Related papers: VARX-L: Structured Regularization for Large Vector…
High-dimensional vector autoregressive (VAR) models provide a flexible framework for characterizing dynamic dependence in multivariate spatio-temporal systems, but their unrestricted estimation becomes infeasible when multiple variables are…
While seasonality inherent to raw macroeconomic data is commonly removed by seasonal adjustment techniques before it is used for structural inference, this may distort valuable information in the data. As an alternative method to commonly…
As a special infinite-order vector autoregressive (VAR) model, the vector autoregressive moving average (VARMA) model can capture much richer temporal patterns than the widely used finite-order VAR model. However, its practicality has long…
With uncertain changes of the economic environment, macroeconomic downturns during recessions and crises can hardly be explained by a Gaussian structural shock. There is evidence that the distribution of macroeconomic variables is skewed…
Jointly modeling and forecasting economic and financial variables across a large set of countries has long been a significant challenge. Two primary approaches have been utilized to address this issue: the vector autoregressive model with…
The vector autoregression (VAR) has been widely used in system identification, econometrics, natural science, and many other areas. However, when the state dimension becomes large the parameter dimension explodes. So rank reduced modelling…
We propose a novel variational Bayes approach to estimate high-dimensional vector autoregression (VAR) models with hierarchical shrinkage priors. Our approach does not rely on a conventional structural VAR representation of the parameter…
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…
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…
Under a high-dimensional vector autoregressive (VAR) model, we propose a way of efficiently estimating both the stationary graph structure between the nodal time series and their temporal dynamics. The framework is then used to make…
The vector autoregressive (VAR) model has been widely used for modeling temporal dependence in a multivariate time series. For large (and even moderate) dimensions, the number of AR coefficients can be prohibitively large, resulting in…
Complex systems, such as brains, markets, and societies, exhibit internal dynamics influenced by external factors. Disentangling delayed external effects from internal dynamics within these systems is often challenging. We propose using a…
High dimensional Vector Autoregressions (VAR) have received a lot of interest recently due to novel applications in health, engineering, finance and the social sciences. Three issues arise when analyzing VAR's: (a) The high dimensional…
While considerable advances have been made in estimating high-dimensional structured models from independent data using Lasso-type models, limited progress has been made for settings when the samples are dependent. We consider estimating…
We discuss the issue of estimating large-scale vector autoregressive (VAR) models with stochastic volatility in real-time situations where data are sampled at different frequencies. In the case of a large VAR with stochastic volatility, the…
High-dimensional vector autoregressive (VAR) models have numerous applications in fields such as econometrics, biology, climatology, among others. While prior research has mainly focused on linear VAR models, these approaches can be…
How best to model structurally heterogeneous processes is a foundational question in the social, health and behavioral sciences. Recently, Fisher et al., (2022) introduced the multi-VAR approach for simultaneously estimating…
One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the…
We propose a vector auto-regressive (VAR) model with a low-rank constraint on the transition matrix. This new model is well suited to predict high-dimensional series that are highly correlated, or that are driven by a small number of hidden…
Structural vector autoregressive (SVAR) models are widely used to analyze the simultaneous relationships between multiple time-dependent data. Various statistical inference methods have been studied to overcome the identification problems…