Related papers: Periodically stationary multivariate autoregressiv…
An emerging way of tackling the dimensionality issues arising in the modeling of a multivariate process is to assume that the inherent data structure can be captured by a graph. Nevertheless, though state-of-the-art graph-based methods have…
Vector autoregressive (VAR) models have become a staple in the analysis of multivariate time series and are formulated in the time domain as difference equations, with an implied covariance structure. In many contexts, it is desirable to…
Generalized autoregressive moving average (GARMA) models are a class of models that was developed for extending the univariate Gaussian ARMA time series model to a flexible observation-driven model for non-Gaussian time series data. This…
Latent autoregressive processes are a popular choice to model time varying parameters. These models can be formulated as nonlinear state space models for which inference is not straightforward due to the high number of parameters. Therefore…
The paper develops a general flexible framework for Network Autoregressive Processes (NAR), wherein the response of each node linearly depends on its past values, a prespecified linear combination of neighboring nodes and a set of…
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…
We propose an autoregressive framework for modelling dynamic networks with dependent edges. It encompasses models that accommodate, for example, transitivity, degree heterogenenity, and other stylized features often observed in real network…
We study the problem of automatically discovering Granger causal relations from observational multivariate time-series data.Vector autoregressive (VAR) models have been time-tested for this problem, including Bayesian variants and more…
The space time autoregressive model has been widely applied in science, in areas such as economics, public finance, political science, agricultural economics, environmental studies and transportation analyses. The classical space time…
We propose a flexible Bayesian approach for sparse Gaussian graphical modeling of multivariate time series. We account for temporal correlation in the data by assuming that observations are characterized by an underlying and unobserved…
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…
We propose a recursive Bayesian estimation procedure for multivariate autoregressive models with exogenous inputs based on message passing in a factor graph. Unlike recursive least-squares, our method produces full posterior distributions…
Ordered sequences of univariate or multivariate regressions provide statistical models for analysing data from randomized, possibly sequential interventions, from cohort or multi-wave panel studies, but also from cross-sectional or…
This paper considers a time-varying vector error-correction model that allows for different time series behaviours (e.g., unit-root and locally stationary processes) to interact with each other to co-exist. From practical perspectives, this…
A semi-analytic method is proposed for the generation of realizations of a multivariate process of a given linear correlation structure and marginal distribution. This is an extension of a similar method for univariate processes,…
In this paper we discuss dynamic ARMA-type regression models for time series taking values in $(0,\infty)$. In the proposed model, the conditional mean is modeled by a dynamic structure containing autoregressive and moving average terms,…
This paper studies some temporal dependence properties and addresses the issue of parametric estimation for a class of state-dependent autoregressive models for nonlinear time series in which we assume a stochastic autoregressive…
High-dimensional vector autoregressive (VAR) models are important tools for the analysis of multivariate time series. This paper focuses on high-dimensional time series and on the different regularized estimation procedures proposed for…
In this article, we introduce and study a one sided tempered stable first order autoregressive model called TAR(1). Under the assumption of stationarity of the model, the marginal probability density function of the error term is found. It…
Joint models for a wide class of response variables and longitudinal measurements consist on a mixed-effects model to fit longitudinal trajectories whose random effects enter as covariates in a generalized linear model for the primary…