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Principal component analysis (PCA) is recognised as a quintessential data analysis technique when it comes to describing linear relationships between the features of a dataset. However, the well-known sensitivity of PCA to non-Gaussian…
Matrix time series, which consist of matrix-valued data observed over time, are prevalent in various fields such as economics, finance, and engineering. Such matrix time series data are often observed in high dimensions. Matrix factor…
In this paper we present a framework for risk-sensitive model predictive control (MPC) of linear systems affected by stochastic multiplicative uncertainty. Our key innovation is to consider a time-consistent, dynamic risk evaluation of the…
Periodic dynamical systems, distinguished by their repetitive behavior over time, are prevalent across various engineering disciplines. In numerous applications, particularly within industrial contexts, the implementation of model…
Large-dimensional factor model has drawn much attention in the big-data era, in order to reduce the dimensionality and extract underlying features using a few latent common factors. Conventional methods for estimating the factor model…
Data-driven predictive control (DPC) is becoming an attractive alternative to model predictive control as it requires less system knowledge for implementation and reliable data is increasingly available in smart engineering systems. Two…
Clustering temporal and dynamically changing multivariate time series from real-world fields, called temporal clustering for short, has been a major challenge due to inherent complexities. Although several deep temporal clustering…
In the multiple linear regression setting, we propose a general framework, termed weighted orthogonal components regression (WOCR), which encompasses many known methods as special cases, including ridge regression and principal components…
Time series forecasting plays a crucial role in various applications, particularly in healthcare, where accurate predictions of future health trajectories can significantly impact clinical decision-making. Ensuring transparency and…
We propose a new estimator for the Generalised Dynamic Factor Model (GDFM) that simplifies estimation by avoiding frequency-domain methods. Our key theoretical insight shows that under reasonable conditions the dynamic common component can…
Time series forecasting plays an increasingly important role in modern business decisions. In today's data-rich environment, people often aim to choose the optimal forecasting model for their data. However, identifying the optimal model…
Despite the fact that they do not consider the temporal nature of data, classic dimensionality reduction techniques, such as PCA, are widely applied to time series data. In this paper, we introduce a factor decomposition specific for time…
We study the theoretical properties of the generalized dynamic principal components introduced in Pe\~na and Yohai (2016). In particular, we prove that when the data follows a dynamic factor model, the reconstruction provided by the…
Data-driven predictive control (DDPC) has been recently proposed as an effective alternative to traditional model-predictive control (MPC) for its unique features of being time-efficient and unbiased with respect to the oracle solution.…
Principal component analysis (PCA) aims at estimating the direction of maximal variability of a high-dimensional dataset. A natural question is: does this task become easier, and estimation more accurate, when we exploit additional…
Big data is transforming our world, revolutionizing operations and analytics everywhere, from financial engineering to biomedical sciences. The complexity of big data often makes dimension reduction techniques necessary before conducting…
We develop a numerical method to reconstruct systems of ordinary differential equations (ODEs) from time series data without {\it a priori} knowledge of the underlying ODEs using sparse basis learning and sparse function reconstruction. We…
Conformal prediction offers a practical framework for distribution-free uncertainty quantification, providing finite-sample coverage guarantees under relatively mild assumptions on data exchangeability. However, these assumptions cease to…
The predictive advantage of combining several different predictive models is widely accepted. Particularly in time series forecasting problems, this combination is often dynamic to cope with potential non-stationary sources of variation…
This work presents DMPC (Data-and Model-Driven Predictive Control) to solve control problems in which some of the constraints or parts of the objective function are known, while others are entirely unknown to the controller. It is assumed…