Related papers: High dimensional VAR with low rank transition
We address the problem of estimating a high-dimensional matrix from linear measurements, with a focus on designing optimal rank-adaptive algorithms. These algorithms infer the matrix by estimating its singular values and the corresponding…
It is an important task to model realized volatilities for high-frequency data in finance and economics and, as arguably the most popular model, the heterogeneous autoregressive (HAR) model has dominated the applications in this area.…
Modern applications have made ubiquitous high-dimensional data, especially time-dependent data, with more and more complicated structures, and it also has become more frequent to encounter the scenario of hierarchical relationships among…
Vision AutoRegressive model (VAR) was recently introduced as an alternative to Diffusion Models (DMs) in image generation domain. In this work we focus on its adaptations, which aim to fine-tune pre-trained models to perform specific…
As a special infinite-order vector autoregressive (VAR) model, the vector autoregressive moving average (VARMA) model can capture much richer temporal patterns than the widely used finite-order VAR model. However, its practicality has long…
We consider the problem of computationally-efficient prediction from high dimensional and highly correlated predictors in challenging settings where accurate variable selection is effectively impossible. Direct application of penalization…
This work presents a low-rank tensor model for multi-dimensional Markov chains. A common approach to simplify the dynamical behavior of a Markov chain is to impose low-rankness on the transition probability matrix. Inspired by the success…
We study the problem of learning the support of transition matrix between random processes in a Vector Autoregressive (VAR) model from samples when a subset of the processes are latent. It is well known that ignoring the effect of the…
VAR models are a type of multi-equation model that have been widely applied in econometrics. With the arrival of Big Data, huge amounts of data are being collected in numerous fields, making feasible the application of these kind of…
High-dimensional financial time series often exhibit complex dependence relations driven by both common market structures and latent connections among assets. To capture these characteristics, this paper proposes Factor-Driven Network…
Low-rank modeling generally refers to a class of methods that solve problems by representing variables of interest as low-rank matrices. It has achieved great success in various fields including computer vision, data mining, signal…
Vector autoregressions (VARs) are a widely used tool for modelling multivariate time-series. It is common to assume a VAR is stationary; this can be enforced by imposing the stationarity condition which restricts the parameter space of the…
We present a novel approach for constrained Bayesian inference. Unlike current methods, our approach does not require convexity of the constraint set. We reduce the constrained variational inference to a parametric optimization over the…
We propose a pseudo-structural framework for analyzing contemporaneous co-movements in reduced-rank matrix autoregressive (RRMAR) models. Unlike conventional vector-autoregressive (VAR) models that would discard the matrix structure, our…
Vector autoregressive (VAR) models assume linearity between the endogenous variables and their lags. This assumption might be overly restrictive and could have a deleterious impact on forecasting accuracy. As a solution, we propose…
In this paper, we propose a probabilistic reduced-dimensional vector autoregressive (PredVAR) model with oblique projections. This model partitions the measurement space into a dynamic subspace and a static subspace that do not need to be…
Many econometric analyses involve spatio--temporal data. A considerable amount of literature has addressed spatio--temporal models, with Spatial Dynamic Panel Data (SDPD) being widely investigated and applied. In real data applications,…
Variable selection plays a fundamental role in high-dimensional data analysis. Various methods have been developed for variable selection in recent years. Well-known examples are forward stepwise regression (FSR) and least angle regression…
Low-rank training methods reduce the number of trainable parameters by re-parameterizing the weights with matrix decompositions (e.g., singular value decomposition). However, enforcing a fixed low-rank structure caps the rank of the weight…
In this work we address the problem of approximating high-dimensional data with a low-dimensional representation. We make the following contributions. We propose an inverse regression method which exchanges the roles of input and response,…