Related papers: Forecastable Component Analysis (ForeCA)
A significantly low cost and tractable progressive learning approach is proposed and discussed for efficient spatiotemporal monitoring of a completely unknown, two dimensional correlated signal distribution in localized wireless sensor…
The R package BigVAR allows for the simultaneous estimation of high-dimensional time series by applying structured penalties to the conventional vector autoregression (VAR) and vector autoregression with exogenous variables (VARX)…
Conformal prediction is a powerful post-hoc framework for uncertainty quantification that provides distribution-free coverage guarantees. However, these guarantees crucially rely on the assumption of exchangeability. This assumption is…
We consider an online version of the robust Principle Component Analysis (PCA), which arises naturally in time-varying source separations such as video foreground-background separation. This paper proposes a compressive online robust PCA…
Principal Component Analysis (PCA) is a foundational technique in machine learning for dimensionality reduction of high-dimensional datasets. However, PCA could lead to biased outcomes that disadvantage certain subgroups of the underlying…
We study semiparametric factor models in high-dimensional panels where the factor loadings consist of a nonparametric component explained by observed covariates and an idiosyncratic component capturing unobserved heterogeneity. A key…
Connected component analysis (CCA) has been heavily used to label binary images and classify segments. However, it has not been well-exploited to segment multi-valued natural images. This work proposes a novel multi-value segmentation…
This paper proposes a novel diffusion-index model for forecasting when predictors are high-dimensional matrix-valued time series. We apply an $\alpha$-PCA method to extract low-dimensional matrix factors and build a bilinear regression…
Univariate time series often take the form of a collection of curves observed sequentially over time. Examples of these include hourly ground-level ozone concentration curves. These curves can be viewed as a time series of functions…
Given a matrix of observed data, Principal Components Analysis (PCA) computes a small number of orthogonal directions that contain most of its variability. Provably accurate solutions for PCA have been in use for a long time. However, to…
Given a matrix of observed data, Principal Components Analysis (PCA) computes a small number of orthogonal directions that contain most of its variability. Provably accurate solutions for PCA have been in use for a long time. However, to…
This article establishes a new and comprehensive estimation and inference theory for principal component analysis (PCA) under the weak factor model that allow for cross-sectional dependent idiosyncratic components under the nearly minimal…
Principal Component Analysis (PCA) is one of the most important methods to handle high dimensional data. However, most of the studies on PCA aim to minimize the loss after projection, which usually measures the Euclidean distance, though in…
Low-rank adaptation (LoRA) has become a prevalent method for adapting pre-trained large language models to downstream tasks. However, the simple low-rank decomposition form may constrain the hypothesis space. To address this limitation, we…
We define one-sided dynamic principal components (ODPC) for time series as linear combinations of the present and past values of the series that minimize the reconstruction mean squared error. Previous definitions of dynamic principal…
Non-Gaussian component analysis (NGCA) is an unsupervised linear dimension reduction method that extracts low-dimensional non-Gaussian "signals" from high-dimensional data contaminated with Gaussian noise. NGCA can be regarded as a…
With their ability to handle an increased amount of information, multivariate and multichannel signals can be used to solve problems normally not solvable with signals obtained from a single source. One such problem is the decomposition…
Time evolving surfaces can be modeled as two-dimensional Functional time series, exploiting the tools of Functional data analysis. Leveraging this approach, a forecasting framework for such complex data is developed. The main focus revolves…
We propose a novel approximate factor model tailored for analyzing time-dependent curve data. Our model decomposes such data into two distinct components: a low-dimensional predictable factor component and an unpredictable error term. These…
Predictable Feature Analysis (PFA) (Richthofer, Wiskott, ICMLA 2015) is an algorithm that performs dimensionality reduction on high dimensional input signal. It extracts those subsignals that are most predictable according to a certain…