Related papers: Learning CHARME models with neural networks

In this paper, we study a general class of causal processes with exogenous covariates, including many classical processes such as the ARMA-GARCH, APARCH, ARMAX, GARCH-X and APARCH-X processes. Under some Lipschitz-type conditions, the…

Common temporal models for automatic chord recognition model chord changes on a frame-wise basis. Due to this fact, they are unable to capture musical knowledge about chord progressions. In this paper, we propose a temporal model that…

This paper provides an entire inference procedure for the autoregressive model under (conditional) heteroscedasticity of unknown form with a finite variance. We first establish the asymptotic normality of the weighted least absolute…

We propose a statistical modeling technique, called the Hierarchical Association Rule Model (HARM), that predicts a patient's possible future medical conditions given the patient's current and past history of reported conditions. The core…

This paper considers nonparametric estimation and inference in first-order autoregressive (AR(1)) models with deterministically time-varying parameters. A key feature of the proposed approach is to allow for time-varying stationarity in…

This paper introduces a multivariate spatiotemporal autoregressive conditional heteroscedasticity (ARCH) model based on a vec-representation. The model includes instantaneous spatial autoregressive spill-over effects in the conditional…

Conditional inference on arbitrary subsets of variables is a core problem in probabilistic inference with important applications such as masked language modeling and image inpainting. In recent years, the family of Any-Order Autoregressive…

Many nonlinear time series models have been proposed in the last decades. Among them, the models with regime switchings provide a class of versatile and interpretable models which have received a particular attention in the literature. In…

In order to calculate the unobserved volatility in conditional heteroscedastic time series models, the natural recursive approximation is very often used. Following \cite{StraumannMikosch2006}, we will call the model \emph{invertible} if…

This note develops a stochastic model of asset volatility. The volatility obeys a continuous-time autoregressive equation. Conditions under which the process is asymptotically stationary and possesses long memory are characterised.…

We introduce a Bayesian approach to conduct inferential analyses on dyadic data while accounting for interdependencies between observations through a set of additive and multiplicative effects (AME). The AME model is built on a generalized…

In many applications, data are observed as matrices with temporal dependence. Matrix-variate time series modeling is a new branch of econometrics. Although stylized facts in several fields, the existing models do not account for regime…

Autoregressive (AR) models have been the dominating approach to conditional sequence generation, but are suffering from the issue of high inference latency. Non-autoregressive (NAR) models have been recently proposed to reduce the latency…

Random variables in metric spaces indexed by time and observed at equally spaced time points are receiving increased attention due to their broad applicability. The absence of inherent structure in metric spaces has resulted in a literature…

Order-Agnostic autoregressive models have demonstrated strong performance in deep generative modeling, yet their use in settings with incomplete data remains largely unexplored. In this work, we reinterpret them through the lens of missing…

Exponential random graph models (ERGMs) are very flexible for modeling network formation but pose difficult estimation challenges due to their intractable normalizing constant. Existing methods, such as MCMC-MLE, rely on sequential…

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…

This work introduces a novel approach for the joint selection of model structure and parameter learning for nonlinear dynamical systems identification. Focusing on a specific Recurrent Neural Networks (RNNs) family, i.e., Nonlinear…

Graph State Space Models (SSMs) have recently been introduced to enhance Graph Neural Networks (GNNs) in modeling long-range interactions. Despite their success, existing methods either compromise on permutation equivariance or limit their…

Neural Controlled Differential Equations (NCDEs) are a state-of-the-art tool for supervised learning with irregularly sampled time series (Kidger, 2020). However, no theoretical analysis of their performance has been provided yet, and it…