Related papers: Fitting ARMA Time Series Models without Identifica…

In this paper, we address the problem of modeling data with periodic autoregressive (PAR) time series and additive noise. In most cases, the data are processed assuming a noise-free model (i.e., without additive noise), which is not a…

In this paper, we introduce the concept of fractional integration for spatial autoregressive models. We show that the range of the dependence can be spatially extended or diminished by introducing a further fractional integration parameter…

Existing supervised action segmentation methods depend on the quality of frame-wise classification using attention mechanisms or temporal convolutions to capture temporal dependencies. Even boundary detection-based methods primarily depend…

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…

Zero inflation is a common nuisance while monitoring disease progression over time. This article proposes a new observation driven model for zero inflated and over-dispersed count time series. The counts given the past history of the…

The increasing complexity of supply chains and the rising costs associated with defective or substandard goods (bad goods) highlight the urgent need for advanced predictive methodologies to mitigate risks and enhance operational efficiency.…

In this article, we first propose the modified Hannan-Rissanen Method for estimating the parameters of the autoregressive moving average (ARMA) process with symmetric stable noise and symmetric stable generalized autoregressive conditional…

Tacho-less rotational speed estimation is critical for vibration-based prognostics and health management (PHM) of rotating machinery, yet traditional methods--such as time-domain periodicity, cepstrum, and harmonic comb matching--struggle…

Several methods have been recently proposed for estimating sparse Gaussian graphical models using $\ell_{1}$ regularization on the inverse covariance matrix. Despite recent advances, contemporary applications require methods that are even…

We develop an anomaly-detection method when systematic anomalies, possibly statistically very similar to genuine inputs, are affecting control systems at the input and/or output stages. The method allows anomaly-free inputs (i.e., those…

The class of autoregressive (AR) processes is extensively used to model temporal dependence in observed time series. Such models are easily available and routinely fitted using freely available statistical software like R. A potential…

Nonstationarity of real-life time series requires model adaptation. In classical approaches like ARMA-ARCH there is assumed some arbitrarily chosen dependence type. To avoid their bias, we will focus on novel more agnostic approach: moving…

We introduce a recursive algorithm of conveniently general form for estimating the coefficient of a moving average model of order one and obtain convergence results for both correct and misspecified MA(1) models. The algorithm encompasses…

Modelling physical data with linear discrete time series, namely Fractionally Integrated Autoregressive Moving Average (ARFIMA), is a technique which achieved attention in recent years. However, these models are used mainly as a statistical…

The classical sparse parameter identification methods are usually based on the iterative basis selection such as greedy algorithms, or the numerical optimization of regularized cost functions such as LASSO and Bayesian posterior probability…

In this paper, we propose a novel and efficient two-stage variable selection approach for sparse GLARMA models, which are pervasive for modeling discrete-valued time series. Our approach consists in iteratively combining the estimation of…

We address the problem of solving mixed random linear equations. We have unlabeled observations coming from multiple linear regressions, and each observation corresponds to exactly one of the regression models. The goal is to learn the…

This paper considers the problem of identifying multivariate autoregressive (AR) sparse plus low-rank graphical models. Based on the corresponding problem formulation recently presented, we use the alternating direction method of…

We introduce a new algorithm, called adaptive sparse backfitting algorithm, for solving high dimensional Sparse Additive Model (SpAM) utilizing symmetric, non-negative definite smoothers. Unlike the previous sparse backfitting algorithm,…

Errors are prevalent in time series data, such as GPS trajectories or sensor readings. Existing methods focus more on anomaly detection but not on repairing the detected anomalies. By simply filtering out the dirty data via anomaly…