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Inference on high-dimensional parameters in structured linear models is an important statistical problem. This paper focuses on the case of a piecewise polynomial Gaussian sequence model, and we develop a new empirical Bayes solution that…
A reciprocal LASSO (rLASSO) regularization employs a decreasing penalty function as opposed to conventional penalization approaches that use increasing penalties on the coefficients, leading to stronger parsimony and superior model…
Recently the field of inverse problems has seen a growing usage of mathematically only partially understood learned and non-learned priors. Based on first principles, we develop a projectional approach to inverse problems that addresses the…
Motivated by the modeling of liquidity risk in fund management in a dynamic setting, we propose and investigate a class of time series models with generalized Pareto marginals: the autoregressive generalized Pareto process (ARGP), a…
We extend the principal component analysis (PCA) to second-order stationary vector time series in the sense that we seek for a contemporaneous linear transformation for a $p$-variate time series such that the transformed series is segmented…
In this paper, we present a robust adaptive model predictive control (MPC) scheme for linear systems subject to parametric uncertainty and additive disturbances. The proposed approach provides a computationally efficient formulation with…
This paper studies the model selection problem in a large class of causal time series models, which includes both the ARMA or AR($\infty$) processes, as well as the GARCH or ARCH($\infty$), APARCH, ARMA-GARCH and many others processes. We…
We present Causal Posterior Estimation (CPE), a novel method for Bayesian inference in simulator models, i.e., models where the evaluation of the likelihood function is intractable or too computationally expensive, but where one can…
Reversible computing is a new paradigm that has emerged recently and extends the traditional forwards-only computing mode with the ability to execute in backwards, so that computation can run in reverse as easily as in forward. Two…
In a previous paper, a process algebra based on ACP (Algebra of Communicating Processes) was proposed in which processes involving data can be handled by means of features originating from imperative programming. In this paper, an extension…
The paper examines the problem of representing the dynamics of low order autoregressive (AR) models with time varying (TV) coefficients. The existing literature computes the forecasts of the series from a recursion relation. Instead, we…
Stationary processes have been extensively studied in the literature. Their applications include modeling and forecasting numerous real life phenomena such as natural disasters, sales and market movements. When stationary processes are…
We introduce a dynamic model for complexity control (CC) between systems, represented by time series characterized by different temporal complexity measures, as indicated by their respective inverse power law (IPL) indices. Given the…
In this study, we present a novel constraint-based algorithm for causal structure learning specifically designed for nonlinear autoregressive time series. Our algorithm significantly reduces computational complexity compared to existing…
Algorithmic Recourse (AR) is the problem of computing a sequence of actions that -- once performed by a user -- overturns an undesirable machine decision. It is paramount that the sequence of actions does not require too much effort for…
INteger Auto-Regressive (INAR) processes are usually defined by specifying the innovations and the operator, which often leads to difficulties in deriving marginal properties of the process. In many practical situations, a major modeling…
Backpropagation has rapidly become the workhorse credit assignment algorithm for modern deep learning methods. Recently, modified forms of predictive coding (PC), an algorithm with origins in computational neuroscience, have been shown to…
PAC-Bayesian analysis is a frequentist framework for incorporating prior knowledge into learning. It was inspired by Bayesian learning, which allows sequential data processing and naturally turns posteriors from one processing step into…
We tackle the problem of building adaptive estimation procedures for ill-posed inverse problems. For general regularization methods depending on tuning parameters, we construct a penalized method that selects the optimal smoothing sequence…
Autoregressive (AR) models remain widely used in time series analysis due to their interpretability, but convencional parameter estimation methods can be computationally expensive and prone to convergence issues. This paper proposes a…