Related papers: Generalised Network Autoregressive Processes and t…

This article forecasts CPI inflation in the United Kingdom using Random Generalised Network Autoregressive (RaGNAR) Processes. More specifically, we fit Generalised Network Autoregressive (GNAR) Processes to a large set of random networks…

We propose a generic confidence-based approximation that can be plugged in and simplify the auto-regressive generation process with a proved convergence. We first assume that the priors of future samples can be generated in an independently…

Transparent models, which provide inherently interpretable predictions, are receiving significant attention in high-stakes domains. However, despite much real-world data being collected as time series, there is a lack of studies on…

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,…

Graphs are an intuitive way to represent relationships between variables in fields such as finance and neuroscience. However, these graphs often need to be inferred from data. In this paper, we propose a novel framework to infer a latent…

We describe a method to construct directed networks from multivariate time series which has several advantages over the widely accepted methods. This method is based on an information theoretic reduction of linear (auto-regressive) models.…

A neural network (NN) is a parameterised function that can be tuned via gradient descent to approximate a labelled collection of data with high precision. A Gaussian process (GP), on the other hand, is a probabilistic model that defines a…

A temporal point process is a mathematical model for a time series of discrete events, which covers various applications. Recently, recurrent neural network (RNN) based models have been developed for point processes and have been found…

Conditional neural processes (CNPs; Garnelo et al., 2018a) are attractive meta-learning models which produce well-calibrated predictions and are trainable via a simple maximum likelihood procedure. Although CNPs have many advantages, they…

High-dimensional panels of time series often arise in finance and macroeconomics, where co-movements within groups of panel components occur. Extracting these groupings from the data provides a coarse-grained description of the complex…

Regression is typically treated as a curve-fitting process where the goal is to fit a prediction function to data. With the help of conditional generative adversarial networks, we propose to solve this age-old problem in a different way; we…

Models characterized by autoregressive structure and random coefficients are powerful tools for the analysis of high-frequency, high-dimensional and volatile time series. The available literature on such models is broad, but also sectorial,…

Matrix-valued time series data are frequently observed in a broad range of areas and have attracted great attention recently. In this work, we model network effects for high dimensional matrix-valued time series data in a matrix…

We present the R-package mgm for the estimation of k-order Mixed Graphical Models (MGMs) and mixed Vector Autoregressive (mVAR) models in high-dimensional data. These are a useful extensions of graphical models for only one variable type,…

Graphs have become a crucial way to represent large, complex and often temporal datasets across a wide range of scientific disciplines. However, when graphs are used as input to machine learning models, this rich temporal information is…

We propose in this work a new family of kernels for variable-length time series. Our work builds upon the vector autoregressive (VAR) model for multivariate stochastic processes: given a multivariate time series x, we consider the…

Learning to generate neural network parameters conditioned on task descriptions and architecture specifications is pivotal for advancing model adaptability and transfer learning. Existing methods especially those based on diffusion models…

Neural-net-induced Gaussian process (NNGP) regression inherits both the high expressivity of deep neural networks (deep NNs) as well as the uncertainty quantification property of Gaussian processes (GPs). We generalize the current NNGP to…

Modeling high-dimensional time series with simple structures is a challenging problem. This paper proposes a network double autoregression (NDAR) model, which combines the advantages of network structure and the double autoregression (DAR)…

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…