressive model that introduces additional cointegrating links between these variables and partial sums of the…

Causal inference in multivariate time series is challenging due to the fact that the sampling rate may not be as fast as the timescale of the causal interactions. In this context, we can view our observed series as a subsampled version of…

We develop a rotation-invariant neural network that provides the global minimum-variance portfolio by jointly learning how to lag-transform historical returns and marginal volatilities and how to regularise the eigenvalues of large equity…

We study the asymptotic properties of the adaptive Lasso in cointegration regressions in the case where all covariates are weakly exogenous. We assume the number of candidate I(1) variables is sub-linear with respect to the sample size (but…

This paper studies new tests for the number of latent factors in a large cross-sectional factor model with small time dimension. These tests are based on the eigenvalues of variance-covariance matrices of (possibly weighted) asset returns,…

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…

We propose a general adaptive LASSO method for a quantile regression model. Our method is very interesting when we know nothing about the first two moments of the model error. We first prove that the obtained estimators satisfy the oracle…

Test-Time Optimization enables models to adapt to new data during inference by updating parameters on-the-fly. Recent advances in Vision-Language Models (VLMs) have explored learning prompts at test time to improve performance in downstream…

The Lasso is a popular model selection and estimation procedure for linear models that enjoys nice theoretical properties. In this paper, we study the Lasso estimator for fitting autoregressive time series models. We adopt a double…

Concerning bivariate least squares linear regression, the classical approach pursued for functional models in earlier attempts is reviewed using a new formalism in terms of deviation (matrix) traces. Within the framework of classical error…

As autonomous systems increasingly rely on onboard sensing for localization and perception, the parallel tasks of motion planning and state estimation become more strongly coupled. This coupling is well-captured by augmenting the planning…

Visual autoregressive (VAR) models have recently emerged as a promising alternative for image generation, offering stable training, non-iterative inference, and high-fidelity synthesis through next-scale prediction. This encourages the…

Causal variable selection in time-varying treatment settings is challenging due to evolving confounding effects. Existing methods mainly focus on time-fixed exposures and are not directly applicable to time-varying scenarios. We propose a…

Shuffled linear regression (SLR) seeks to estimate latent features through a linear transformation, complicated by unknown permutations in the measurement dimensions. This problem extends traditional least-squares (LS) and Least Absolute…

We clarify relationships between conditional (CAR) and simultaneous (SAR) autoregressive models. We review the literature on this topic and find that it is mostly incomplete. Our main result is that a SAR model can be written as a unique…