Related papers: Estimation of Causal Invertible VARMA Models

Vector autoregressive (VAR) models are widely used in practical studies, e.g., forecasting, modelling policy transmission mechanism, and measuring connection of economic agents. To better capture the dynamics, this paper introduces a new…

This paper is about vector autoregressive-moving average (VARMA) models with time-dependent coefficients to represent non-stationary time series. Contrarily to other papers in the univariate case, the coefficients depend on time but not on…

A novel first-order moving-average model for analyzing time series observed at irregularly spaced intervals is introduced. Two definitions are presented, which are equivalent under Gaussianity. The first one relies on normally distributed…

Time series of individual subjects have become a common data type in psychological research. These data allow one to estimate models of within-subject dynamics, and thereby avoid the notorious problem of making within-subjects inferences…

This article proposes novel estimation methods for the Matrix Autoregressive (MAR) model, specifically adaptations of the Yule-Walker equations and Burg's method, addressing limitations in existing techniques. The MAR model, by maintaining…

Causal inference is known to be very challenging when only observational data are available. Randomized experiments are often costly and impractical and in instrumental variable regression the number of instruments has to exceed the number…

Max-stable processes provide natural models for the modelling of spatial extreme values observed at a set of spatial sites. Full likelihood inference for max-stable data is, however, complicated by the form of the likelihood function as it…

Preserving stability is a central problem in data-driven model order reduction of dynamical systems. For linear systems whose dynamics depend on geometric or physical parameters, multivariate rational approximation algorithms such as the…

Autoregressive moving average (ARMA) models are widely used for analyzing time series data. However, standard likelihood-based inference methodology for ARMA models has avoidable limitations. We show that currently accepted standards for…

When dealing with time series data, causal inference methods often employ structural vector autoregressive (SVAR) processes to model time-evolving random systems. In this work, we rephrase recursive SVAR processes with possible latent…

The vector autoregressive (VAR) model has been used to describe the dependence within and across multiple time series. This is a model for stationary time series which can be extended to allow the presence of a deterministic trend in each…

Stationarity is a very common assumption in time series analysis. A vector autoregressive process is stationary if and only if the roots of its characteristic equation lie outside the unit circle, constraining the autoregressive coefficient…

We introduce CausalMamba, a scalable framework that addresses fundamental limitations in fMRI-based causal inference: the ill-posed nature of inferring neural causality from hemodynamically distorted BOLD signals and the computational…

Hierarchical models with gamma hyperpriors provide a flexible, sparse-promoting framework to bridge $L^1$ and $L^2$ regularizations in Bayesian formulations to inverse problems. Despite the Bayesian motivation for these models, existing…

In this paper, we focus on estimating the causal effect of an intervention over time on a dynamical system. To that end, we formally define causal interventions and their effects over time on discrete-time stochastic processes (DSPs). Then,…

Causal reasoning has gained great attention over the last half century as it allows (or at least intends) to answer questions which go above those within the capabilities of classical inferential statistics using just observational data. So…

The present paper, characterizes the invertibility and causality conditions of a periodic ARFIMA (PARFIMA) models. We first, discuss the conditions in the multivariate case, by considering the corresponding p-variate stationary ARFIMA…

Structural causal models are the basic modelling unit in Pearl's causal theory; in principle they allow us to solve counterfactuals, which are at the top rung of the ladder of causation. But they often contain latent variables that limit…

The shocks which hit macroeconomic models such as Vector Autoregressions (VARs) have the potential to be non-Gaussian, exhibiting asymmetries and fat tails. This consideration motivates the VAR developed in this paper which uses a Dirichlet…

The spatio-temporal autoregressive moving average (STARMA) model is frequently used in several studies of multivariate time series data, where the assumption of stationarity is important, but it is not always guaranteed in practice. One way…