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Random variables in metric spaces indexed by time and observed at equally spaced time points are receiving increased attention due to their broad applicability. The absence of inherent structure in metric spaces has resulted in a literature…

An extensible statistical framework for detecting anomalous time series including those with heavy-tailed distributions and non-stationarity in higher-order moments is introduced based on penalized likelihood distributional regression.…

The AutoRegressive Conditional Heteroskedasticity (ARCH) and its generalized version (GARCH) family of models have grown to encompass a wide range of specifications, each of them is designed to enhance the ability of the model to capture…

Spatial statistics is a growing discipline providing important analytical techniques in a wide range of disciplines in the natural and social sciences. In the R package GWmodel, we introduce techniques from a particular branch of spatial…

A standard model of (conditional) heteroscedasticity, i.e., the phenomenon that the variance of a process changes over time, is the Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) model, which is especially important for…

Conventional wisdom suggests that autoregressive models are used to process discrete data. When applied to continuous modalities such as visual data, Visual AutoRegressive modeling (VAR) typically resorts to quantization-based approaches to…

Bayesian Additive Regression Trees (BART) are a powerful ensemble learning technique for modeling nonlinear regression functions. Although initially BART was proposed for predicting only continuous and binary response variables, over the…

In this article there is no intention to repeat basic concepts about risk management, but we will try to define why often is usefull the time series analysis during the assessment of risks, and how is possible to compute a significative…

Time series data are ubiquitous nowadays. Whereas most of the literature on the topic deals with real-valued time series, categorical time series have received much less attention. However, the development of data mining techniques for this…

We clarify relationships between conditional (CAR) and simultaneous (SAR) autoregressive models. We review the literature on this topic and find that it is mostly incomplete. Our main result is that a SAR model can be written as a unique…

We propose in this work a new family of kernels for variable-length time series. Our work builds upon the vector autoregressive (VAR) model for multivariate stochastic processes: given a multivariate time series x, we consider the…

This document describes an infra-structure provided by the R package performanceEstimation that allows to estimate the predictive performance of different approaches (workflows) to predictive tasks. The infra-structure is generic in the…

An algorithm based on Renormalization Group (RG) to analyze time series forecasting was proposed in cond-mat/0110285. In this paper we explicitly code and test it. We choose in particular some financial time series (stocks, indexes and…

We introduce the concept of programmable feature engineering for time series modeling and propose a feature programming framework. This framework generates large amounts of predictive features for noisy multivariate time series while…

Bayesian methods and their implementations by means of sophisticated Monte Carlo techniques, such as Markov chain Monte Carlo (MCMC) and particle filters, have become very popular in signal processing over the last years. However, in many…

This paper presents the generalized spatial autoregression (GSAR) model, a significant advance in spatial econometrics for non-normal response variables belonging to the exponential family. The GSAR model extends the logistic SAR, probit…

The main goal of this paper is an application of Bayesian model comparison, based on the posterior probabilities and posterior odds ratios, in testing the explanatory power of the set of competing GARCH (ang. Generalised Autoregressive…

Retrieval-augmented generation (RAG) combines document retrieval with large language models to produce responses grounded in external evidence. While several R packages support core components of RAG workflows, integrated evaluation of RAG…

The R package walker extends standard Bayesian general linear models to the case where the effects of the explanatory variables can vary in time. This allows, for example, to model the effects of interventions such as changes in tax policy…

We introduce a performance-driven framework for constructing strictly causal forward-oriented observables in strongly non-stationary time series. The method combines a robustly normalized composite of heterogeneous indicators with a…