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How to efficiently identify multiple-input multiple-output (MIMO) linear parameter-varying (LPV) discrete-time state-space (SS) models with affine dependence on the scheduling variable still remains an open question, as identification…
This chapter provides an introduction to the analysis of relational event data (i.e., actions, interactions, or other events involving multiple actors that occur over time) within the R/statnet platform. We begin by reviewing the basics of…
Cointegration is a property of multivariate time series that determines whether its non-stationary, growing components have a stationary linear combination. Largevars R package conducts a cointegration test for high-dimensional vector…
In this article, we present $\textbf{ldmppr}$, an R package for estimating, evaluating, simulating from, and visualizing location-dependent marked spatial point processes. To date, it has commonly been assumed that the marks associated with…
An R package SpatialPack that implements routines to compute point estimators and perform hypothesis testing of the spatial association between two stochastic sequences is introduced. These methods address the spatial association between…
Effective analysis of time series data presents significant challenges due to the complex temporal dependencies and cross-channel interactions in multivariate data. Inspired by the way human analysts visually inspect time series to uncover…
Forecasting the evolution of complex systems is one of the grand challenges of modern data science. The fundamental difficulty lies in understanding the structure of the observed stochastic process. In this paper, we show that every…
The aim of this paper is to give a wavelet series representation of Linear Multifractional Stable Motion (LMSM in brief), which is more explicit than that introduced in (Ayache & Hamonier 2012). Instead of using Daubechies wavelet, which is…
The OSTSC package is a powerful oversampling approach for classifying univariant, but multinomial time series data in R. This article provides a brief overview of the oversampling methodology implemented by the package. A tutorial of the…
This paper considers regression tasks involving high-dimensional multivariate processes whose structure is dependent on some {known} graph topology. We put forth a new definition of time-vertex wide-sense stationarity, or joint stationarity…
In preparation for the era of the time-domain astronomy with upcoming large-scale surveys, we propose a state-space representation of a multivariate damped random walk process as a tool to analyze irregularly-spaced multi-filter light…
Air pollution is a vital issue emerging from the uncontrolled utilization of traditional energy sources as far as developing countries are concerned. Hence, ingenious air pollution forecasting methods are indispensable to minimize the risk.…
Latent variable models (LVMs) are commonly used to capture the underlying dependencies, patterns, and hidden structure in observed data. Source duplication is a by-product of the data hankelisation pre-processing step common to single…
This paper develops a threshold model with a time-varying threshold, represented using a wavelet series expansion. The model adequately captures irregular and abrupt variations, as well as smooth changes in the threshold parameter, allowing…
Panel data are widely used in political science to draw causal inferences. However, these models often rely on the strong and untested assumption of sequential ignorability--that no unmeasured variables influence both the independent and…
Multivariate Time Series Forecasting plays a key role in many applications. Recent works have explored using Large Language Models for MTSF to take advantage of their reasoning abilities. However, many methods treat LLMs as end-to-end…
Multivariate time-series forecasting, as a typical problem in the field of time series prediction, has a wide range of applications in weather forecasting, traffic flow prediction, and other scenarios. However, existing works do not…
This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropriate dynamic minimum-variance hedge ratio…
The family of stable distributions received extensive applications in many fields of studies since it incorporates both the skewness and heavy tails. In this paper, we introduce a package written in the R language called alphastable. The…
Time-varying parameter (TVP) models are widely used in time series analysis to flexibly deal with processes which gradually change over time. However, the risk of overfitting in TVP models is well known. This issue can be dealt with using…