Related papers: Identifiability and Estimation of Structural Vecto…

Vector autoregressive (VAR) models are widely used for causal discovery and forecasting in multivariate time series analysis. In the high-dimensional setting, which is increasingly common in fields such as neuroscience and econometrics,…

We propose a regularized factor-augmented vector autoregressive (FAVAR) model that allows for sparsity in the factor loadings. In this framework, factors may only load on a subset of variables which simplifies the factor identification and…

We introduce SpinSVAR, a novel method for estimating a structural vector autoregression (SVAR) from time-series data under sparse input assumption. Unlike prior approaches using Gaussian noise, we model the input as independent Laplacian…

Causal structure discovery in complex dynamical systems is an important challenge for many scientific domains. Although data from (interventional) experiments is usually limited, large amounts of observational time series data sets are…

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,…

A widely applied approach to causal inference from a non-experimental time series $X$, often referred to as "(linear) Granger causal analysis", is to regress present on past and interpret the regression matrix $\hat{B}$ causally. However,…

High-dimensional time series data appear in many scientific areas in the current data-rich environment. Analysis of such data poses new challenges to data analysts because of not only the complicated dynamic dependence between the series,…

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 consider statistical inference for impulse responses in sparse, structural high-dimensional vector autoregressive (SVAR) systems. We introduce consistent estimators of impulse responses in the high-dimensional setting and suggest valid…

We propose SVAR-FM (Structural VAR with Flow Matching), a framework for time series causal discovery that treats a physics-based simulator as a mechanical realization of Pearl's do operator. Clamping a variable inside the simulator…

This paper analyzes Structural Vector Autoregressions (SVARs) where identification of structural parameters holds locally but not globally. In this case there exists a set of isolated structural parameter points that are observationally…

Time series autoregression (AR) is a classical tool for modeling auto-correlations and periodic structures in real-world systems. We revisit this model from an interpretable machine learning perspective by introducing sparse autoregression…

Network modeling of high-dimensional time series data is a key learning task due to its widespread use in a number of application areas, including macroeconomics, finance and neuroscience. While the problem of sparse modeling based on…

Structural equation models (SEMs) and vector autoregressive models (VARMs) are two broad families of approaches that have been shown useful in effective brain connectivity studies. While VARMs postulate that a given region of interest in…

The vector autoregressive (VAR) model is a powerful tool in modeling complex time series and has been exploited in many fields. However, fitting high dimensional VAR model poses some unique challenges: On one hand, the dimensionality,…

We propose a multiscale approach to time series autoregression, in which linear regressors for the process in question include features of its own path that live on multiple timescales. We take these multiscale features to be the recent…

The Vector AutoRegressive (VAR) model is fundamental to the study of multivariate time series. Although VAR models are intensively investigated by many researchers, practitioners often show more interest in analyzing VARX models that…

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…

We propose a nonparametric method for detecting nonlinear causal relationship within a set of multidimensional discrete time series, by using sparse additive models (SpAMs). We show that, when the input to the SpAM is a $\beta$-mixing time…

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…