Related papers: A Direct Estimation of High Dimensional Stationary…

While artificial neural networks excel in unsupervised learning of non-sparse structure, classical statistical regression techniques offer better interpretability, in particular when sparseness is enforced by $\ell_1$ regularization,…

In many problem settings, parameter vectors are not merely sparse but dependent in such a way that non-zero coefficients tend to cluster together. We refer to this form of dependency as "region sparsity." Classical sparse regression…

We consider estimation of covariance matrices and their inverses (a.k.a. precision matrices) for high-dimensional stationary and locally stationary time series. In the latter case the covariance matrices evolve smoothly in time, thus…

In this paper, two novel algorithms to estimate a Gaussian Vector Autoregressive (VAR) model from 1-bit measurements are introduced. They are based on the Yule-Walker scheme modified to account for quantisation. The scalar case has been…

In data science, vector autoregression (VAR) models are popular in modeling multivariate time series in the environmental sciences and other applications. However, these models are computationally complex with the number of parameters…

In the field of statistical learning and data analysis, estimating precision matrices (i.e., the inverse of covariance matrices) is a critical task, particularly for understanding dependency structures among variables. However, traditional…

It is more and more frequently the case in applications that the data we observe come from one or more random variables taking values in an infinite dimensional space, e.g. curves. The need to have tools adapted to the nature of these data…

Modern technological advances have enabled an unprecedented amount of structured data with complex temporal dependence, urging the need for new methods to efficiently model and forecast high-dimensional tensor-valued time series. This paper…

Identifying the topology underlying a set of time series is useful for tasks such as prediction, denoising, and data completion. Vector autoregressive (VAR) model-based topologies capture dependencies among time series and are often…

Visual Autoregressive (VAR) models have emerged as a powerful paradigm for image synthesis by performing hierarchical next-scale prediction. However, VAR models are inherently prone to cascading error propagation, where subtle coarse-scale…

Vector autoregressive (VAR) models assume linearity between the endogenous variables and their lags. This assumption might be overly restrictive and could have a deleterious impact on forecasting accuracy. As a solution, we propose…

The availability of data on economic uncertainty sparked a lot of interest in models that can timely quantify episodes of international spillovers of uncertainty. This challenging task involves trading off estimation accuracy for more…

Recent advances in video generation have been dominated by diffusion and flow-matching models, which produce high-quality results but remain computationally intensive and difficult to scale. In this work, we introduce VideoAR, the first…

High-dimensional time series data exist in numerous areas such as finance, genomics, healthcare, and neuroscience. An unavoidable aspect of all such datasets is missing data, and dealing with this issue has been an important focus in…

Recent research has focused on $\ell_1$ penalized least squares (Lasso) estimators for high-dimensional linear regressions in which the number of covariates $p$ is considerably larger than the sample size $n$. However, few studies have…

Time-varying parameter vector autoregression provides a flexible framework to capture structural changes within time series. However, when applied to high-dimensional data, this model encounters challenges of over-parametrization and…

The multiple-subject vector autoregression (multi-VAR) model captures heterogeneous network Granger causality across subjects by decomposing individual sparse VAR transition matrices into commonly shared and subject-unique paths. The model…

We develop a new methodology for forecasting matrix-valued time series with historical matrix data and auxiliary vector time series data. We focus on a time series of matrices defined on a static 2-D spatial grid and an auxiliary time…

Visual Autoregressive (VAR) modeling inefficiently applies a fixed computational depth to each position when generating high-resolution images. While existing methods accelerate inference by pruning tokens using frequency maps, their binary…

Visual Autoregressive (VAR) models have recently garnered significant attention for their innovative next-scale prediction paradigm, offering notable advantages in both inference efficiency and image quality compared to traditional…