Related papers: Learning CHARME models with neural networks

Autoregressive models (ARMs) have become the workhorse for sequence generation tasks, since many problems can be modeled as next-token prediction. While there appears to be a natural ordering for text (i.e., left-to-right), for many data…

The paper develops a general flexible framework for Network Autoregressive Processes (NAR), wherein the response of each node linearly depends on its past values, a prespecified linear combination of neighboring nodes and a set of…

Standard autoregressive seq2seq models are easily trained by max-likelihood, but tend to show poor results under small-data conditions. We introduce a class of seq2seq models, GAMs (Global Autoregressive Models), which combine an…

A time series is a sequence of observations taken sequentially in time. The autoregressive integrated moving average is a class of the model more used for times series data. However, this class of model has two critical limitations. It fits…

Time series of counts are frequently analyzed using generalized integer-valued autoregressive models with conditional heteroskedasticity (INGARCH). These models employ response functions to map a vector of past observations and past…

The volatility modeling for autoregressive univariate time series is considered. A benchmark approach is the stationary ARCH model of Engle (1982). Motivated by real data evidence, processes with non constant unconditional variance and ARCH…

We propose an Embedding Network Autoregressive Model for multivariate networked longitudinal data. We assume the network is generated from a latent variable model, and these unobserved variables are included in a structural peer effect…

[This paper was initially published in PHME conference in 2016, selected for further publication in International Journal of Prognostics and Health Management.] This paper describes an Autoregressive Partially-hidden Markov model (ARPHMM)…

This paper introduces a spatiotemporal exponential generalised autoregressive conditional heteroscedasticity (spatiotemporal E-GARCH) model, extending traditional spatiotemporal GARCH models by incorporating asymmetric volatility…

In this paper, we present the asymptotic properties of the moment estimator for autoregressive (AR for short) models subject to Markovian changes in regime under the assumption that the errors are uncorrelated but not necessarily…

The first motivation of this paper is to study stationarity and ergodic properties for a general class of time series models defined conditional on an exogenous covariates process. The dynamic of these models is given by an autoregressive…

Improving adversarial robustness of neural networks remains a major challenge. Fundamentally, training a neural network via gradient descent is a parameter estimation problem. In adaptive control, maintaining persistency of excitation (PoE)…

This paper considers a semiparametric generalized autoregressive conditional heteroskedasticity (S-GARCH) model. For this model, we first estimate the time-varying long run component for unconditional variance by the kernel estimator, and…

We present Neural Autoregressive Distribution Estimation (NADE) models, which are neural network architectures applied to the problem of unsupervised distribution and density estimation. They leverage the probability product rule and a…

In time-series analyses, particularly for finance, generalized autoregressive conditional heteroscedasticity (GARCH) models are widely applied statistical tools for modelling volatility clusters (i.e., periods of increased or decreased…

Particle accelerators are complex systems that focus, guide, and accelerate intense charged particle beams to high energy. Beam diagnostics present a challenging problem due to limited non-destructive measurements, computationally demanding…

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…

This study presents a semi-nonparametric Latent Class Choice Model (LCCM) with a flexible class membership component. The proposed model formulates the latent classes using mixture models as an alternative approach to the traditional random…

Autoregressive (AR) and Non-autoregressive (NAR) models are two types of generative models for Neural Machine Translation (NMT). AR models predict tokens in a word-by-word manner and can effectively capture the distribution of real…

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,…