Related papers: Granger Causality Networks for Categorical Time Se…

It is often useful in multivariate time series analysis to determine statistical causal relations between different time series. Granger causality is a fundamental measure for this purpose. Yet the traditional pairwise approach to Granger…

Conventional time series classification approaches based on bags of patterns or shapelets face significant challenges in dealing with a vast amount of feature candidates from high-dimensional multivariate data. In contrast, deep neural…

We study Granger causality in the context of wide-sense stationary time series, where our focus is on the topological aspects of the underlying causality graph. We establish sufficient conditions (in particular, we develop the notion of a…

We propose an Embedding Network Autoregressive Model for multivariate networked longitudinal data. We assume the network is generated from a latent variable model, and these unobserved variables are included in a structural peer effect…

In this paper, we present XST-GCNN (eXplainable Spatio-Temporal Graph Convolutional Neural Network), a novel architecture for processing heterogeneous and irregular Multivariate Time Series (MTS) data. Our approach captures temporal and…

Graph neural networks have shown to learn effective node representations, enabling node-, link-, and graph-level inference. Conventional graph networks assume static relations between nodes, while relations between entities in a video often…

Self-supervised representation learning of Multivariate Time Series (MTS) is a challenging task and attracts increasing research interests in recent years. Many previous works focus on the pretext task of self-supervised learning and…

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…

The advent of predictive methodologies has catalyzed the emergence of data-driven decision support across various domains. However, developing models capable of effectively handling input time series data presents an enduring challenge.…

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,…

We propose a general matrix-valued multiple kernel learning framework for high-dimensional nonlinear multivariate regression problems. This framework allows a broad class of mixed norm regularizers, including those that induce sparsity, to…

We propose a general matrix-valued multiple kernel learning framework for high-dimensional nonlinear multivariate regression problems. This framework allows a broad class of mixed norm regularizers, including those that induce sparsity, to…

Structural learning, which aims to learn directed acyclic graphs (DAGs) from observational data, is foundational to causal reasoning and scientific discovery. Recent advancements formulate structural learning into a continuous optimization…

This article investigates the causality structure of financial time series. We concentrate on three main approaches to measuring causality: linear Granger causality, kernel generalisations of Granger causality (based on ridge regression and…

The multilayer multiconfiguration time-dependent Hartree (ML-MCTDH) method and the density matrix renormalization group (DMRG) are powerful workhorses applied mostly in different scientific fields. Although both methods are based on tensor…

Real-world time series often exhibit complex interdependencies that cannot be captured in isolation. Global models that model past data from multiple related time series globally while producing series-specific forecasts locally are now…

We here focus on the task of learning Granger causality matrices for multivariate point processes. In order to accomplish this task, our work is the first to explore the use of Wold processes. By doing so, we are able to develop…

We introduce a new computational framework for estimating parameters in generalized generalized linear models (GGLM), a class of models that extends the popular generalized linear models (GLM) to account for dependencies among observations…

Multitask learning (MTL) aims to develop a unified model that can handle a set of closely related tasks simultaneously. By optimizing the model across multiple tasks, MTL generally surpasses its non-MTL counterparts in terms of…

Granger causality analysis is a popular method for inference on directed interactions in complex systems of many variables. A shortcoming of the standard framework for Granger causality is that it only allows for examination of interactions…