Related papers: Model identification for ARMA time series through …
Time series prediction with missing values is an important problem of time series analysis since complete data is usually hard to obtain in many real-world applications. To model the generation of time series, autoregressive (AR) model is a…
We study the approximation properties of convolutional architectures applied to time series modelling, which can be formulated mathematically as a functional approximation problem. In the recurrent setting, recent results reveal an…
Autoregressive models are ubiquitous tools for the analysis of time series in many domains such as computational neuroscience and biomedical engineering. In these domains, data is, for example, collected from measurements of brain activity.…
Transformed Generalized Autoregressive Moving Average (TGARMA) models were recently proposed to deal with non-additivity, non-normality and heteroscedasticity in real time series data. In this paper, a Bayesian approach is proposed for…
Autoregressive (AR) models remain widely used in time series analysis due to their interpretability, but convencional parameter estimation methods can be computationally expensive and prone to convergence issues. This paper proposes a…
In practice, several time series exhibit long-range dependence or persistence in their observations, leading to the development of a number of estimation and prediction methodologies to account for the slowly decaying autocorrelations. The…
Pattern recognition methods using neuroimaging data for the diagnosis of Alzheimer's disease have been the subject of extensive research in recent years. In this paper, we use deep learning methods, and in particular sparse autoencoders and…
A network time series is a multivariate time series augmented by a graph that describes how variables (or nodes) are connected. We introduce the network autoregressive (integrated) moving average (NARIMA) processes: a set of flexible models…
Autoregressive models (ARMs) have become the workhorse for sequence generation tasks, since many problems can be modeled as next-token prediction. While there appears to be a natural ordering for text (i.e., left-to-right), for many data…
This work contributes to the development of neural forecasting models with novel randomization-based learning methods. These methods improve the fitting abilities of the neural model, in comparison to the standard method, by generating…
This paper studies the model selection problem in a large class of causal time series models, which includes both the ARMA or AR($\infty$) processes, as well as the GARCH or ARCH($\infty$), APARCH, ARMA-GARCH and many others processes. We…
Forecasting time series data is an important subject in economics, business, and finance. Traditionally, there are several techniques to effectively forecast the next lag of time series data such as univariate Autoregressive (AR),…
We apply the optimization algorithm Adaptive Simulated Annealing (ASA) to the problem of analyzing data on a large population and selecting the best model to predict that an individual with various traits will have a particular disease. We…
Convolutional neural networks belong to the most successul image classifiers, but the adaptation of their network architecture to a particular problem is computationally expensive. We show that an evolutionary algorithm saves training time…
Estimation in GARMA models has traditionally been carried out under the frequentist approach. To date, Bayesian approaches for such estimation have been relatively limited. In the context of GARMA models for count time series, Bayesian…
Stationary processes have been extensively studied in the literature. Their applications include modeling and forecasting numerous real life phenomena such as natural disasters, sales and market movements. When stationary processes are…
The willingness to trust predictions formulated by automatic algorithms is key in a vast number of domains. However, a vast number of deep architectures are only able to formulate predictions without an associated uncertainty. In this…
In this paper we suggest two continuous-time models which exhibit an autoregressive structure. We obtain existence and uniqueness results and study the structure of the solution processes. One of the models, which corresponds to general…
We introduce a recursive algorithm of conveniently general form for estimating the coefficient of a moving average model of order one and obtain convergence results for both correct and misspecified MA(1) models. The algorithm encompasses…
In this paper, we develop a neural network-based approach for time-series prediction in unknown Hamiltonian dynamical systems. Our approach leverages a surrogate model and learns the system dynamics using generalized coordinates (positions)…