Related papers: Shrinkage in the Time-Varying Parameter Model Fram…

The R package stochvol provides a fully Bayesian implementation of heteroskedasticity modeling within the framework of stochastic volatility. It utilizes Markov chain Monte Carlo (MCMC) samplers to conduct inference by obtaining draws from…

This paper studies Markov-switching (MS) models with time-varying transition probabilities (TVTP) under various specifications of the transition probability matrix. Especially, we extend the two-regime common-variance setting of the…

We introduce a novel Bayesian framework for estimating time-varying volatility by extending the Random Walk Stochastic Volatility (RWSV) model with Dynamic Shrinkage Processes (DSP) in log-variances. Unlike the classical Stochastic…

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…

Learned video compression (LVC) has witnessed remarkable advancements in recent years. Similar as the traditional video coding, LVC inherits motion estimation/compensation, residual coding and other modules, all of which are implemented…

The purpose of this paper is to propose a time-varying vector autoregressive model (TV-VAR) for forecasting multivariate time series. The model is casted into a state-space form that allows flexible description and analysis. The volatility…

Longitudinal item response data are common in social science, educational science, and psychology, among other disciplines. Studying the time-varying relationships between items is crucial for educational assessment or designing marketing…

We consider the scenario where the parameters of a probabilistic model are expected to vary over time. We construct a novel prior distribution that promotes sparsity and adapts the strength of correlation between parameters at successive…

Multivariate spatio-temporal models are widely applicable, but specifying their structure is complicated and may inhibit wider use. We introduce the R package tinyVAST from two viewpoints: the software user and the statistician. From the…

We propose a flexible Bayesian approach for sparse Gaussian graphical modeling of multivariate time series. We account for temporal correlation in the data by assuming that observations are characterized by an underlying and unobserved…

Modern approaches to perform Bayesian variable selection rely mostly on the use of shrinkage priors. That said, an ideal shrinkage prior should be adaptive to different signal levels, ensuring that small effects are ruled out, while keeping…

As the size of transformer-based models continues to grow, fine-tuning these large-scale pretrained vision models for new tasks has become increasingly parameter-intensive. Parameter-efficient learning has been developed to reduce the…

We present TVF (Time-Varying Filtering), a low-latency speech enhancement model with 1 million parameters. Combining the interpretability of Digital Signal Processing (DSP) with the adaptability of deep learning, TVF bridges the gap between…

Lack of independence in the residuals from linear regression motivates the use of random effect models in many applied fields. We start from the one-way anova model and extend it to a general class of one-factor Bayesian mixed models,…

We present tidychangepoint, a new R package for changepoint detection analysis. Most R packages for segmenting univariate time series focus on providing one or two algorithms for changepoint detection that work with a small set of models…

Stein showed that the multivariate sample mean is outperformed by "shrinking" to a constant target vector. Ledoit and Wolf extended this approach to the sample covariance matrix and proposed a multiple of the identity as shrinkage target.…

We study kernel-based estimation of nonparametric time-varying parameters (TVPs) in linear models. Our contributions are threefold. First, we establish consistency and asymptotic normality of the kernel-based estimator for a broad class of…

The package fnets for the R language implements the suite of methodologies proposed by Barigozzi et al. (2022) for the network estimation and forecasting of high-dimensional time series under a factor-adjusted vector autoregressive model,…

Time series analysis is vital for numerous applications, and transformers have become increasingly prominent in this domain. Leading methods customize the transformer architecture from NLP and CV, utilizing a patching technique to convert…

In this paper, we present a new approach for model acceleration by exploiting spatial sparsity in visual data. We observe that the final prediction in vision Transformers is only based on a subset of the most informative tokens, which is…