Related papers: Model Agnostic Time Series Analysis via Matrix Est…
Appropriate preprocessing is a fundamental prerequisite for analyzing a noisy dataset. The purpose of this paper is to apply a nonparametric preprocessing method, called Singular Spectrum Analysis (SSA), to a variety of datasets which are…
We introduce a statistical method to detect nonlinearity and nonstationarity in time series, that works even for short sequences and in presence of noise. The method has a discrimination power similar to that of the most advanced estimators…
Identification of a linear time-invariant dynamical system from partial observations is a fundamental problem in control theory. Particularly challenging are systems exhibiting long-term memory. A natural question is how learn such systems…
In an increasing number of applications, it is of interest to recover an approximately low-rank data matrix from noisy observations. This paper develops an unbiased risk estimate---holding in a Gaussian model---for any spectral estimator…
Reconstructions of past climates are based on the calibration of available proxy data. This calibration is usually achieved by means of linear regression models. In the recent paleo-climate literature there is an ongoing discussion on the…
By treating intervals as inseparable sets, this paper proposes sparse machine learning regressions for high-dimensional interval-valued time series. With LASSO or adaptive LASSO techniques, we develop a penalized minimum distance…
Irregularly-sampled time series occur in many domains including healthcare. They can be challenging to model because they do not naturally yield a fixed-dimensional representation as required by many standard machine learning models. In…
Estimation of a precision matrix (i.e., inverse covariance matrix) is widely used to exploit conditional independence among continuous variables. The influence of abnormal observations is exacerbated in a high dimensional setting as the…
Missing data is an universal problem in statistics. We develop a unified framework for estimating parameters defined by general estimating equations under a missing-at-random (MAR) mechanism, based on generalized entropy calibration…
Empirically observed time series in physics, biology, or medicine, are commonly generated by some underlying dynamical system (DS) which is the target of scientific interest. There is an increasing interest to harvest machine learning…
Extracting latent low-dimensional structure from high-dimensional data is of paramount importance in timely inference tasks encountered with `Big Data' analytics. However, increasingly noisy, heterogeneous, and incomplete datasets as well…
We consider the problem of recovering an unknown effectively $(s_1,s_2)$-sparse low-rank-$R$ matrix $X$ with possibly non-orthogonal rank-$1$ decomposition from incomplete and inaccurate linear measurements of the form $y = \mathcal A (X) +…
The paper introduces a novel topological method for prediction and modeling for a nonlinear time--series that exhibit recurring patterns. According to the model, global manifold of the reconstructed state--space can be approximated by a few…
We demonstrate the first algorithms for the problem of regression for generalized linear models (GLMs) in the presence of additive oblivious noise. We assume we have sample access to examples $(x, y)$ where $y$ is a noisy measurement of…
High-dimensional time series prediction is needed in applications as diverse as demand forecasting and climatology. Often, such applications require methods that are both highly scalable, and deal with noisy data in terms of corruptions or…
Time series forecasting presents significant challenges in real-world applications across various domains. Building upon the decomposition of the time series, we enhance the architecture of machine learning models for better multivariate…
We consider estimation models of the form $Y=X^*+N$, where $X^*$ is some $m$-dimensional signal we wish to recover, and $N$ is symmetrically distributed noise that may be unbounded in all but a small $\alpha$ fraction of the entries. We…
Modeling multivariate time series as temporal signals over a (possibly dynamic) graph is an effective representational framework that allows for developing models for time series analysis. In fact, discrete sequences of graphs can be…
This note studies a method for the efficient estimation of a finite number of unknown parameters from linear equations, which are perturbed by Gaussian noise. In case the unknown parameters have only few nonzero entries, the proposed…
In this paper I present a new approach for regression of time series using their own samples. This is a celebrated problem known as Auto-Regression. Dealing with outlier or missed samples in a time series makes the problem of estimation…