Related papers: Forecasting, Causality, and Impulse Response with …

Predicting the motion of a driver's vehicle is crucial for advanced driving systems, enabling detection of potential risks towards shared control between the driver and automation systems. In this paper, we propose a variational neural…

Interpreting the inner function of neural networks is crucial for the trustworthy development and deployment of these black-box models. Prior interpretability methods focus on correlation-based measures to attribute model decisions to…

Time series autoregression (AR) is a classical tool for modeling auto-correlations and periodic structures in real-world systems. We revisit this model from an interpretable machine learning perspective by introducing sparse autoregression…

We introduce SpinSVAR, a novel method for estimating a structural vector autoregression (SVAR) from time-series data under sparse input assumption. Unlike prior approaches using Gaussian noise, we model the input as independent Laplacian…

The focus is on the statistical analysis of matrix-valued time series, where data is collected over a network of sensors, typically at spatial locations, over time. Each sensor records a vector of features at each time point, creating a…

Data assimilation refers to a set of algorithms designed to compute the optimal estimate of a system's state by refining the prior prediction (known as background states) using observed data. Variational assimilation methods rely on the…

Vector Auto-Regressive (VAR) models capture lead-lag temporal dynamics of multivariate time series data. They have been widely used in macroeconomics, financial econometrics, neuroscience and functional genomics. In many applications, the…

We propose a factor network autoregressive (FNAR) model for time series with complex network structures. The coefficients of the model reflect many different types of connections between economic agents ("multilayer network"), which are…

The multiple-subject vector autoregression (multi-VAR) model captures heterogeneous network Granger causality across subjects by decomposing individual sparse VAR transition matrices into commonly shared and subject-unique paths. The model…

In the paper, we consider the problem of link prediction in time-evolving graphs. We assume that certain graph features, such as the node degree, follow a vector autoregressive (VAR) model and we propose to use this information to improve…

We develop a non-parametric multivariate time series model that remains agnostic on the precise relationship between a (possibly) large set of macroeconomic time series and their lagged values. The main building block of our model is a…

Vector autoregression (VAR) models are widely used for forecasting and macroeconomic analysis, yet they remain limited by their reliance on a linear parameterization. Recent research has introduced nonparametric alternatives, such as…

We introduce and explore a new class of stationary time series models for variance matrices based on a constructive definition exploiting inverse Wishart distribution theory. The main class of models explored is a novel class of stationary,…

Estimation of the value-at-risk (VaR) of a large portfolio of assets is an important task for financial institutions. As the joint log-returns of asset prices can often be projected to a latent space of a much smaller dimension, the use of…

Many economic variables feature changes in their conditional mean and volatility, and Time Varying Vector Autoregressive Models are often used to handle such complexity in the data. Unfortunately, when the number of series grows, they…

Visual Autoregressive (VAR) models have emerged as a powerful paradigm for image synthesis by performing hierarchical next-scale prediction. However, VAR models are inherently prone to cascading error propagation, where subtle coarse-scale…

Autonomous vehicles (AVs) rely on environment perception and behavior prediction to reason about agents in their surroundings. These perception systems must be robust to adverse weather such as rain, fog, and snow. However, validation of…

In an environment of increasingly volatile financial markets, the accurate estimation of risk remains a major challenge. Traditional econometric models, such as GARCH and its variants, are based on assumptions that are often too rigid to…

We propose an approach for learning the causal structure in stochastic dynamical systems with a $1$-step functional dependency in the presence of latent variables. We propose an information-theoretic approach that allows us to recover the…

This paper introduces non-linear dimension reduction in factor-augmented vector autoregressions to analyze the effects of different economic shocks. I argue that controlling for non-linearities between a large-dimensional dataset and the…